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 | 9.64% | 11.57% | 2024-11-11 | -3.20% |
| buy & hold | participation factor overlay | 6 months | complete | 10.58% | 12.59% | 2024-11-29 | -6.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.58% | 12.23% | 2024-11-11 | -3.14% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.42% | 14.39% | 2024-12-02 | -6.06% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.81% | 8.55% | 2024-10-18 | -4.52% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.63% | 9.95% | 2025-01-23 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.41% | 7.45% | 2024-10-18 | -3.98% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.17% | 10.10% | 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 | 2024-08-19 | 90.91 | 0.1516 | 0.4332 | no |
| ALB | 2024-08-19 | 76.82 | 0.9906 | 0.4583 | no |
| AMCR | 2024-08-19 | 46.21 | 0.1724 | 0.4448 | no |
| AON | 2024-08-19 | 328.00 | 0.2577 | 0.4491 | no |
| AVY | 2024-08-19 | 203.85 | 0.2618 | 0.4894 | no |
| BA | 2024-08-19 | 180.04 | 0.1787 | 0.4932 | no |
| BDX | 2024-08-19 | 176.82 | 0.1703 | 0.4301 | no |
| CB | 2024-08-19 | 267.97 | 0.1511 | 0.4572 | no |
| CHRW | 2024-08-19 | 94.86 | 0.3396 | 0.4848 | no |
| CNC | 2024-08-19 | 78.30 | 0.4425 | 0.4337 | no |
| CNP | 2024-08-19 | 24.59 | 0.1881 | 0.4479 | no |
| CTVA | 2024-08-19 | 52.79 | 0.1673 | 0.4203 | no |
| DE | 2024-08-19 | 369.10 | 0.1843 | 0.4542 | no |
| DLR | 2024-08-19 | 139.88 | 0.2211 | 0.4072 | no |
| EIX | 2024-08-19 | 75.25 | 0.1552 | 0.4543 | no |
| FDS | 2024-08-19 | 398.33 | 0.2202 | 0.4980 | no |
| GD | 2024-08-19 | 285.79 | 0.2288 | 0.4954 | no |
| GILD | 2024-08-19 | 68.86 | 0.1685 | 0.5337 | no |
| GOOGL | 2024-08-19 | 163.91 | 0.1679 | 0.4766 | no |
| GWW | 2024-08-19 | 949.74 | 0.1759 | 0.5134 | no |
| HCA | 2024-08-19 | 367.62 | 0.2370 | 0.4535 | no |
| JCI | 2024-08-19 | 68.09 | 0.2120 | 0.5010 | no |
| JKHY | 2024-08-19 | 160.41 | 0.1960 | 0.4103 | no |
| LIN | 2024-08-19 | 444.08 | 0.2125 | 0.4323 | no |
| LYB | 2024-08-19 | 83.24 | 0.2048 | 0.4503 | no |
| MRK | 2024-08-19 | 105.77 | 0.1860 | 0.4691 | no |
| MSCI | 2024-08-19 | 547.77 | 0.1599 | 0.4959 | no |
| NCLH | 2024-08-19 | 16.06 | 0.7408 | 0.4232 | no |
| NOC | 2024-08-19 | 488.10 | 0.1921 | 0.4930 | no |
| NOW | 2024-08-19 | 165.18 | 0.2316 | 0.4905 | no |
| ORCL | 2024-08-19 | 134.57 | 0.1682 | 0.4888 | no |
| PCAR | 2024-08-19 | 89.27 | 0.2087 | 0.4861 | no |
| PEP | 2024-08-19 | 158.55 | 0.2183 | 0.4034 | no |
| PPG | 2024-08-19 | 116.79 | 0.1688 | 0.4461 | no |
| QCOM | 2024-08-19 | 163.53 | 0.6321 | 0.5184 | no |
| SCHW | 2024-08-19 | 63.93 | 0.4730 | 0.4804 | no |
| STT | 2024-08-19 | 76.78 | 0.1921 | 0.4460 | no |
| SWK | 2024-08-19 | 89.10 | 0.1572 | 0.5156 | no |
| SYK | 2024-08-19 | 330.55 | 0.1997 | 0.4543 | no |
| TEL | 2024-08-19 | 145.09 | 0.2076 | — | no |
| TSLA | 2024-08-19 | 217.07 | 0.4064 | 0.4359 | no |
| TYL | 2024-08-19 | 584.00 | 0.2202 | 0.4371 | no |
| VLO | 2024-08-19 | 142.21 | 0.2147 | 0.4388 | no |
| VRTX | 2024-08-19 | 477.01 | 0.3327 | 0.5329 | no |
| VST | 2024-08-19 | 78.53 | 0.5929 | 0.4406 | no |
| WDC | 2024-08-19 | 47.99 | 0.2451 | 0.5528 | no |
| WEC | 2024-08-19 | 83.52 | 0.1724 | 0.4416 | no |
| WMB | 2024-08-19 | 40.98 | 0.2502 | 0.4675 | no |
| WTW | 2024-08-19 | 273.36 | 0.2498 | 0.4504 | no |
| WYNN | 2024-08-19 | 74.67 | 0.2367 | 0.4224 | no |