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 | 8.53% | 9.51% | 2024-10-04 | -5.57% |
| buy & hold | participation factor overlay | 6 months | complete | 8.32% | 12.91% | 2024-11-29 | -6.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.81% | 9.52% | 2024-09-30 | -6.06% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.78% | 13.54% | 2024-12-02 | -6.80% |
| weekly rebalance | participation factor overlay | 3 months | complete | 11.33% | 12.57% | 2024-09-27 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.01% | 14.13% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.17% | 10.54% | 2024-09-27 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.24% | 12.24% | 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 |
|---|---|---|---|---|---|
| ABBV | 2024-07-08 | 154.53 | 0.2097 | 0.5027 | no |
| AIZ | 2024-07-08 | 154.91 | 0.2642 | 0.4127 | no |
| ALL | 2024-07-08 | 152.16 | 0.1445 | 0.4409 | no |
| BDX | 2024-07-08 | 170.41 | 0.1748 | 0.4368 | no |
| CI | 2024-07-08 | 305.95 | 0.1975 | 0.4119 | no |
| CNC | 2024-07-08 | 66.59 | 0.3251 | 0.4516 | no |
| CTAS | 2024-07-08 | 174.75 | 0.1612 | 0.4581 | no |
| CTVA | 2024-07-08 | 51.29 | 0.2459 | 0.4650 | no |
| CZR | 2024-07-08 | 37.39 | 0.3892 | 0.4476 | no |
| DG | 2024-07-08 | 122.83 | 0.3138 | 0.5526 | no |
| DTE | 2024-07-08 | 102.73 | 0.1919 | 0.4668 | no |
| DVA | 2024-07-08 | 136.97 | 0.1688 | 0.4337 | no |
| ECL | 2024-07-08 | 236.84 | 0.1626 | 0.4631 | no |
| EFX | 2024-07-08 | 238.25 | 0.1617 | 0.4825 | no |
| ETN | 2024-07-08 | 311.55 | 0.2149 | 0.5073 | no |
| ETR | 2024-07-08 | 49.41 | 0.1616 | 0.4663 | no |
| ETSY | 2024-07-08 | 58.47 | 0.3745 | 0.5022 | no |
| EXPE | 2024-07-08 | 122.79 | 0.2268 | 0.4505 | no |
| GEHC | 2024-07-08 | 76.69 | 0.1741 | 0.5020 | no |
| GEV | 2024-07-08 | 176.07 | 0.1689 | 0.4741 | no |
| HSIC | 2024-07-08 | 65.23 | 0.3720 | 0.4456 | no |
| HUBB | 2024-07-08 | 365.47 | 0.2397 | 0.5108 | no |
| JBL | 2024-07-08 | 108.55 | 0.4060 | 0.4971 | no |
| KHC | 2024-07-08 | 28.11 | 0.1435 | 0.4310 | no |
| L | 2024-07-08 | 73.71 | 0.2716 | — | no |
| LDOS | 2024-07-08 | 142.47 | 0.2475 | 0.5077 | no |
| MDT | 2024-07-08 | 72.58 | 0.2683 | 0.4369 | no |
| META | 2024-07-08 | 538.73 | 0.2484 | 0.5069 | no |
| MSCI | 2024-07-08 | 480.88 | 0.2853 | 0.5032 | no |
| NEE | 2024-07-08 | 67.58 | 0.2107 | 0.4287 | no |
| NFLX | 2024-07-08 | 68.70 | 0.3877 | — | no |
| NUE | 2024-07-08 | 149.15 | 0.2998 | 0.4448 | no |
| OMC | 2024-07-08 | 83.05 | 0.2450 | 0.4147 | no |
| ORLY | 2024-07-08 | 68.14 | 0.2731 | 0.5093 | no |
| PARA | 2024-07-08 | 1275.09 | 0.1493 | — | no |
| QRVO | 2024-07-08 | 118.75 | 0.5203 | — | no |
| RTX | 2024-07-08 | 96.71 | 0.1704 | 0.5092 | no |
| SMCI | 2024-07-08 | 86.40 | 0.1708 | 0.4526 | no |
| SOLV | 2024-07-08 | 50.00 | 0.2933 | — | no |
| SPGI | 2024-07-08 | 422.15 | 0.1665 | 0.4899 | no |
| SWK | 2024-07-08 | 73.10 | 0.4836 | 0.5085 | no |
| TGT | 2024-07-08 | 139.44 | 0.2245 | 0.5366 | no |
| TSCO | 2024-07-08 | 50.43 | 0.1882 | 0.5136 | no |
| TXT | 2024-07-08 | 85.09 | 0.1889 | 0.5060 | no |
| UAL | 2024-07-08 | 47.56 | 0.1952 | 0.4460 | no |
| UBER | 2024-07-08 | 71.31 | 0.2325 | 0.4836 | no |
| VLO | 2024-07-08 | 143.16 | 0.2548 | 0.4604 | no |
| VST | 2024-07-08 | 88.86 | 0.4375 | 0.4437 | no |
| WFC | 2024-07-08 | 56.98 | 0.2351 | 0.4224 | no |
| XOM | 2024-07-08 | 104.57 | 0.1572 | — | no |