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 | 6.78% | 8.63% | 2024-11-11 | -3.30% |
| buy & hold | participation factor overlay | 6 months | complete | 7.60% | 10.05% | 2024-11-29 | -6.39% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.53% | 9.72% | 2024-11-11 | -3.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.61% | 11.64% | 2024-12-02 | -6.54% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.35% | 6.33% | 2024-10-14 | -4.30% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.87% | 7.06% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.92% | 6.32% | 2024-11-11 | -3.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.77% | 6.49% | 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 |
|---|---|---|---|---|---|
| AEP | 2024-08-19 | 90.91 | 0.1398 | 0.4332 | no |
| AFL | 2024-08-19 | 99.86 | 0.1292 | 0.4624 | no |
| ALB | 2024-08-19 | 76.82 | 1.0766 | 0.4583 | no |
| AVY | 2024-08-19 | 203.85 | 0.1660 | 0.4894 | no |
| BDX | 2024-08-19 | 176.82 | 0.1975 | 0.4301 | no |
| BF.B | 2024-08-19 | 42.35 | 0.1882 | — | no |
| CAG | 2024-08-19 | 26.66 | 0.1415 | 0.4258 | no |
| CHRW | 2024-08-19 | 94.86 | 0.2851 | 0.4848 | no |
| CNC | 2024-08-19 | 78.30 | 0.4190 | 0.4337 | no |
| CNP | 2024-08-19 | 24.59 | 0.2106 | 0.4479 | no |
| CTVA | 2024-08-19 | 52.79 | 0.2562 | 0.4203 | no |
| DE | 2024-08-19 | 369.10 | 0.2108 | 0.4542 | no |
| DTE | 2024-08-19 | 114.11 | 0.1529 | 0.4430 | no |
| DUK | 2024-08-19 | 104.60 | 0.1833 | 0.4606 | no |
| FCX | 2024-08-19 | 42.89 | 0.1482 | 0.4903 | no |
| FDS | 2024-08-19 | 398.33 | 0.1373 | 0.4980 | no |
| FE | 2024-08-19 | 39.34 | 0.1883 | 0.4332 | no |
| HAL | 2024-08-19 | 29.79 | 0.1308 | 0.4412 | no |
| HCA | 2024-08-19 | 367.62 | 0.1866 | 0.4535 | no |
| ITW | 2024-08-19 | 231.03 | 0.1652 | 0.4901 | no |
| JBL | 2024-08-19 | 106.30 | 0.1388 | 0.4913 | no |
| JKHY | 2024-08-19 | 160.41 | 0.1849 | 0.4103 | no |
| LIN | 2024-08-19 | 444.08 | 0.1813 | 0.4323 | no |
| LRCX | 2024-08-19 | 85.03 | 0.2077 | 0.5428 | no |
| LYB | 2024-08-19 | 83.24 | 0.1328 | 0.4503 | no |
| MCHP | 2024-08-19 | 75.84 | 0.3256 | 0.5063 | no |
| MOH | 2024-08-19 | 351.17 | 0.2218 | 0.4086 | no |
| MPC | 2024-08-19 | 172.66 | 0.1750 | 0.4502 | no |
| MSCI | 2024-08-19 | 547.77 | 0.3266 | 0.4959 | no |
| NCLH | 2024-08-19 | 16.06 | 0.5422 | 0.4232 | no |
| NOC | 2024-08-19 | 488.10 | 0.1451 | 0.4930 | no |
| NOW | 2024-08-19 | 165.18 | 0.3045 | 0.4905 | no |
| PCAR | 2024-08-19 | 89.27 | 0.1429 | 0.4861 | no |
| PEG | 2024-08-19 | 75.12 | 0.1947 | 0.4544 | no |
| PEP | 2024-08-19 | 158.55 | 0.2685 | 0.4034 | no |
| PFE | 2024-08-19 | 24.76 | 0.1340 | 0.5254 | no |
| PHM | 2024-08-19 | 121.49 | 0.2332 | 0.4872 | no |
| QCOM | 2024-08-19 | 163.53 | 0.3168 | 0.5184 | no |
| SCHW | 2024-08-19 | 63.93 | 0.6627 | 0.4804 | no |
| SYK | 2024-08-19 | 330.55 | 0.1381 | 0.4543 | no |
| TDY | 2024-08-19 | 416.43 | 0.2460 | 0.4611 | no |
| TEL | 2024-08-19 | 145.09 | 0.2745 | — | no |
| TRGP | 2024-08-19 | 136.69 | 0.1551 | 0.4195 | no |
| TROW | 2024-08-19 | 97.23 | 0.2039 | 0.4761 | no |
| TSLA | 2024-08-19 | 217.07 | 0.7186 | 0.4359 | no |
| TYL | 2024-08-19 | 584.00 | 0.1868 | 0.4371 | no |
| VRTX | 2024-08-19 | 477.01 | 0.3655 | 0.5329 | no |
| VST | 2024-08-19 | 78.53 | 0.4187 | 0.4406 | no |
| WRB | 2024-08-19 | 54.55 | 0.2492 | 0.4416 | no |
| WYNN | 2024-08-19 | 74.67 | 0.1316 | 0.4224 | no |