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 | 9.46% | 11.92% | 2024-10-16 | -5.87% |
| buy & hold | participation factor overlay | 6 months | complete | 13.43% | 16.36% | 2025-01-23 | -7.83% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.57% | 9.35% | 2024-10-16 | -6.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.01% | 12.95% | 2025-01-23 | -7.20% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.15% | 11.00% | 2024-10-18 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.28% | 12.21% | 2024-11-25 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.18% | 7.58% | 2024-10-18 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.23% | 8.48% | 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 |
|---|---|---|---|---|---|
| ABT | 2024-07-29 | 96.46 | 0.2541 | 0.4453 | no |
| ALB | 2024-07-29 | 88.05 | 0.4486 | 0.4452 | no |
| ALL | 2024-07-29 | 162.31 | 0.2146 | 0.4370 | no |
| AMD | 2024-07-29 | 141.19 | 0.2945 | 0.5474 | no |
| BAC | 2024-07-29 | 39.71 | 0.2704 | 0.4482 | no |
| BLDR | 2024-07-29 | 167.92 | 0.3269 | 0.4363 | no |
| BWA | 2024-07-29 | 31.80 | 0.2710 | 0.4182 | no |
| CEG | 2024-07-29 | 173.70 | 0.4111 | 0.4430 | no |
| CMS | 2024-07-29 | 58.84 | 0.2184 | 0.4631 | no |
| CNC | 2024-07-29 | 73.39 | 0.6044 | 0.4339 | no |
| CRM | 2024-07-29 | 258.53 | 0.2611 | 0.4462 | no |
| CRWD | 2024-07-29 | 64.88 | 0.2319 | 0.5412 | no |
| DOV | 2024-07-29 | 180.97 | 0.3487 | 0.5007 | no |
| DTE | 2024-07-29 | 110.65 | 0.3175 | 0.4430 | no |
| EG | 2024-07-29 | 367.30 | 0.2687 | 0.4617 | no |
| EQT | 2024-07-29 | 33.47 | 0.2487 | 0.5107 | no |
| ETR | 2024-07-29 | 53.32 | 0.2900 | 0.4603 | no |
| FAST | 2024-07-29 | 33.88 | 0.2048 | 0.4924 | no |
| FCX | 2024-07-29 | 43.38 | 0.3181 | 0.4909 | no |
| FIS | 2024-07-29 | 71.38 | 0.3435 | — | no |
| GLW | 2024-07-29 | 41.45 | 0.4262 | 0.4936 | no |
| GPC | 2024-07-29 | 131.23 | 0.3720 | 0.4985 | no |
| GS | 2024-07-29 | 478.13 | 0.2054 | 0.4553 | no |
| GWW | 2024-07-29 | 953.26 | 0.2734 | 0.5186 | no |
| HSIC | 2024-07-29 | 72.16 | 0.2038 | 0.4378 | no |
| KKR | 2024-07-29 | 117.70 | 0.2439 | 0.4744 | no |
| LRCX | 2024-07-29 | 89.38 | 0.2653 | 0.5630 | no |
| MHK | 2024-07-29 | 161.02 | 0.2983 | 0.4530 | no |
| MLM | 2024-07-29 | 559.53 | 0.3981 | 0.4925 | no |
| MOH | 2024-07-29 | 332.84 | 0.3423 | 0.4089 | no |
| NEE | 2024-07-29 | 69.74 | 0.2181 | 0.4227 | no |
| NI | 2024-07-29 | 29.50 | 0.2512 | 0.4266 | no |
| NOW | 2024-07-29 | 165.80 | 0.3474 | 0.4863 | no |
| NRG | 2024-07-29 | 71.91 | 0.2504 | 0.4543 | no |
| NVDA | 2024-07-29 | 113.38 | 0.8886 | 0.5362 | no |
| NVR | 2024-07-29 | 8617.37 | 0.2662 | — | no |
| PHM | 2024-07-29 | 128.21 | 0.3279 | 0.4872 | no |
| REGN | 2024-07-29 | 1063.58 | 0.3315 | 0.4886 | no |
| SPG | 2024-07-29 | 137.27 | 0.2159 | 0.4156 | no |
| SYK | 2024-07-29 | 325.97 | 0.2090 | 0.4514 | no |
| TDG | 2024-07-29 | 1100.06 | 0.2024 | 0.4861 | no |
| UAL | 2024-07-29 | 47.37 | 0.6512 | 0.4376 | no |
| UNP | 2024-07-29 | 229.31 | 0.2588 | 0.4893 | no |
| VRSN | 2024-07-29 | 181.43 | 0.2352 | 0.4349 | no |
| VST | 2024-07-29 | 71.08 | 0.8586 | 0.4286 | no |
| WDC | 2024-07-29 | 51.90 | 0.2645 | 0.5468 | no |
| WMB | 2024-07-29 | 39.56 | 0.2050 | 0.4528 | no |
| WYNN | 2024-07-29 | 79.85 | 0.2303 | 0.4233 | no |
| XEL | 2024-07-29 | 53.60 | 0.2375 | 0.4543 | no |
| YUM | 2024-07-29 | 122.48 | 0.2354 | 0.4035 | no |