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 | 7.67% | 8.04% | 2024-10-14 | -5.20% |
| buy & hold | participation factor overlay | 6 months | complete | 7.75% | 10.72% | 2024-11-29 | -5.89% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.34% | 7.61% | 2024-10-14 | -5.01% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.85% | 9.58% | 2024-11-29 | -6.05% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.60% | 10.05% | 2024-10-14 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.45% | 12.09% | 2024-11-25 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.42% | 7.71% | 2024-10-14 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.75% | 9.43% | 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 |
|---|---|---|---|---|---|
| AEP | 2024-07-15 | 83.35 | 0.2004 | 0.4489 | no |
| AKAM | 2024-07-15 | 95.38 | 0.2151 | 0.4401 | no |
| ALB | 2024-07-15 | 90.16 | 0.5667 | 0.4452 | no |
| ALL | 2024-07-15 | 157.30 | 0.2244 | 0.4374 | no |
| ANET | 2024-07-15 | 91.27 | 0.2819 | 0.4810 | no |
| AWK | 2024-07-15 | 130.74 | 0.3811 | 0.4902 | no |
| AZO | 2024-07-15 | 2912.50 | 0.2523 | 0.5180 | no |
| CNP | 2024-07-15 | 28.48 | 0.2264 | 0.4527 | no |
| CTVA | 2024-07-15 | 51.84 | 0.3277 | 0.4471 | no |
| CVX | 2024-07-15 | 142.85 | 0.2074 | 0.4940 | no |
| DG | 2024-07-15 | 126.47 | 0.3635 | 0.5474 | no |
| DTE | 2024-07-15 | 106.56 | 0.1858 | 0.4601 | no |
| ETR | 2024-07-15 | 50.95 | 0.1918 | 0.4622 | no |
| EVRG | 2024-07-15 | 50.02 | 0.2755 | 0.4678 | no |
| FE | 2024-07-15 | 35.81 | 0.2525 | 0.4478 | no |
| FIS | 2024-07-15 | 72.16 | 0.3315 | — | no |
| GLW | 2024-07-15 | 44.16 | 0.2534 | 0.4943 | no |
| HPE | 2024-07-15 | 20.19 | 0.2324 | 0.5457 | no |
| IFF | 2024-07-15 | 94.16 | 0.2632 | 0.4515 | no |
| JKHY | 2024-07-15 | 161.12 | 0.2285 | 0.4058 | no |
| KHC | 2024-07-15 | 28.09 | 0.3498 | 0.4219 | no |
| LDOS | 2024-07-15 | 146.52 | 0.2194 | 0.5047 | no |
| MCD | 2024-07-15 | 240.24 | 0.2013 | 0.4048 | no |
| MDT | 2024-07-15 | 72.95 | 0.2570 | 0.4371 | no |
| MKTX | 2024-07-15 | 205.99 | 0.2203 | 0.4944 | no |
| MLM | 2024-07-15 | 550.86 | 0.2120 | 0.4952 | no |
| NFLX | 2024-07-15 | 64.75 | 0.2979 | — | no |
| NI | 2024-07-15 | 28.12 | 0.2256 | 0.4266 | no |
| NOC | 2024-07-15 | 418.03 | 0.2638 | 0.4956 | no |
| NTAP | 2024-07-15 | 125.63 | 0.2511 | 0.5168 | no |
| NTRS | 2024-07-15 | 84.80 | 0.1951 | 0.4398 | no |
| NVDA | 2024-07-15 | 130.20 | 0.3108 | 0.5385 | no |
| PEG | 2024-07-15 | 70.61 | 0.2604 | 0.4446 | no |
| PNC | 2024-07-15 | 157.67 | 0.2599 | 0.4259 | no |
| PNW | 2024-07-15 | 72.91 | 0.2067 | 0.4109 | no |
| POOL | 2024-07-15 | 315.27 | 0.2720 | 0.4199 | no |
| QRVO | 2024-07-15 | 123.98 | 0.3523 | — | no |
| SHW | 2024-07-15 | 311.27 | 0.2606 | 0.4494 | no |
| SMCI | 2024-07-15 | 94.00 | 0.3289 | 0.4551 | no |
| SPGI | 2024-07-15 | 445.07 | 0.2052 | 0.4854 | no |
| TDG | 2024-07-15 | 1107.79 | 0.1992 | 0.4862 | no |
| TER | 2024-07-15 | 155.99 | 0.3096 | 0.5534 | no |
| TGT | 2024-07-15 | 140.35 | 0.2171 | 0.5279 | no |
| TSCO | 2024-07-15 | 51.89 | 0.1956 | 0.5054 | no |
| TXN | 2024-07-15 | 189.78 | 0.3072 | 0.5364 | no |
| UAL | 2024-07-15 | 44.71 | 0.3206 | 0.4412 | no |
| ULTA | 2024-07-15 | 404.00 | 0.5276 | 0.4434 | no |
| UNP | 2024-07-15 | 219.43 | 0.2458 | 0.4772 | no |
| VST | 2024-07-15 | 89.27 | 0.5735 | 0.4273 | no |
| WMB | 2024-07-15 | 40.23 | 0.2237 | 0.4533 | no |