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 | 14.22% | 15.45% | 2024-11-11 | -4.56% |
| buy & hold | participation factor overlay | 6 months | complete | 12.20% | 17.41% | 2025-01-23 | -5.70% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.26% | 13.30% | 2024-11-11 | -4.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.30% | 15.46% | 2025-01-23 | -5.98% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.60% | 11.97% | 2024-10-18 | -4.52% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.28% | 13.41% | 2025-01-23 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 10.01% | 10.62% | 2024-10-18 | -3.98% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.17% | 13.35% | 2025-01-23 | -7.21% |
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 |
|---|---|---|---|---|---|
| AEP | 2024-08-12 | 91.20 | 0.1978 | 0.4332 | no |
| AIZ | 2024-08-12 | 172.11 | 0.2133 | 0.4164 | no |
| ALB | 2024-08-12 | 78.58 | 0.9801 | 0.4583 | no |
| ALGN | 2024-08-12 | 213.74 | 0.3120 | 0.4287 | no |
| AMAT | 2024-08-12 | 188.12 | 0.2790 | 0.5667 | no |
| AMP | 2024-08-12 | 395.82 | 0.2989 | 0.4580 | no |
| AON | 2024-08-12 | 325.26 | 0.2352 | 0.4491 | no |
| AVY | 2024-08-12 | 197.84 | 0.2511 | 0.4894 | no |
| BA | 2024-08-12 | 167.73 | 0.3595 | 0.4932 | no |
| BG | 2024-08-12 | 90.60 | 0.1967 | 0.4232 | no |
| BWA | 2024-08-12 | 30.94 | 0.2802 | 0.4114 | no |
| CDNS | 2024-08-12 | 268.90 | 0.2156 | 0.5512 | no |
| CE | 2024-08-12 | 124.92 | 0.2507 | 0.4405 | no |
| CNC | 2024-08-12 | 76.27 | 0.5687 | 0.4337 | no |
| CNP | 2024-08-12 | 24.98 | 0.2598 | 0.4479 | no |
| DLR | 2024-08-12 | 140.38 | 0.2548 | 0.4072 | no |
| DLTR | 2024-08-12 | 95.06 | 0.3868 | 0.5292 | no |
| DOV | 2024-08-12 | 172.14 | 0.2651 | 0.5006 | no |
| EQT | 2024-08-12 | 30.69 | 0.3094 | 0.5107 | no |
| EXPE | 2024-08-12 | 126.75 | 0.3393 | 0.4167 | no |
| FCX | 2024-08-12 | 40.60 | 0.2979 | 0.4903 | no |
| ICE | 2024-08-12 | 149.87 | 0.2773 | 0.4871 | no |
| IP | 2024-08-12 | 40.67 | 0.2065 | 0.4290 | no |
| JCI | 2024-08-12 | 65.91 | 0.2559 | 0.5010 | no |
| JKHY | 2024-08-12 | 161.28 | 0.2475 | 0.4103 | no |
| KMI | 2024-08-12 | 19.38 | 0.2436 | 0.4331 | no |
| LRCX | 2024-08-12 | 79.37 | 0.2717 | 0.5439 | no |
| MDLZ | 2024-08-12 | 65.58 | 0.1967 | 0.4121 | no |
| MOH | 2024-08-12 | 338.34 | 0.2882 | 0.4086 | no |
| NCLH | 2024-08-12 | 15.75 | 0.7531 | 0.4232 | no |
| NOC | 2024-08-12 | 477.25 | 0.3077 | 0.4930 | no |
| NOW | 2024-08-12 | 162.22 | 0.2381 | 0.4905 | no |
| NVDA | 2024-08-12 | 106.03 | 0.2732 | 0.5340 | no |
| NVR | 2024-08-12 | 8500.00 | 0.2829 | — | no |
| NXPI | 2024-08-12 | 233.04 | 0.2483 | 0.5354 | no |
| ORCL | 2024-08-12 | 129.41 | 0.3164 | 0.4888 | no |
| OXY | 2024-08-12 | 56.29 | 0.2410 | 0.4583 | no |
| PGR | 2024-08-12 | 206.85 | 0.3061 | 0.4532 | no |
| POOL | 2024-08-12 | 334.49 | 0.2155 | 0.4903 | no |
| QCOM | 2024-08-12 | 153.03 | 0.7157 | 0.5191 | no |
| SWK | 2024-08-12 | 86.03 | 0.2069 | 0.5156 | no |
| TEL | 2024-08-12 | 139.78 | 0.2598 | — | no |
| TGT | 2024-08-12 | 123.58 | 0.2223 | 0.5193 | no |
| TSLA | 2024-08-12 | 199.02 | 0.2314 | 0.4391 | no |
| UAL | 2024-08-12 | 41.01 | 0.3777 | 0.4384 | no |
| UPS | 2024-08-12 | 109.80 | 0.3125 | 0.4734 | no |
| VST | 2024-08-12 | 78.03 | 0.3495 | 0.4406 | no |
| WMB | 2024-08-12 | 40.09 | 0.2590 | 0.4675 | no |
| WYNN | 2024-08-12 | 72.33 | 0.5187 | 0.4224 | no |
| YUM | 2024-08-12 | 130.17 | 0.2071 | 0.4083 | no |