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 | 7.65% | 10.34% | 2024-11-11 | -3.49% |
| buy & hold | participation factor overlay | 6 months | complete | 9.84% | 11.16% | 2024-11-29 | -6.34% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.00% | 11.19% | 2024-11-11 | -3.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.38% | 13.55% | 2024-12-02 | -5.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.84% | 8.32% | 2024-10-18 | -4.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.21% | 9.50% | 2024-11-25 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.82% | 6.33% | 2024-10-18 | -4.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.10% | 7.22% | 2024-11-25 | -7.55% |
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 | 1.0737 | 0.4583 | no |
| AMCR | 2024-08-19 | 46.21 | 0.1396 | 0.4448 | no |
| AMGN | 2024-08-19 | 302.66 | 0.1510 | 0.4902 | no |
| AON | 2024-08-19 | 328.00 | 0.2302 | 0.4491 | no |
| AVY | 2024-08-19 | 203.85 | 0.1644 | 0.4894 | no |
| BDX | 2024-08-19 | 176.82 | 0.1900 | 0.4301 | no |
| CHRW | 2024-08-19 | 94.86 | 0.2790 | 0.4848 | no |
| CNC | 2024-08-19 | 78.30 | 0.5592 | 0.4337 | no |
| CNP | 2024-08-19 | 24.59 | 0.2099 | 0.4479 | no |
| CSX | 2024-08-19 | 32.37 | 0.1820 | 0.4783 | no |
| CTVA | 2024-08-19 | 52.79 | 0.1945 | 0.4203 | no |
| DE | 2024-08-19 | 369.10 | 0.2192 | 0.4542 | no |
| ED | 2024-08-19 | 93.81 | 0.1413 | — | no |
| EXPD | 2024-08-19 | 117.59 | 0.1426 | — | no |
| FANG | 2024-08-19 | 186.16 | 0.1502 | 0.5256 | no |
| FDS | 2024-08-19 | 398.33 | 0.2460 | 0.4980 | no |
| FTNT | 2024-08-19 | 74.69 | 0.2002 | 0.5389 | no |
| GD | 2024-08-19 | 285.79 | 0.1499 | 0.4954 | no |
| GWW | 2024-08-19 | 949.74 | 0.1582 | 0.5134 | no |
| HAL | 2024-08-19 | 29.79 | 0.1576 | 0.4412 | no |
| HWM | 2024-08-19 | 95.12 | 0.1463 | 0.5055 | no |
| JCI | 2024-08-19 | 68.09 | 0.1434 | 0.5010 | no |
| JNJ | 2024-08-19 | 149.92 | 0.1703 | 0.4680 | no |
| KHC | 2024-08-19 | 30.43 | 0.2112 | 0.4133 | no |
| KR | 2024-08-19 | 50.85 | 0.1520 | 0.5293 | no |
| LIN | 2024-08-19 | 444.08 | 0.2329 | 0.4323 | no |
| LRCX | 2024-08-19 | 85.03 | 0.3043 | 0.5428 | no |
| MCHP | 2024-08-19 | 75.84 | 0.2231 | 0.5063 | no |
| MOH | 2024-08-19 | 351.17 | 0.1690 | 0.4086 | no |
| MRK | 2024-08-19 | 105.77 | 0.1654 | 0.4691 | no |
| MSCI | 2024-08-19 | 547.77 | 0.1783 | 0.4959 | no |
| NCLH | 2024-08-19 | 16.06 | 0.3682 | 0.4232 | no |
| NOW | 2024-08-19 | 165.18 | 0.1788 | 0.4905 | no |
| PCAR | 2024-08-19 | 89.27 | 0.2337 | 0.4861 | no |
| PEG | 2024-08-19 | 75.12 | 0.1469 | 0.4544 | no |
| PEP | 2024-08-19 | 158.55 | 0.2260 | 0.4034 | no |
| PFG | 2024-08-19 | 71.57 | 0.1456 | 0.4560 | no |
| QCOM | 2024-08-19 | 163.53 | 0.7346 | 0.5184 | no |
| SCHW | 2024-08-19 | 63.93 | 0.5883 | 0.4804 | no |
| SYK | 2024-08-19 | 330.55 | 0.1860 | 0.4543 | no |
| TDY | 2024-08-19 | 416.43 | 0.1641 | 0.4611 | no |
| TEL | 2024-08-19 | 145.09 | 0.2125 | — | no |
| TSLA | 2024-08-19 | 217.07 | 0.4720 | 0.4359 | no |
| TYL | 2024-08-19 | 584.00 | 0.2240 | 0.4371 | no |
| VRTX | 2024-08-19 | 477.01 | 0.2620 | 0.5329 | no |
| VST | 2024-08-19 | 78.53 | 0.9093 | 0.4406 | no |
| VTRS | 2024-08-19 | 10.70 | 0.1425 | 0.4163 | no |
| WEC | 2024-08-19 | 83.52 | 0.1481 | 0.4416 | no |
| WRB | 2024-08-19 | 54.55 | 0.1636 | 0.4416 | no |
| WTW | 2024-08-19 | 273.36 | 0.1715 | 0.4504 | no |