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 | 8.48% | 8.93% | 2024-09-30 | -5.64% |
| buy & hold | participation factor overlay | 6 months | complete | 8.42% | 14.50% | 2024-11-29 | -6.55% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.34% | 8.99% | 2024-09-30 | -5.44% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.99% | 12.47% | 2024-11-29 | -6.69% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.68% | 11.73% | 2024-09-27 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.16% | 16.18% | 2024-12-04 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.23% | 10.46% | 2024-09-27 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.43% | 14.16% | 2024-12-04 | -6.86% |
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 |
|---|---|---|---|---|---|
| ABT | 2024-07-01 | 99.36 | 0.2875 | 0.4441 | no |
| ACGL | 2024-07-01 | 96.96 | 0.3906 | 0.4448 | no |
| ADM | 2024-07-01 | 56.34 | 0.2661 | 0.4556 | no |
| AEE | 2024-07-01 | 66.79 | 0.3397 | 0.4717 | no |
| AMP | 2024-07-01 | 417.73 | 0.1761 | 0.4713 | no |
| AMZN | 2024-07-01 | 193.49 | 0.1797 | 0.4945 | no |
| AXON | 2024-07-01 | 296.56 | 0.1767 | 0.4493 | no |
| BG | 2024-07-01 | 100.58 | 0.1948 | 0.4703 | no |
| BKR | 2024-07-01 | 33.84 | 0.2037 | 0.4417 | no |
| BWA | 2024-07-01 | 31.55 | 0.2734 | 0.4193 | no |
| CB | 2024-07-01 | 251.32 | 0.2869 | 0.4833 | no |
| CCI | 2024-07-01 | 86.17 | 0.2534 | 0.4423 | no |
| CNC | 2024-07-01 | 66.31 | 0.2984 | 0.4559 | no |
| DLTR | 2024-07-01 | 106.87 | 0.3704 | 0.5501 | no |
| DRI | 2024-07-01 | 141.28 | 0.1762 | 0.4275 | no |
| DTE | 2024-07-01 | 104.31 | 0.2121 | 0.4750 | no |
| DVN | 2024-07-01 | 44.75 | 0.2135 | 0.5729 | no |
| ECL | 2024-07-01 | 233.49 | 0.1832 | 0.4758 | no |
| EG | 2024-07-01 | 369.99 | 0.1920 | 0.4822 | no |
| EIX | 2024-07-01 | 64.52 | 0.2139 | 0.4817 | no |
| EMR | 2024-07-01 | 106.99 | 0.2207 | 0.5178 | no |
| ES | 2024-07-01 | 52.05 | 0.1845 | 0.4604 | no |
| ETR | 2024-07-01 | 50.42 | 0.2283 | 0.4839 | no |
| ETSY | 2024-07-01 | 59.18 | 0.2468 | 0.5087 | no |
| EVRG | 2024-07-01 | 48.92 | 0.2117 | 0.4842 | no |
| EXPE | 2024-07-01 | 124.50 | 0.3420 | 0.4574 | no |
| FANG | 2024-07-01 | 189.71 | 0.2808 | 0.5619 | no |
| FAST | 2024-07-01 | 30.15 | 0.2678 | 0.5081 | no |
| FOX | 2024-07-01 | 31.27 | 0.1892 | — | no |
| GEHC | 2024-07-01 | 78.04 | 0.3642 | 0.5085 | no |
| HWM | 2024-07-01 | 78.30 | 0.5036 | 0.5312 | no |
| IR | 2024-07-01 | 91.86 | 0.2007 | 0.5313 | no |
| KEYS | 2024-07-01 | 136.75 | 0.3904 | 0.5051 | no |
| KR | 2024-07-01 | 47.58 | 0.1966 | 0.5511 | no |
| LNT | 2024-07-01 | 47.53 | 0.1781 | 0.4237 | no |
| MCD | 2024-07-01 | 241.37 | 0.2959 | 0.4423 | no |
| MET | 2024-07-01 | 66.32 | 0.2958 | 0.4659 | no |
| NUE | 2024-07-01 | 153.86 | 0.1826 | 0.4452 | no |
| PFE | 2024-07-01 | 24.07 | 0.2657 | 0.5358 | no |
| QRVO | 2024-07-01 | 116.94 | 0.6601 | — | no |
| STZ | 2024-07-01 | 244.83 | 0.2121 | 0.4274 | no |
| SWK | 2024-07-01 | 72.87 | 0.4361 | 0.5180 | no |
| SWKS | 2024-07-01 | 98.65 | 0.2120 | 0.5397 | no |
| TXT | 2024-07-01 | 86.29 | 0.1908 | 0.5097 | no |
| UAL | 2024-07-01 | 48.72 | 0.2906 | 0.4516 | no |
| VTRS | 2024-07-01 | 9.72 | 0.1938 | 0.4441 | no |
| WFC | 2024-07-01 | 56.64 | 0.2167 | 0.4232 | no |
| WMT | 2024-07-01 | 66.48 | 0.2299 | 0.5326 | no |
| WY | 2024-07-01 | 26.32 | 0.1989 | 0.5169 | no |
| XRAY | 2024-07-01 | 23.50 | 0.2302 | 0.4395 | no |