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 | 5.26% | 5.72% | 2024-10-14 | -6.65% |
| buy & hold | participation factor overlay | 6 months | complete | 4.45% | 8.09% | 2024-11-29 | -6.65% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.43% | 5.79% | 2024-10-14 | -5.90% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.44% | 8.74% | 2024-12-02 | -5.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.34% | 11.09% | 2024-10-14 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.80% | 11.85% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.25% | 8.55% | 2024-10-14 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.54% | 9.77% | 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 |
|---|---|---|---|---|---|
| ADM | 2024-07-15 | 59.45 | 0.1781 | 0.4333 | no |
| ADSK | 2024-07-15 | 253.33 | 0.2411 | 0.4754 | no |
| ALB | 2024-07-15 | 90.16 | 0.3634 | 0.4452 | no |
| ALL | 2024-07-15 | 157.30 | 0.2277 | 0.4374 | no |
| ANET | 2024-07-15 | 91.27 | 0.3040 | 0.4810 | no |
| AWK | 2024-07-15 | 130.74 | 0.3891 | 0.4902 | no |
| BKNG | 2024-07-15 | 158.41 | 0.1831 | 0.4038 | no |
| BMY | 2024-07-15 | 37.03 | 0.3146 | 0.5429 | no |
| CMI | 2024-07-15 | 274.44 | 0.2088 | 0.4908 | no |
| CNP | 2024-07-15 | 28.48 | 0.1988 | 0.4527 | no |
| CTAS | 2024-07-15 | 176.85 | 0.2230 | 0.4496 | no |
| CVX | 2024-07-15 | 142.85 | 0.2423 | 0.4940 | no |
| DG | 2024-07-15 | 126.47 | 0.2541 | 0.5474 | no |
| DTE | 2024-07-15 | 106.56 | 0.2558 | 0.4601 | no |
| EVRG | 2024-07-15 | 50.02 | 0.2162 | 0.4678 | no |
| FE | 2024-07-15 | 35.81 | 0.1951 | 0.4478 | no |
| GEHC | 2024-07-15 | 79.93 | 0.2418 | 0.4951 | no |
| GLW | 2024-07-15 | 44.16 | 0.2098 | 0.4943 | no |
| GOOG | 2024-07-15 | 184.95 | 0.2151 | — | no |
| GRMN | 2024-07-15 | 163.12 | 0.3085 | 0.4969 | no |
| HIG | 2024-07-15 | 98.10 | 0.1800 | 0.4435 | no |
| HSIC | 2024-07-15 | 65.36 | 0.2535 | 0.4381 | no |
| IFF | 2024-07-15 | 94.16 | 0.2463 | 0.4515 | no |
| JKHY | 2024-07-15 | 161.12 | 0.2626 | 0.4058 | no |
| KHC | 2024-07-15 | 28.09 | 0.2042 | 0.4219 | no |
| LYB | 2024-07-15 | 81.35 | 0.2153 | 0.4482 | no |
| MCD | 2024-07-15 | 240.24 | 0.2887 | 0.4048 | no |
| MCHP | 2024-07-15 | 87.08 | 0.1864 | 0.5462 | no |
| MCO | 2024-07-15 | 440.39 | 0.1778 | 0.4814 | no |
| MDT | 2024-07-15 | 72.95 | 0.2047 | 0.4371 | no |
| NTAP | 2024-07-15 | 125.63 | 0.1979 | 0.5168 | no |
| NUE | 2024-07-15 | 158.13 | 0.2465 | 0.4549 | no |
| NVR | 2024-07-15 | 8080.00 | 0.1799 | — | no |
| PEG | 2024-07-15 | 70.61 | 0.3670 | 0.4446 | no |
| PFG | 2024-07-15 | 78.41 | 0.2586 | 0.4574 | no |
| PNC | 2024-07-15 | 157.67 | 0.2320 | 0.4259 | no |
| PNW | 2024-07-15 | 72.91 | 0.2028 | 0.4109 | no |
| QRVO | 2024-07-15 | 123.98 | 0.6126 | — | no |
| SMCI | 2024-07-15 | 94.00 | 0.2468 | 0.4551 | no |
| SPGI | 2024-07-15 | 445.07 | 0.2447 | 0.4854 | no |
| TER | 2024-07-15 | 155.99 | 0.2885 | 0.5534 | no |
| TGT | 2024-07-15 | 140.35 | 0.2426 | 0.5279 | no |
| TXN | 2024-07-15 | 189.78 | 0.2573 | 0.5364 | no |
| UAL | 2024-07-15 | 44.71 | 0.3227 | 0.4412 | no |
| UBER | 2024-07-15 | 73.06 | 0.2019 | 0.4710 | no |
| ULTA | 2024-07-15 | 404.00 | 0.2711 | 0.4434 | no |
| UNP | 2024-07-15 | 219.43 | 0.2500 | 0.4772 | no |
| VICI | 2024-07-15 | 25.78 | 0.2255 | 0.4387 | no |
| VST | 2024-07-15 | 89.27 | 0.7350 | 0.4273 | no |
| WST | 2024-07-15 | 320.94 | 0.3428 | 0.4074 | no |