P/L comparison
Buy & hold
P/L COMPARISON · PERCENT FROM ENTRY
buy & hold · participation factor overlaybuy & hold · Qlib / Alpha158 baseline
Weekly rebalance
P/L COMPARISON · PERCENT FROM ENTRY
weekly rebalance · participation factor overlayweekly rebalance · Qlib / Alpha158 baseline
Performance tables
| Management | Arm | Horizon | Status | Return | Maximum | Max date | Drawdown |
|---|---|---|---|---|---|---|---|
| buy & hold | participation factor overlay | 3 months | complete | 7.26% | 8.02% | 2024-09-30 | -5.97% |
| buy & hold | participation factor overlay | 6 months | complete | 3.97% | 9.45% | 2024-11-29 | -6.03% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.74% | 9.60% | 2024-09-27 | -5.87% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.01% | 11.70% | 2024-12-02 | -6.28% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.77% | 11.98% | 2024-09-27 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.82% | 13.54% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.64% | 9.82% | 2024-09-27 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.01% | 11.50% | 2024-12-02 | -7.65% |
Position ledger
This portfolio holds the initial selection. There are no scheduled rebalance decisions after entry.
Selected arm positions
50 positions in the selected record: buy & hold · participation factor overlay. The charts and performance table above contain all four arms in this formation group.
| Ticker | Entry date | Entry open | Model prediction | Participation score | Excluded |
|---|---|---|---|---|---|
| ACGL | 2024-07-01 | 96.96 | 0.1895 | 0.4448 | no |
| ADM | 2024-07-01 | 56.34 | 0.1850 | 0.4556 | no |
| AEE | 2024-07-01 | 66.79 | 0.2114 | 0.4717 | no |
| AES | 2024-07-01 | 15.88 | 0.2921 | — | no |
| ALL | 2024-07-01 | 154.52 | 0.2307 | 0.4553 | no |
| AMZN | 2024-07-01 | 193.49 | 0.1820 | 0.4945 | no |
| BA | 2024-07-01 | 182.20 | 0.1935 | 0.4841 | no |
| BWA | 2024-07-01 | 31.55 | 0.2055 | 0.4193 | no |
| CAG | 2024-07-01 | 24.71 | 0.2332 | 0.4496 | no |
| CB | 2024-07-01 | 251.32 | 0.3201 | 0.4833 | no |
| CCI | 2024-07-01 | 86.17 | 0.1934 | 0.4423 | no |
| CMI | 2024-07-01 | 267.81 | 0.2434 | 0.5120 | no |
| CPB | 2024-07-01 | 40.71 | 0.2043 | 0.4284 | no |
| CZR | 2024-07-01 | 39.74 | 0.2825 | 0.4486 | no |
| DLTR | 2024-07-01 | 106.87 | 0.4521 | 0.5501 | no |
| DRI | 2024-07-01 | 141.28 | 0.2056 | 0.4275 | no |
| DVA | 2024-07-01 | 139.32 | 0.1889 | 0.4380 | no |
| DVN | 2024-07-01 | 44.75 | 0.2120 | 0.5729 | no |
| ETSY | 2024-07-01 | 59.18 | 0.1838 | 0.5087 | no |
| EVRG | 2024-07-01 | 48.92 | 0.3454 | 0.4842 | no |
| EXPE | 2024-07-01 | 124.50 | 0.5020 | 0.4574 | no |
| FMC | 2024-07-01 | 52.78 | 0.3323 | 0.4588 | no |
| FOX | 2024-07-01 | 31.27 | 0.2276 | — | no |
| GEHC | 2024-07-01 | 78.04 | 0.2379 | 0.5085 | no |
| GOOGL | 2024-07-01 | 181.51 | 0.2364 | 0.5225 | no |
| HSIC | 2024-07-01 | 64.45 | 0.2327 | 0.4622 | no |
| IR | 2024-07-01 | 91.86 | 0.3002 | 0.5313 | no |
| IRM | 2024-07-01 | 83.21 | 0.1938 | 0.4364 | no |
| KEYS | 2024-07-01 | 136.75 | 0.3473 | 0.5051 | no |
| MCD | 2024-07-01 | 241.37 | 0.2902 | 0.4423 | no |
| MOH | 2024-07-01 | 297.74 | 0.2797 | 0.4327 | no |
| MS | 2024-07-01 | 91.77 | 0.2114 | 0.4557 | no |
| MSCI | 2024-07-01 | 467.91 | 0.2545 | 0.5009 | no |
| NEE | 2024-07-01 | 66.93 | 0.3239 | 0.4446 | no |
| OMC | 2024-07-01 | 83.38 | 0.2237 | 0.4212 | no |
| PEP | 2024-07-01 | 151.56 | 0.1916 | 0.4201 | no |
| QRVO | 2024-07-01 | 116.94 | 0.6459 | — | no |
| RF | 2024-07-01 | 18.34 | 0.3821 | 0.4199 | no |
| SMCI | 2024-07-01 | 83.14 | 0.3224 | 0.4575 | no |
| SPG | 2024-07-01 | 135.36 | 0.1888 | 0.4262 | no |
| SWK | 2024-07-01 | 72.87 | 0.3443 | 0.5180 | no |
| SWKS | 2024-07-01 | 98.65 | 0.2422 | 0.5397 | no |
| TGT | 2024-07-01 | 136.21 | 0.3657 | 0.5392 | no |
| UAL | 2024-07-01 | 48.72 | 0.3641 | 0.4516 | no |
| UBER | 2024-07-01 | 72.20 | 0.3203 | 0.4912 | no |
| UNP | 2024-07-01 | 215.18 | 0.2206 | 0.4789 | no |
| VMC | 2024-07-01 | 245.55 | 0.2485 | 0.5182 | no |
| WFC | 2024-07-01 | 56.64 | 0.1846 | 0.4232 | no |
| WMT | 2024-07-01 | 66.48 | 0.3210 | 0.5326 | no |
| XRAY | 2024-07-01 | 23.50 | 0.2739 | 0.4395 | no |