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 | 6.81% | 7.60% | 2024-09-30 | -6.52% |
| buy & hold | participation factor overlay | 6 months | complete | 3.65% | 9.24% | 2024-11-25 | -6.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.55% | 7.43% | 2024-09-30 | -6.31% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.82% | 9.69% | 2024-10-18 | -7.24% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.12% | 10.64% | 2024-09-27 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.08% | 13.93% | 2024-11-25 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.04% | 8.67% | 2024-09-27 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.03% | 11.18% | 2024-11-25 | -7.55% |
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 | 0.2443 | 0.4441 | no |
| ACGL | 2024-07-01 | 96.96 | 0.2365 | 0.4448 | no |
| ADM | 2024-07-01 | 56.34 | 0.3620 | 0.4556 | no |
| AEE | 2024-07-01 | 66.79 | 0.2738 | 0.4717 | no |
| ALL | 2024-07-01 | 154.52 | 0.1701 | 0.4553 | no |
| BWA | 2024-07-01 | 31.55 | 0.2181 | 0.4193 | no |
| CB | 2024-07-01 | 251.32 | 0.1801 | 0.4833 | no |
| CNC | 2024-07-01 | 66.31 | 0.2112 | 0.4559 | no |
| CZR | 2024-07-01 | 39.74 | 0.2831 | 0.4486 | no |
| DLTR | 2024-07-01 | 106.87 | 0.4222 | 0.5501 | no |
| DTE | 2024-07-01 | 104.31 | 0.2290 | 0.4750 | no |
| DVN | 2024-07-01 | 44.75 | 0.1898 | 0.5729 | no |
| ES | 2024-07-01 | 52.05 | 0.2684 | 0.4604 | no |
| ETR | 2024-07-01 | 50.42 | 0.1811 | 0.4839 | no |
| ETSY | 2024-07-01 | 59.18 | 0.3655 | 0.5087 | no |
| EVRG | 2024-07-01 | 48.92 | 0.2018 | 0.4842 | no |
| EXPE | 2024-07-01 | 124.50 | 0.6230 | 0.4574 | no |
| FANG | 2024-07-01 | 189.71 | 0.2153 | 0.5619 | no |
| FAST | 2024-07-01 | 30.15 | 0.2213 | 0.5081 | no |
| FMC | 2024-07-01 | 52.78 | 0.4708 | 0.4588 | no |
| GEHC | 2024-07-01 | 78.04 | 0.1813 | 0.5085 | no |
| GOOG | 2024-07-01 | 182.96 | 0.1804 | — | no |
| GOOGL | 2024-07-01 | 181.51 | 0.3422 | 0.5225 | no |
| HPQ | 2024-07-01 | 31.92 | 0.2180 | 0.4724 | no |
| HWM | 2024-07-01 | 78.30 | 0.4620 | 0.5312 | no |
| IR | 2024-07-01 | 91.86 | 0.2802 | 0.5313 | no |
| IVZ | 2024-07-01 | 13.69 | 0.1803 | 0.4657 | no |
| KEYS | 2024-07-01 | 136.75 | 0.3723 | 0.5051 | no |
| MCD | 2024-07-01 | 241.37 | 0.2274 | 0.4423 | no |
| MDLZ | 2024-07-01 | 61.88 | 0.1790 | 0.4467 | no |
| MOS | 2024-07-01 | 26.90 | 0.1773 | 0.4443 | no |
| MTCH | 2024-07-01 | 29.13 | 0.3707 | 0.4218 | no |
| NDSN | 2024-07-01 | 224.88 | 0.2200 | 0.4983 | no |
| NEE | 2024-07-01 | 66.93 | 0.1808 | 0.4446 | no |
| NI | 2024-07-01 | 27.14 | 0.1796 | 0.4658 | no |
| PEP | 2024-07-01 | 151.56 | 0.2096 | 0.4201 | no |
| PFE | 2024-07-01 | 24.07 | 0.3487 | 0.5358 | no |
| QRVO | 2024-07-01 | 116.94 | 0.5130 | — | no |
| RF | 2024-07-01 | 18.34 | 0.3738 | 0.4199 | no |
| SMCI | 2024-07-01 | 83.14 | 0.3282 | 0.4575 | no |
| SPG | 2024-07-01 | 135.36 | 0.1895 | 0.4262 | no |
| SWK | 2024-07-01 | 72.87 | 0.4059 | 0.5180 | no |
| SWKS | 2024-07-01 | 98.65 | 0.4456 | 0.5397 | no |
| SYF | 2024-07-01 | 45.55 | 0.4099 | 0.4517 | no |
| TGT | 2024-07-01 | 136.21 | 0.2706 | 0.5392 | no |
| TXT | 2024-07-01 | 86.29 | 0.1997 | 0.5097 | no |
| UAL | 2024-07-01 | 48.72 | 0.3142 | 0.4516 | no |
| VMC | 2024-07-01 | 245.55 | 0.3044 | 0.5182 | no |
| WMT | 2024-07-01 | 66.48 | 0.2671 | 0.5326 | no |
| XRAY | 2024-07-01 | 23.50 | 0.2472 | 0.4395 | no |