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 | 7.55% | 9.74% | 2024-11-11 | -3.51% |
| buy & hold | participation factor overlay | 6 months | complete | 8.29% | 10.67% | 2024-12-02 | -6.73% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.10% | 10.23% | 2024-11-11 | -3.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.44% | 11.73% | 2024-12-02 | -6.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.25% | 8.08% | 2024-10-18 | -4.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.51% | 11.47% | 2025-01-23 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.37% | 6.01% | 2024-10-18 | -4.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.44% | 9.10% | 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 |
|---|---|---|---|---|---|
| ALB | 2024-08-19 | 76.82 | 0.9973 | 0.4583 | no |
| AMCR | 2024-08-19 | 46.21 | 0.2245 | 0.4448 | no |
| AON | 2024-08-19 | 328.00 | 0.2128 | 0.4491 | no |
| AVY | 2024-08-19 | 203.85 | 0.3495 | 0.4894 | no |
| BDX | 2024-08-19 | 176.82 | 0.2152 | 0.4301 | no |
| BF.B | 2024-08-19 | 42.35 | 0.1712 | — | no |
| BR | 2024-08-19 | 200.58 | 0.1719 | 0.4068 | no |
| CHRW | 2024-08-19 | 94.86 | 0.2739 | 0.4848 | no |
| CNC | 2024-08-19 | 78.30 | 0.6523 | 0.4337 | no |
| CTVA | 2024-08-19 | 52.79 | 0.3007 | 0.4203 | no |
| FDS | 2024-08-19 | 398.33 | 0.2019 | 0.4980 | no |
| FTNT | 2024-08-19 | 74.69 | 0.1761 | 0.5389 | no |
| GOOGL | 2024-08-19 | 163.91 | 0.1679 | 0.4766 | no |
| GWW | 2024-08-19 | 949.74 | 0.2146 | 0.5134 | no |
| HAL | 2024-08-19 | 29.79 | 0.1611 | 0.4412 | no |
| HCA | 2024-08-19 | 367.62 | 0.3715 | 0.4535 | no |
| HLT | 2024-08-19 | 211.65 | 0.1627 | 0.4202 | no |
| HWM | 2024-08-19 | 95.12 | 0.2154 | 0.5055 | no |
| ICE | 2024-08-19 | 152.34 | 0.1966 | 0.4871 | no |
| IT | 2024-08-19 | 482.29 | 0.2293 | 0.4625 | no |
| ITW | 2024-08-19 | 231.03 | 0.2300 | 0.4901 | no |
| JBHT | 2024-08-19 | 168.43 | 0.2154 | 0.4839 | no |
| JNJ | 2024-08-19 | 149.92 | 0.1985 | 0.4680 | no |
| KHC | 2024-08-19 | 30.43 | 0.2387 | 0.4133 | no |
| LIN | 2024-08-19 | 444.08 | 0.1727 | 0.4323 | no |
| LRCX | 2024-08-19 | 85.03 | 0.3078 | 0.5428 | no |
| MOH | 2024-08-19 | 351.17 | 0.4320 | 0.4086 | no |
| MRK | 2024-08-19 | 105.77 | 0.2739 | 0.4691 | no |
| NCLH | 2024-08-19 | 16.06 | 0.4365 | 0.4232 | no |
| NOW | 2024-08-19 | 165.18 | 0.4994 | 0.4905 | no |
| PEG | 2024-08-19 | 75.12 | 0.1888 | 0.4544 | no |
| PEP | 2024-08-19 | 158.55 | 0.1704 | 0.4034 | no |
| PHM | 2024-08-19 | 121.49 | 0.2016 | 0.4872 | no |
| PPG | 2024-08-19 | 116.79 | 0.2032 | 0.4461 | no |
| QCOM | 2024-08-19 | 163.53 | 0.4703 | 0.5184 | no |
| ROL | 2024-08-19 | 46.91 | 0.1983 | 0.4554 | no |
| SCHW | 2024-08-19 | 63.93 | 0.4481 | 0.4804 | no |
| TEL | 2024-08-19 | 145.09 | 0.3450 | — | no |
| TROW | 2024-08-19 | 97.23 | 0.1850 | 0.4761 | no |
| TSLA | 2024-08-19 | 217.07 | 0.8240 | 0.4359 | no |
| TYL | 2024-08-19 | 584.00 | 0.2158 | 0.4371 | no |
| VICI | 2024-08-19 | 27.64 | 0.2067 | 0.4415 | no |
| VLO | 2024-08-19 | 142.21 | 0.2079 | 0.4388 | no |
| VLTO | 2024-08-19 | 108.21 | 0.1680 | 0.4796 | no |
| VRTX | 2024-08-19 | 477.01 | 0.2069 | 0.5329 | no |
| VST | 2024-08-19 | 78.53 | 0.6026 | 0.4406 | no |
| WDC | 2024-08-19 | 47.99 | 0.1864 | 0.5528 | no |
| WMB | 2024-08-19 | 40.98 | 0.2090 | 0.4675 | no |
| WRB | 2024-08-19 | 54.55 | 0.1828 | 0.4416 | no |
| WYNN | 2024-08-19 | 74.67 | 0.4505 | 0.4224 | no |