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 | 7.33% | 7.75% | 2024-10-14 | -4.79% |
| buy & hold | participation factor overlay | 6 months | complete | 6.58% | 9.95% | 2024-11-29 | -6.35% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.98% | 7.25% | 2024-10-14 | -5.09% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.38% | 9.40% | 2024-11-29 | -6.52% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.57% | 10.02% | 2024-10-14 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.52% | 11.68% | 2024-12-02 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.91% | 6.29% | 2024-10-14 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.90% | 8.90% | 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 |
|---|---|---|---|---|---|
| ADBE | 2024-07-15 | 560.23 | 0.2307 | 0.5074 | no |
| AEP | 2024-07-15 | 83.35 | 0.1724 | 0.4489 | no |
| ALB | 2024-07-15 | 90.16 | 0.2481 | 0.4452 | no |
| ALL | 2024-07-15 | 157.30 | 0.2494 | 0.4374 | no |
| ANET | 2024-07-15 | 91.27 | 0.2185 | 0.4810 | no |
| AWK | 2024-07-15 | 130.74 | 0.2628 | 0.4902 | no |
| AZO | 2024-07-15 | 2912.50 | 0.2374 | 0.5180 | no |
| BMY | 2024-07-15 | 37.03 | 0.1846 | 0.5429 | no |
| CAG | 2024-07-15 | 24.51 | 0.1773 | 0.4217 | no |
| CB | 2024-07-15 | 253.61 | 0.2141 | 0.4598 | no |
| CMI | 2024-07-15 | 274.44 | 0.2013 | 0.4908 | no |
| CNP | 2024-07-15 | 28.48 | 0.1999 | 0.4527 | no |
| CSCO | 2024-07-15 | 45.21 | 0.1806 | 0.5006 | no |
| DHI | 2024-07-15 | 150.21 | 0.3184 | 0.4765 | no |
| DTE | 2024-07-15 | 106.56 | 0.3638 | 0.4601 | no |
| DUK | 2024-07-15 | 96.63 | 0.1713 | 0.4304 | no |
| DVA | 2024-07-15 | 140.49 | 0.3733 | 0.4249 | no |
| EVRG | 2024-07-15 | 50.02 | 0.2620 | 0.4678 | no |
| FANG | 2024-07-15 | 192.70 | 0.1743 | 0.5276 | no |
| FE | 2024-07-15 | 35.81 | 0.3150 | 0.4478 | no |
| FIS | 2024-07-15 | 72.16 | 0.2309 | — | no |
| GOOG | 2024-07-15 | 184.95 | 0.2064 | — | no |
| GPC | 2024-07-15 | 127.70 | 0.2016 | 0.5190 | no |
| GRMN | 2024-07-15 | 163.12 | 0.3295 | 0.4969 | no |
| HIG | 2024-07-15 | 98.10 | 0.2071 | 0.4435 | no |
| HSIC | 2024-07-15 | 65.36 | 0.2657 | 0.4381 | no |
| JKHY | 2024-07-15 | 161.12 | 0.2519 | 0.4058 | no |
| MCD | 2024-07-15 | 240.24 | 0.2343 | 0.4048 | no |
| MCO | 2024-07-15 | 440.39 | 0.1881 | 0.4814 | no |
| META | 2024-07-15 | 495.31 | 0.2362 | 0.5016 | no |
| NTAP | 2024-07-15 | 125.63 | 0.2708 | 0.5168 | no |
| NUE | 2024-07-15 | 158.13 | 0.2666 | 0.4549 | no |
| NVR | 2024-07-15 | 8080.00 | 0.2205 | — | no |
| OKE | 2024-07-15 | 76.08 | 0.2858 | 0.4684 | no |
| PFG | 2024-07-15 | 78.41 | 0.3311 | 0.4574 | no |
| POOL | 2024-07-15 | 315.27 | 0.2087 | 0.4199 | no |
| QRVO | 2024-07-15 | 123.98 | 0.6169 | — | no |
| RTX | 2024-07-15 | 98.29 | 0.1749 | 0.5071 | no |
| SMCI | 2024-07-15 | 94.00 | 0.3691 | 0.4551 | no |
| SPGI | 2024-07-15 | 445.07 | 0.2010 | 0.4854 | no |
| TER | 2024-07-15 | 155.99 | 0.3128 | 0.5534 | no |
| TGT | 2024-07-15 | 140.35 | 0.2028 | 0.5279 | no |
| TSCO | 2024-07-15 | 51.89 | 0.2177 | 0.5054 | no |
| TXN | 2024-07-15 | 189.78 | 0.3020 | 0.5364 | no |
| UAL | 2024-07-15 | 44.71 | 0.2368 | 0.4412 | no |
| ULTA | 2024-07-15 | 404.00 | 0.3086 | 0.4434 | no |
| UNP | 2024-07-15 | 219.43 | 0.1947 | 0.4772 | no |
| VICI | 2024-07-15 | 25.78 | 0.2520 | 0.4387 | no |
| VLO | 2024-07-15 | 139.95 | 0.2060 | 0.4398 | no |
| VST | 2024-07-15 | 89.27 | 0.5195 | 0.4273 | no |