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 | 7.93% | 8.59% | 2024-10-04 | -6.14% |
| buy & hold | participation factor overlay | 6 months | complete | 5.25% | 10.22% | 2024-10-18 | -6.93% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.55% | 8.23% | 2024-09-30 | -6.02% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.13% | 10.11% | 2024-12-02 | -6.68% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.72% | 11.64% | 2024-10-04 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.81% | 14.82% | 2024-11-25 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.65% | 9.67% | 2024-09-27 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.39% | 12.21% | 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 | 2024-07-08 | 99.00 | 0.1893 | 0.4321 | no |
| ACGL | 2024-07-08 | 93.73 | 0.3546 | 0.4278 | no |
| ADBE | 2024-07-08 | 573.18 | 0.1488 | 0.5117 | no |
| AES | 2024-07-08 | 15.80 | 0.1634 | — | no |
| AIZ | 2024-07-08 | 154.91 | 0.2360 | 0.4127 | no |
| AMD | 2024-07-08 | 174.90 | 0.1640 | 0.5492 | no |
| BDX | 2024-07-08 | 170.41 | 0.2308 | 0.4368 | no |
| CMI | 2024-07-08 | 257.36 | 0.2672 | 0.4965 | no |
| CTVA | 2024-07-08 | 51.29 | 0.1826 | 0.4650 | no |
| DG | 2024-07-08 | 122.83 | 0.3614 | 0.5526 | no |
| DTE | 2024-07-08 | 102.73 | 0.1524 | 0.4668 | no |
| DVA | 2024-07-08 | 136.97 | 0.3733 | 0.4337 | no |
| ECL | 2024-07-08 | 236.84 | 0.1975 | 0.4631 | no |
| EFX | 2024-07-08 | 238.25 | 0.1565 | 0.4825 | no |
| ETN | 2024-07-08 | 311.55 | 0.2358 | 0.5073 | no |
| ETR | 2024-07-08 | 49.41 | 0.2221 | 0.4663 | no |
| ETSY | 2024-07-08 | 58.47 | 0.4533 | 0.5022 | no |
| EXPE | 2024-07-08 | 122.79 | 0.1759 | 0.4505 | no |
| HAL | 2024-07-08 | 31.26 | 0.2080 | 0.4455 | no |
| HSIC | 2024-07-08 | 65.23 | 0.1481 | 0.4456 | no |
| HUBB | 2024-07-08 | 365.47 | 0.3266 | 0.5108 | no |
| J | 2024-07-08 | 111.08 | 0.1408 | 0.5224 | no |
| JBL | 2024-07-08 | 108.55 | 0.4104 | 0.4971 | no |
| KHC | 2024-07-08 | 28.11 | 0.2458 | 0.4310 | no |
| MCD | 2024-07-08 | 238.46 | 0.2183 | 0.4230 | no |
| MDT | 2024-07-08 | 72.58 | 0.3232 | 0.4369 | no |
| META | 2024-07-08 | 538.73 | 0.3652 | 0.5069 | no |
| MHK | 2024-07-08 | 110.30 | 0.1487 | 0.4960 | no |
| MOS | 2024-07-08 | 25.30 | 0.1821 | 0.4252 | no |
| MSCI | 2024-07-08 | 480.88 | 0.3162 | 0.5032 | no |
| NFLX | 2024-07-08 | 68.70 | 0.3321 | — | no |
| NRG | 2024-07-08 | 75.12 | 0.1692 | 0.4588 | no |
| NVDA | 2024-07-08 | 127.14 | 0.1485 | 0.5400 | no |
| PFE | 2024-07-08 | 24.15 | 0.2556 | 0.5316 | no |
| PRU | 2024-07-08 | 105.08 | 0.1522 | 0.4580 | no |
| QRVO | 2024-07-08 | 118.75 | 0.6391 | — | no |
| SMCI | 2024-07-08 | 86.40 | 0.1996 | 0.4526 | no |
| SOLV | 2024-07-08 | 50.00 | 0.2855 | — | no |
| SPG | 2024-07-08 | 131.94 | 0.1487 | 0.4162 | no |
| SPGI | 2024-07-08 | 422.15 | 0.2125 | 0.4899 | no |
| SWK | 2024-07-08 | 73.10 | 0.3713 | 0.5085 | no |
| SWKS | 2024-07-08 | 98.46 | 0.3649 | 0.5158 | no |
| TSCO | 2024-07-08 | 50.43 | 0.2183 | 0.5136 | no |
| TXT | 2024-07-08 | 85.09 | 0.2703 | 0.5060 | no |
| UBER | 2024-07-08 | 71.31 | 0.3327 | 0.4836 | no |
| VLO | 2024-07-08 | 143.16 | 0.1786 | 0.4604 | no |
| VST | 2024-07-08 | 88.86 | 0.3217 | 0.4437 | no |
| WFC | 2024-07-08 | 56.98 | 0.3114 | 0.4224 | no |
| WY | 2024-07-08 | 25.56 | 0.1785 | 0.4978 | no |
| XYL | 2024-07-08 | 131.03 | 0.1906 | 0.4872 | no |