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 | 6.79% | 6.87% | 2024-11-25 | -3.49% |
| buy & hold | participation factor overlay | 6 months | complete | 3.41% | 6.87% | 2024-11-29 | -6.74% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.75% | 8.80% | 2024-11-25 | -3.24% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.60% | 9.10% | 2024-12-02 | -6.04% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.47% | 7.12% | 2024-11-25 | -4.52% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.49% | 7.82% | 2025-01-23 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.13% | 6.67% | 2024-11-25 | -3.98% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.53% | 7.87% | 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 |
|---|---|---|---|---|---|
| ABT | 2024-08-26 | 108.12 | 0.2169 | 0.4458 | no |
| AEP | 2024-08-26 | 92.24 | 0.3340 | 0.4332 | no |
| AFL | 2024-08-26 | 103.09 | 0.1877 | 0.4624 | no |
| ALB | 2024-08-26 | 87.91 | 0.4286 | 0.4583 | no |
| AON | 2024-08-26 | 333.58 | 0.2433 | 0.4491 | no |
| AVY | 2024-08-26 | 209.59 | 0.2400 | 0.4894 | no |
| BDX | 2024-08-26 | 177.32 | 0.2493 | 0.4301 | no |
| BIIB | 2024-08-26 | 206.23 | 0.2073 | 0.4772 | no |
| BRO | 2024-08-26 | 100.55 | 0.1659 | 0.4595 | no |
| CAG | 2024-08-26 | 26.86 | 0.2341 | 0.4258 | no |
| CB | 2024-08-26 | 270.42 | 0.1718 | 0.4572 | no |
| CHRW | 2024-08-26 | 97.91 | 0.1979 | 0.4848 | no |
| CMG | 2024-08-26 | 53.82 | 0.4247 | 0.4086 | no |
| COP | 2024-08-26 | 106.14 | 0.2336 | 0.4731 | no |
| CTVA | 2024-08-26 | 54.55 | 0.1604 | 0.4203 | no |
| DAL | 2024-08-26 | 40.69 | 0.3259 | 0.4241 | no |
| DUK | 2024-08-26 | 104.83 | 0.3497 | 0.4606 | no |
| DVN | 2024-08-26 | 42.69 | 0.3482 | 0.4576 | no |
| EVRG | 2024-08-26 | 54.59 | 0.2916 | 0.4563 | no |
| FE | 2024-08-26 | 39.90 | 0.1918 | 0.4332 | no |
| HCA | 2024-08-26 | 382.96 | 0.4173 | 0.4535 | no |
| HUBB | 2024-08-26 | 377.31 | 0.1976 | 0.5106 | no |
| IEX | 2024-08-26 | 199.19 | 0.2686 | 0.4922 | no |
| ISRG | 2024-08-26 | 486.88 | 0.2632 | 0.4448 | no |
| IT | 2024-08-26 | 481.54 | 0.2406 | 0.4616 | no |
| JCI | 2024-08-26 | 69.85 | 0.2642 | 0.5010 | no |
| JNJ | 2024-08-26 | 154.35 | 0.2190 | 0.4680 | no |
| KMI | 2024-08-26 | 19.71 | 0.2023 | 0.4331 | no |
| LYB | 2024-08-26 | 84.82 | 0.3981 | 0.4503 | no |
| NCLH | 2024-08-26 | 17.48 | 0.5842 | 0.4234 | no |
| NOW | 2024-08-26 | 165.94 | 0.6934 | 0.4904 | no |
| ORLY | 2024-08-26 | 74.44 | 0.1593 | 0.4991 | no |
| PFE | 2024-08-26 | 25.25 | 0.1577 | 0.5254 | no |
| PHM | 2024-08-26 | 132.88 | 0.2580 | 0.4906 | no |
| PPG | 2024-08-26 | 120.76 | 0.2803 | 0.4461 | no |
| QCOM | 2024-08-26 | 163.91 | 0.6186 | 0.5184 | no |
| ROST | 2024-08-26 | 152.18 | 0.3304 | 0.4166 | no |
| RTX | 2024-08-26 | 114.66 | 0.1849 | 0.4933 | no |
| SPG | 2024-08-26 | 150.57 | 0.1932 | 0.4086 | no |
| STT | 2024-08-26 | 79.76 | 0.4470 | 0.4460 | no |
| SWK | 2024-08-26 | 92.02 | 0.1664 | 0.5163 | no |
| TJX | 2024-08-26 | 116.75 | 0.1707 | 0.4138 | no |
| TSN | 2024-08-26 | 58.97 | 0.1690 | 0.4191 | no |
| UAL | 2024-08-26 | 43.45 | 0.2580 | 0.4384 | no |
| UHS | 2024-08-26 | 231.17 | 0.3710 | 0.4354 | no |
| UNP | 2024-08-26 | 235.76 | 0.2783 | 0.4899 | no |
| VLO | 2024-08-26 | 139.00 | 0.2524 | 0.4388 | no |
| VLTO | 2024-08-26 | 110.95 | 0.2878 | 0.4796 | no |
| VRTX | 2024-08-26 | 481.98 | 0.1907 | 0.5329 | no |
| XYL | 2024-08-26 | 133.40 | 0.1890 | 0.4791 | no |