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 | 8.50% | 10.59% | 2024-10-16 | -5.48% |
| buy & hold | participation factor overlay | 6 months | complete | 12.11% | 13.07% | 2024-11-29 | -6.43% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.54% | 9.57% | 2024-10-16 | -5.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.78% | 12.61% | 2024-12-02 | -5.98% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.53% | 11.35% | 2024-10-14 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.31% | 12.11% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.25% | 8.83% | 2024-10-18 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.74% | 9.87% | 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 |
|---|---|---|---|---|---|
| ALB | 2024-07-22 | 89.71 | 0.5622 | 0.4452 | no |
| ANET | 2024-07-22 | 83.92 | 0.3203 | 0.4794 | no |
| AWK | 2024-07-22 | 133.25 | 0.2930 | 0.4923 | no |
| AZO | 2024-07-22 | 2955.83 | 0.2693 | 0.5187 | no |
| BMY | 2024-07-22 | 38.67 | 0.3655 | 0.5446 | no |
| COF | 2024-07-22 | 141.61 | 0.3376 | 0.4630 | no |
| CTAS | 2024-07-22 | 187.69 | 0.1899 | 0.4781 | no |
| DTE | 2024-07-22 | 109.19 | 0.2723 | 0.4624 | no |
| ECL | 2024-07-22 | 238.87 | 0.2647 | 0.4534 | no |
| EXR | 2024-07-22 | 149.05 | 0.2659 | 0.4130 | no |
| FAST | 2024-07-22 | 32.48 | 0.2413 | 0.4924 | no |
| FIS | 2024-07-22 | 70.24 | 0.2137 | — | no |
| GLW | 2024-07-22 | 42.93 | 0.2462 | 0.4939 | no |
| GOOG | 2024-07-22 | 180.84 | 0.2139 | — | no |
| GWW | 2024-07-22 | 933.02 | 0.1942 | 0.5192 | no |
| HIG | 2024-07-22 | 97.44 | 0.2078 | 0.4428 | no |
| HSIC | 2024-07-22 | 71.61 | 0.4589 | 0.4378 | no |
| IBM | 2024-07-22 | 172.33 | 0.2904 | 0.4877 | no |
| KMX | 2024-07-22 | 80.50 | 0.2065 | 0.4224 | no |
| LEN | 2024-07-22 | 158.80 | 0.2601 | 0.4797 | no |
| LRCX | 2024-07-22 | 92.60 | 0.2252 | 0.5630 | no |
| MCD | 2024-07-22 | 244.66 | 0.2627 | 0.4050 | no |
| MDLZ | 2024-07-22 | 63.10 | 0.2303 | 0.4271 | no |
| MLM | 2024-07-22 | 554.84 | 0.2013 | 0.4935 | no |
| MOH | 2024-07-22 | 290.27 | 0.2625 | 0.4202 | no |
| MS | 2024-07-22 | 96.43 | 0.2318 | 0.4651 | no |
| NTAP | 2024-07-22 | 122.83 | 0.1979 | 0.5179 | no |
| NVDA | 2024-07-22 | 120.02 | 0.2856 | 0.5374 | no |
| PGR | 2024-07-22 | 196.94 | 0.2589 | 0.4559 | no |
| PHM | 2024-07-22 | 122.10 | 0.2303 | 0.5046 | no |
| POOL | 2024-07-22 | 317.05 | 0.3191 | 0.4180 | no |
| QRVO | 2024-07-22 | 124.88 | 0.3530 | — | no |
| REGN | 2024-07-22 | 1065.30 | 0.2477 | 0.4886 | no |
| SPG | 2024-07-22 | 138.17 | 0.1988 | 0.4156 | no |
| SPGI | 2024-07-22 | 450.68 | 0.1950 | 0.4863 | no |
| STT | 2024-07-22 | 80.02 | 0.1919 | 0.4460 | no |
| SYF | 2024-07-22 | 47.92 | 0.2950 | 0.4102 | no |
| TDG | 2024-07-22 | 1104.01 | 0.3197 | 0.4862 | no |
| TT | 2024-07-22 | 327.91 | 0.2626 | 0.5043 | no |
| UAL | 2024-07-22 | 47.24 | 0.5683 | 0.4376 | no |
| UHS | 2024-07-22 | 179.62 | 0.3162 | 0.4443 | no |
| ULTA | 2024-07-22 | 390.92 | 0.4626 | 0.4442 | no |
| UNP | 2024-07-22 | 231.02 | 0.4640 | 0.4768 | no |
| USB | 2024-07-22 | 41.06 | 0.1856 | 0.4424 | no |
| VRSN | 2024-07-22 | 175.05 | 0.1874 | 0.4358 | no |
| VRTX | 2024-07-22 | 497.00 | 0.1919 | 0.5816 | no |
| VST | 2024-07-22 | 76.34 | 0.6869 | 0.4286 | no |
| WMT | 2024-07-22 | 69.39 | 0.1972 | 0.5218 | no |
| XYL | 2024-07-22 | 135.09 | 0.2055 | 0.4795 | no |
| YUM | 2024-07-22 | 121.44 | 0.2917 | 0.4035 | no |