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 | 8.95% | 11.08% | 2024-10-16 | -5.85% |
| buy & hold | participation factor overlay | 6 months | complete | 12.55% | 15.56% | 2025-01-23 | -7.53% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.01% | 10.02% | 2024-10-16 | -6.43% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.35% | 16.08% | 2025-01-23 | -6.68% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.14% | 9.67% | 2024-10-18 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.89% | 11.08% | 2025-01-23 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.77% | 6.10% | 2024-10-18 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.21% | 8.71% | 2025-01-23 | -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 |
|---|---|---|---|---|---|
| ABT | 2024-07-29 | 96.46 | 0.2768 | 0.4453 | no |
| ADP | 2024-07-29 | 241.05 | 0.2058 | 0.4832 | no |
| AEP | 2024-07-29 | 89.59 | 0.2078 | 0.4486 | no |
| ALB | 2024-07-29 | 88.05 | 0.4432 | 0.4452 | no |
| ALL | 2024-07-29 | 162.31 | 0.2193 | 0.4370 | no |
| AMAT | 2024-07-29 | 204.63 | 0.2584 | 0.5698 | no |
| AMGN | 2024-07-29 | 312.37 | 0.2706 | 0.4983 | no |
| BAC | 2024-07-29 | 39.71 | 0.3662 | 0.4482 | no |
| BG | 2024-07-29 | 106.68 | 0.2149 | 0.4444 | no |
| BLDR | 2024-07-29 | 167.92 | 0.2940 | 0.4363 | no |
| CEG | 2024-07-29 | 173.70 | 0.3516 | 0.4430 | no |
| CNC | 2024-07-29 | 73.39 | 0.6844 | 0.4339 | no |
| COF | 2024-07-29 | 144.81 | 0.2262 | 0.4456 | no |
| CRM | 2024-07-29 | 258.53 | 0.2993 | 0.4462 | no |
| CRWD | 2024-07-29 | 64.88 | 0.2635 | 0.5412 | no |
| CSCO | 2024-07-29 | 45.60 | 0.2119 | 0.4992 | no |
| DOV | 2024-07-29 | 180.97 | 0.2996 | 0.5007 | no |
| DTE | 2024-07-29 | 110.65 | 0.2433 | 0.4430 | no |
| ETR | 2024-07-29 | 53.32 | 0.2488 | 0.4603 | no |
| FCX | 2024-07-29 | 43.38 | 0.2458 | 0.4909 | no |
| FIS | 2024-07-29 | 71.38 | 0.3464 | — | no |
| GLW | 2024-07-29 | 41.45 | 0.2151 | 0.4936 | no |
| GPC | 2024-07-29 | 131.23 | 0.4240 | 0.4985 | no |
| GWW | 2024-07-29 | 953.26 | 0.2564 | 0.5186 | no |
| ICE | 2024-07-29 | 147.04 | 0.2963 | 0.4890 | no |
| INCY | 2024-07-29 | 68.51 | 0.2218 | 0.5014 | no |
| KHC | 2024-07-29 | 29.15 | 0.1842 | 0.4216 | no |
| KKR | 2024-07-29 | 117.70 | 0.3580 | 0.4744 | no |
| KMI | 2024-07-29 | 19.44 | 0.2385 | 0.4331 | no |
| LMT | 2024-07-29 | 493.13 | 0.2399 | 0.5044 | no |
| LRCX | 2024-07-29 | 89.38 | 0.3565 | 0.5630 | no |
| MLM | 2024-07-29 | 559.53 | 0.2422 | 0.4925 | no |
| NDAQ | 2024-07-29 | 65.06 | 0.2247 | 0.4824 | no |
| NI | 2024-07-29 | 29.50 | 0.1996 | 0.4266 | no |
| NRG | 2024-07-29 | 71.91 | 0.2799 | 0.4543 | no |
| NVDA | 2024-07-29 | 113.38 | 0.6999 | 0.5362 | no |
| PANW | 2024-07-29 | 163.75 | 0.3337 | 0.5648 | no |
| PHM | 2024-07-29 | 128.21 | 0.2030 | 0.4872 | no |
| REGN | 2024-07-29 | 1063.58 | 0.2360 | 0.4886 | no |
| SYK | 2024-07-29 | 325.97 | 0.1857 | 0.4514 | no |
| TDG | 2024-07-29 | 1100.06 | 0.2264 | 0.4861 | no |
| UAL | 2024-07-29 | 47.37 | 0.5818 | 0.4376 | no |
| UNP | 2024-07-29 | 229.31 | 0.3442 | 0.4893 | no |
| VRSN | 2024-07-29 | 181.43 | 0.2669 | 0.4349 | no |
| VRTX | 2024-07-29 | 495.12 | 0.2033 | 0.5816 | no |
| VST | 2024-07-29 | 71.08 | 0.8688 | 0.4286 | no |
| WDC | 2024-07-29 | 51.90 | 0.3770 | 0.5468 | no |
| WYNN | 2024-07-29 | 79.85 | 0.2638 | 0.4233 | no |
| XEL | 2024-07-29 | 53.60 | 0.2017 | 0.4543 | no |
| YUM | 2024-07-29 | 122.48 | 0.3253 | 0.4035 | no |