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 | 11.95% | 15.64% | 2024-10-14 | -5.29% |
| buy & hold | participation factor overlay | 6 months | complete | 16.73% | 19.62% | 2025-01-21 | -6.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.01% | 14.70% | 2024-10-14 | -5.87% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 15.23% | 19.40% | 2025-01-21 | -5.87% |
| weekly rebalance | participation factor overlay | 3 months | complete | 11.39% | 15.35% | 2024-10-18 | -4.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.45% | 18.96% | 2025-01-23 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.60% | 13.02% | 2024-10-18 | -4.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.75% | 16.31% | 2025-01-23 | -6.86% |
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 |
|---|---|---|---|---|---|
| ABBV | 2024-08-05 | 175.53 | 0.2753 | 0.4885 | no |
| ALB | 2024-08-05 | 77.35 | 0.4015 | 0.4585 | no |
| ALGN | 2024-08-05 | 202.82 | 0.4146 | 0.4287 | no |
| AMAT | 2024-08-05 | 172.07 | 0.3473 | 0.5667 | no |
| AMGN | 2024-08-05 | 311.10 | 0.2856 | 0.4984 | no |
| AMP | 2024-08-05 | 383.72 | 0.3062 | 0.4580 | no |
| AVGO | 2024-08-05 | 127.22 | 0.5885 | 0.5516 | no |
| AVY | 2024-08-05 | 201.50 | 0.2794 | 0.4895 | no |
| BEN | 2024-08-05 | 18.95 | 0.3690 | 0.4764 | no |
| CAG | 2024-08-05 | 26.97 | 0.2620 | 0.4220 | no |
| CDW | 2024-08-05 | 204.40 | 0.2648 | 0.5110 | no |
| CE | 2024-08-05 | 125.11 | 0.4188 | 0.4405 | no |
| CNC | 2024-08-05 | 77.20 | 0.3509 | 0.4340 | no |
| DAL | 2024-08-05 | 36.67 | 0.5156 | 0.4240 | no |
| DD | 2024-08-05 | 93.51 | 0.3982 | 0.4593 | no |
| DLTR | 2024-08-05 | 98.93 | 0.3023 | 0.5368 | no |
| DOV | 2024-08-05 | 170.18 | 0.2614 | 0.5007 | no |
| DVN | 2024-08-05 | 38.88 | 0.3379 | 0.5373 | no |
| EQT | 2024-08-05 | 29.94 | 0.4103 | 0.5107 | no |
| EXC | 2024-08-05 | 36.60 | 0.2699 | 0.4403 | no |
| FCX | 2024-08-05 | 39.00 | 0.2923 | 0.4909 | no |
| HUM | 2024-08-05 | 349.31 | 0.4420 | 0.4524 | no |
| JNJ | 2024-08-05 | 154.00 | 0.2539 | 0.4680 | no |
| KMI | 2024-08-05 | 18.35 | 0.2994 | 0.4331 | no |
| LRCX | 2024-08-05 | 72.81 | 0.4271 | 0.5439 | no |
| MAS | 2024-08-05 | 70.58 | 0.2689 | 0.5104 | no |
| MCD | 2024-08-05 | 259.56 | 0.3096 | 0.4048 | no |
| MCHP | 2024-08-05 | 70.89 | 0.4369 | 0.5090 | no |
| MCO | 2024-08-05 | 444.85 | 0.3345 | 0.4945 | no |
| MGM | 2024-08-05 | 33.79 | 0.2988 | 0.4221 | no |
| MOH | 2024-08-05 | 350.86 | 0.5041 | 0.4089 | no |
| NI | 2024-08-05 | 30.13 | 0.3022 | 0.4266 | no |
| NOW | 2024-08-05 | 151.41 | 0.6974 | 0.4901 | no |
| NRG | 2024-08-05 | 64.62 | 0.3868 | 0.4543 | no |
| NVDA | 2024-08-05 | 91.81 | 0.8332 | 0.5340 | no |
| PCAR | 2024-08-05 | 86.85 | 0.2483 | 0.4861 | no |
| PFG | 2024-08-05 | 68.81 | 0.2508 | 0.4560 | no |
| POOL | 2024-08-05 | 329.69 | 0.3541 | 0.4905 | no |
| QCOM | 2024-08-05 | 146.08 | 0.5005 | 0.5200 | no |
| QRVO | 2024-08-05 | 103.58 | 0.3492 | — | no |
| SCHW | 2024-08-05 | 59.83 | 0.4914 | 0.4804 | no |
| SOLV | 2024-08-05 | 55.06 | 0.6684 | — | no |
| TER | 2024-08-05 | 110.32 | 0.4748 | 0.5574 | no |
| UAL | 2024-08-05 | 37.14 | 0.5852 | 0.4383 | no |
| UBER | 2024-08-05 | 55.53 | 0.3695 | 0.4695 | no |
| ULTA | 2024-08-05 | 333.47 | 0.4506 | 0.4435 | no |
| VRSN | 2024-08-05 | 182.81 | 0.2484 | 0.4365 | no |
| VST | 2024-08-05 | 66.01 | 0.5232 | 0.4286 | no |
| WMB | 2024-08-05 | 38.04 | 0.2971 | 0.4528 | no |
| WYNN | 2024-08-05 | 70.28 | 0.3917 | 0.4242 | no |