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 | 8.55% | 8.55% | 2024-10-15 | -4.80% |
| buy & hold | participation factor overlay | 6 months | complete | 7.77% | 11.42% | 2024-11-29 | -6.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.68% | 10.68% | 2024-10-15 | -4.97% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.69% | 14.62% | 2024-11-29 | -6.11% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.79% | 10.47% | 2024-10-14 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.11% | 14.07% | 2024-12-04 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.22% | 8.89% | 2024-10-14 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.10% | 12.15% | 2024-12-04 | -6.86% |
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 | 0.1925 | 0.4333 | no |
| ADSK | 2024-07-15 | 253.33 | 0.2508 | 0.4754 | no |
| AFL | 2024-07-15 | 88.64 | 0.1684 | 0.4554 | no |
| AJG | 2024-07-15 | 265.69 | 0.1777 | 0.4651 | no |
| AKAM | 2024-07-15 | 95.38 | 0.3053 | 0.4401 | no |
| ALB | 2024-07-15 | 90.16 | 0.3196 | 0.4452 | no |
| ALL | 2024-07-15 | 157.30 | 0.2521 | 0.4374 | no |
| AWK | 2024-07-15 | 130.74 | 0.3053 | 0.4902 | no |
| AXON | 2024-07-15 | 294.77 | 0.2047 | 0.4462 | no |
| BG | 2024-07-15 | 103.92 | 0.1750 | 0.4443 | no |
| BMY | 2024-07-15 | 37.03 | 0.2627 | 0.5429 | no |
| CMI | 2024-07-15 | 274.44 | 0.2202 | 0.4908 | no |
| CNP | 2024-07-15 | 28.48 | 0.2924 | 0.4527 | no |
| CVX | 2024-07-15 | 142.85 | 0.2738 | 0.4940 | no |
| DG | 2024-07-15 | 126.47 | 0.1869 | 0.5474 | no |
| DHI | 2024-07-15 | 150.21 | 0.3209 | 0.4765 | no |
| DLR | 2024-07-15 | 148.96 | 0.2286 | 0.4132 | no |
| DTE | 2024-07-15 | 106.56 | 0.2424 | 0.4601 | no |
| EXC | 2024-07-15 | 32.16 | 0.1859 | 0.4415 | no |
| FIS | 2024-07-15 | 72.16 | 0.1995 | — | no |
| GEHC | 2024-07-15 | 79.93 | 0.2021 | 0.4951 | no |
| HPE | 2024-07-15 | 20.19 | 0.2373 | 0.5457 | no |
| HWM | 2024-07-15 | 79.18 | 0.1956 | 0.5211 | no |
| IFF | 2024-07-15 | 94.16 | 0.3109 | 0.4515 | no |
| JKHY | 2024-07-15 | 161.12 | 0.2162 | 0.4058 | no |
| KHC | 2024-07-15 | 28.09 | 0.2587 | 0.4219 | no |
| L | 2024-07-15 | 76.71 | 0.2698 | — | no |
| MCD | 2024-07-15 | 240.24 | 0.2800 | 0.4048 | no |
| MDLZ | 2024-07-15 | 61.35 | 0.2286 | 0.4274 | no |
| MDT | 2024-07-15 | 72.95 | 0.2671 | 0.4371 | no |
| META | 2024-07-15 | 495.31 | 0.1903 | 0.5016 | no |
| MU | 2024-07-15 | 133.07 | 0.2727 | 0.5615 | no |
| NI | 2024-07-15 | 28.12 | 0.2831 | 0.4266 | no |
| NOC | 2024-07-15 | 418.03 | 0.2429 | 0.4956 | no |
| NTAP | 2024-07-15 | 125.63 | 0.1679 | 0.5168 | no |
| NVR | 2024-07-15 | 8080.00 | 0.1921 | — | no |
| PFE | 2024-07-15 | 25.00 | 0.1740 | 0.5283 | no |
| PFG | 2024-07-15 | 78.41 | 0.2548 | 0.4574 | no |
| PNC | 2024-07-15 | 157.67 | 0.2128 | 0.4259 | no |
| POOL | 2024-07-15 | 315.27 | 0.2912 | 0.4199 | no |
| QRVO | 2024-07-15 | 123.98 | 0.4480 | — | no |
| SMCI | 2024-07-15 | 94.00 | 0.1718 | 0.4551 | no |
| SPG | 2024-07-15 | 134.75 | 0.1703 | 0.4154 | no |
| SPGI | 2024-07-15 | 445.07 | 0.1757 | 0.4854 | no |
| TGT | 2024-07-15 | 140.35 | 0.2276 | 0.5279 | no |
| UAL | 2024-07-15 | 44.71 | 0.3402 | 0.4412 | no |
| ULTA | 2024-07-15 | 404.00 | 0.2754 | 0.4434 | no |
| VICI | 2024-07-15 | 25.78 | 0.1696 | 0.4387 | no |
| VRSN | 2024-07-15 | 174.48 | 0.1660 | 0.4358 | no |
| VST | 2024-07-15 | 89.27 | 0.5326 | 0.4273 | no |