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 | 6.76% | 10.09% | 2024-10-16 | -4.88% |
| buy & hold | participation factor overlay | 6 months | complete | 10.04% | 13.66% | 2024-11-29 | -7.40% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.04% | 8.77% | 2024-10-16 | -5.54% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.76% | 12.70% | 2025-01-24 | -6.83% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.68% | 9.89% | 2024-10-14 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.89% | 10.64% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.71% | 7.13% | 2024-10-18 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.85% | 8.16% | 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 |
|---|---|---|---|---|---|
| AEE | 2024-07-29 | 73.06 | 0.2605 | 0.4532 | no |
| AEP | 2024-07-29 | 89.59 | 0.2482 | 0.4486 | no |
| ALB | 2024-07-29 | 88.05 | 0.2588 | 0.4452 | no |
| ALL | 2024-07-29 | 162.31 | 0.2500 | 0.4370 | no |
| BAC | 2024-07-29 | 39.71 | 0.3960 | 0.4482 | no |
| BALL | 2024-07-29 | 61.52 | 0.1944 | 0.4102 | no |
| BLDR | 2024-07-29 | 167.92 | 0.3483 | 0.4363 | no |
| CEG | 2024-07-29 | 173.70 | 0.2372 | 0.4430 | no |
| CMS | 2024-07-29 | 58.84 | 0.3391 | 0.4631 | no |
| CNC | 2024-07-29 | 73.39 | 0.6880 | 0.4339 | no |
| DG | 2024-07-29 | 112.74 | 0.2288 | 0.5494 | no |
| DOV | 2024-07-29 | 180.97 | 0.5137 | 0.5007 | no |
| DTE | 2024-07-29 | 110.65 | 0.2466 | 0.4430 | no |
| ECL | 2024-07-29 | 240.31 | 0.2206 | 0.4532 | no |
| EQT | 2024-07-29 | 33.47 | 0.2481 | 0.5107 | no |
| ETR | 2024-07-29 | 53.32 | 0.3086 | 0.4603 | no |
| FCX | 2024-07-29 | 43.38 | 0.3650 | 0.4909 | no |
| FICO | 2024-07-29 | 1612.60 | 0.2147 | 0.4953 | no |
| FIS | 2024-07-29 | 71.38 | 0.3894 | — | no |
| GLW | 2024-07-29 | 41.45 | 0.3939 | 0.4936 | no |
| GPC | 2024-07-29 | 131.23 | 0.2977 | 0.4985 | no |
| GWW | 2024-07-29 | 953.26 | 0.2309 | 0.5186 | no |
| HRL | 2024-07-29 | 29.21 | 0.2230 | 0.4096 | no |
| LMT | 2024-07-29 | 493.13 | 0.3572 | 0.5044 | no |
| LRCX | 2024-07-29 | 89.38 | 0.3044 | 0.5630 | no |
| MHK | 2024-07-29 | 161.02 | 0.2445 | 0.4530 | no |
| MLM | 2024-07-29 | 559.53 | 0.2187 | 0.4925 | no |
| MOH | 2024-07-29 | 332.84 | 0.2289 | 0.4089 | no |
| NEE | 2024-07-29 | 69.74 | 0.2081 | 0.4227 | no |
| NI | 2024-07-29 | 29.50 | 0.2453 | 0.4266 | no |
| NOW | 2024-07-29 | 165.80 | 0.2543 | 0.4863 | no |
| NRG | 2024-07-29 | 71.91 | 0.3049 | 0.4543 | no |
| NTAP | 2024-07-29 | 122.29 | 0.3280 | 0.5175 | no |
| NVDA | 2024-07-29 | 113.38 | 0.7790 | 0.5362 | no |
| PAYC | 2024-07-29 | 161.83 | 0.2203 | 0.4457 | no |
| PGR | 2024-07-29 | 198.64 | 0.2139 | 0.4559 | no |
| PHM | 2024-07-29 | 128.21 | 0.4462 | 0.4872 | no |
| REGN | 2024-07-29 | 1063.58 | 0.4033 | 0.4886 | no |
| SPG | 2024-07-29 | 137.27 | 0.3440 | 0.4156 | no |
| SPGI | 2024-07-29 | 456.76 | 0.2464 | 0.4868 | no |
| SYK | 2024-07-29 | 325.97 | 0.2315 | 0.4514 | no |
| TGT | 2024-07-29 | 135.32 | 0.2585 | 0.5298 | no |
| TROW | 2024-07-29 | 99.84 | 0.2438 | 0.4761 | no |
| UAL | 2024-07-29 | 47.37 | 0.5265 | 0.4376 | no |
| ULTA | 2024-07-29 | 371.80 | 0.1982 | 0.4462 | no |
| UNP | 2024-07-29 | 229.31 | 0.2198 | 0.4893 | no |
| VMC | 2024-07-29 | 257.86 | 0.2051 | 0.4940 | no |
| VRSN | 2024-07-29 | 181.43 | 0.2899 | 0.4349 | no |
| VST | 2024-07-29 | 71.08 | 0.6228 | 0.4286 | no |
| XEL | 2024-07-29 | 53.60 | 0.3267 | 0.4543 | no |