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 | 8.44% | 9.90% | 2024-09-30 | -5.72% |
| buy & hold | participation factor overlay | 6 months | complete | 7.84% | 11.84% | 2024-11-29 | -6.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.25% | 11.58% | 2024-09-30 | -5.55% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.28% | 13.53% | 2024-11-29 | -6.10% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.34% | 11.66% | 2024-09-27 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.16% | 14.34% | 2024-12-02 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.01% | 8.54% | 2024-09-27 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.98% | 11.81% | 2024-12-02 | -7.24% |
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 |
|---|---|---|---|---|---|
| ABBV | 2024-07-08 | 154.53 | 0.1851 | 0.5027 | no |
| AIZ | 2024-07-08 | 154.91 | 0.2106 | 0.4127 | no |
| AMD | 2024-07-08 | 174.90 | 0.1685 | 0.5492 | no |
| APTV | 2024-07-08 | 70.94 | 0.2091 | 0.4218 | no |
| CMG | 2024-07-08 | 62.46 | 0.2965 | 0.4235 | no |
| DG | 2024-07-08 | 122.83 | 0.1850 | 0.5526 | no |
| DLR | 2024-07-08 | 141.99 | 0.1640 | 0.4110 | no |
| DTE | 2024-07-08 | 102.73 | 0.2106 | 0.4668 | no |
| EQT | 2024-07-08 | 35.61 | 0.1636 | 0.5253 | no |
| ES | 2024-07-08 | 52.15 | 0.2254 | 0.4482 | no |
| ETN | 2024-07-08 | 311.55 | 0.2158 | 0.5073 | no |
| ETR | 2024-07-08 | 49.41 | 0.1918 | 0.4663 | no |
| ETSY | 2024-07-08 | 58.47 | 0.4002 | 0.5022 | no |
| EXPE | 2024-07-08 | 122.79 | 0.1900 | 0.4505 | no |
| GEHC | 2024-07-08 | 76.69 | 0.3065 | 0.5020 | no |
| GL | 2024-07-08 | 80.57 | 0.2398 | 0.4678 | no |
| GM | 2024-07-08 | 45.80 | 0.2925 | 0.4485 | no |
| GOOGL | 2024-07-08 | 188.33 | 0.2842 | 0.5227 | no |
| GPC | 2024-07-08 | 123.40 | 0.1590 | 0.5244 | no |
| HSIC | 2024-07-08 | 65.23 | 0.1781 | 0.4456 | no |
| HUBB | 2024-07-08 | 365.47 | 0.1794 | 0.5108 | no |
| HWM | 2024-07-08 | 78.82 | 0.1950 | 0.5283 | no |
| JBL | 2024-07-08 | 108.55 | 0.2893 | 0.4971 | no |
| KHC | 2024-07-08 | 28.11 | 0.2881 | 0.4310 | no |
| L | 2024-07-08 | 73.71 | 0.2494 | — | no |
| MCD | 2024-07-08 | 238.46 | 0.2322 | 0.4230 | no |
| MDT | 2024-07-08 | 72.58 | 0.4493 | 0.4369 | no |
| MET | 2024-07-08 | 65.31 | 0.1680 | 0.4556 | no |
| META | 2024-07-08 | 538.73 | 0.2598 | 0.5069 | no |
| MHK | 2024-07-08 | 110.30 | 0.1875 | 0.4960 | no |
| MSCI | 2024-07-08 | 480.88 | 0.3616 | 0.5032 | no |
| MTCH | 2024-07-08 | 28.37 | 0.2136 | 0.4265 | no |
| NEE | 2024-07-08 | 67.58 | 0.1811 | 0.4287 | no |
| NFLX | 2024-07-08 | 68.70 | 0.3302 | — | no |
| PARA | 2024-07-08 | 1275.09 | 0.1628 | — | no |
| PFE | 2024-07-08 | 24.15 | 0.3174 | 0.5316 | no |
| PFG | 2024-07-08 | 72.71 | 0.2158 | 0.4629 | no |
| QRVO | 2024-07-08 | 118.75 | 0.4889 | — | no |
| RF | 2024-07-08 | 17.93 | 0.1775 | 0.4191 | no |
| RTX | 2024-07-08 | 96.71 | 0.2908 | 0.5092 | no |
| SOLV | 2024-07-08 | 50.00 | 0.2514 | — | no |
| SWK | 2024-07-08 | 73.10 | 0.3889 | 0.5085 | no |
| TGT | 2024-07-08 | 139.44 | 0.1608 | 0.5366 | no |
| TXT | 2024-07-08 | 85.09 | 0.1961 | 0.5060 | no |
| VLO | 2024-07-08 | 143.16 | 0.2376 | 0.4604 | no |
| VST | 2024-07-08 | 88.86 | 0.3016 | 0.4437 | no |
| WFC | 2024-07-08 | 56.98 | 0.3425 | 0.4224 | no |
| WY | 2024-07-08 | 25.56 | 0.2001 | 0.4978 | no |
| XYL | 2024-07-08 | 131.03 | 0.2183 | 0.4872 | no |
| YUM | 2024-07-08 | 124.34 | 0.1718 | 0.4212 | no |