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 | 9.76% | 9.76% | 2024-11-26 | -2.81% |
| buy & hold | participation factor overlay | 6 months | complete | 5.88% | 10.19% | 2025-01-21 | -5.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.83% | 9.92% | 2024-11-25 | -2.73% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.63% | 10.58% | 2024-12-02 | -5.02% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.60% | 4.77% | 2024-11-25 | -4.30% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.21% | 5.06% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.63% | 4.24% | 2024-11-11 | -3.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.95% | 4.41% | 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 |
|---|---|---|---|---|---|
| AFL | 2024-08-26 | 103.09 | 0.2621 | 0.4624 | no |
| ALB | 2024-08-26 | 87.91 | 0.4847 | 0.4583 | no |
| ALL | 2024-08-26 | 172.82 | 0.2883 | 0.4575 | no |
| AMAT | 2024-08-26 | 197.51 | 0.1489 | 0.5707 | no |
| AON | 2024-08-26 | 333.58 | 0.2935 | 0.4491 | no |
| AVY | 2024-08-26 | 209.59 | 0.2753 | 0.4894 | no |
| BDX | 2024-08-26 | 177.32 | 0.1769 | 0.4301 | no |
| BRO | 2024-08-26 | 100.55 | 0.1825 | 0.4595 | no |
| CAG | 2024-08-26 | 26.86 | 0.3303 | 0.4258 | no |
| CB | 2024-08-26 | 270.42 | 0.1515 | 0.4572 | no |
| CHRW | 2024-08-26 | 97.91 | 0.3780 | 0.4848 | no |
| CNC | 2024-08-26 | 78.86 | 0.1749 | 0.4337 | no |
| COP | 2024-08-26 | 106.14 | 0.1568 | 0.4731 | no |
| DAL | 2024-08-26 | 40.69 | 0.2920 | 0.4241 | no |
| DUK | 2024-08-26 | 104.83 | 0.4074 | 0.4606 | no |
| DVN | 2024-08-26 | 42.69 | 0.2266 | 0.4576 | no |
| EQIX | 2024-08-26 | 795.81 | 0.1816 | 0.4256 | no |
| EVRG | 2024-08-26 | 54.59 | 0.3192 | 0.4563 | no |
| FANG | 2024-08-26 | 188.03 | 0.2328 | 0.5256 | no |
| GILD | 2024-08-26 | 72.11 | 0.2467 | 0.5337 | no |
| HAL | 2024-08-26 | 30.61 | 0.1965 | 0.4412 | no |
| HCA | 2024-08-26 | 382.96 | 0.2231 | 0.4535 | no |
| HUBB | 2024-08-26 | 377.31 | 0.1490 | 0.5106 | no |
| IEX | 2024-08-26 | 199.19 | 0.1514 | 0.4922 | no |
| IT | 2024-08-26 | 481.54 | 0.2113 | 0.4616 | no |
| ITW | 2024-08-26 | 236.05 | 0.2408 | 0.4901 | no |
| JBL | 2024-08-26 | 108.66 | 0.2730 | 0.4913 | no |
| JNJ | 2024-08-26 | 154.35 | 0.3198 | 0.4680 | no |
| KMI | 2024-08-26 | 19.71 | 0.1643 | 0.4331 | no |
| LYB | 2024-08-26 | 84.82 | 0.2193 | 0.4503 | no |
| MPC | 2024-08-26 | 169.90 | 0.2351 | 0.4502 | no |
| NCLH | 2024-08-26 | 17.48 | 0.4775 | 0.4234 | no |
| NOC | 2024-08-26 | 491.57 | 0.2077 | 0.4930 | no |
| NOW | 2024-08-26 | 165.94 | 0.4439 | 0.4904 | no |
| NVR | 2024-08-26 | 9325.00 | 0.1851 | — | no |
| ORLY | 2024-08-26 | 74.44 | 0.2412 | 0.4991 | no |
| QCOM | 2024-08-26 | 163.91 | 0.5438 | 0.5184 | no |
| ROST | 2024-08-26 | 152.18 | 0.2601 | 0.4166 | no |
| SPGI | 2024-08-26 | 466.94 | 0.1725 | 0.4845 | no |
| STT | 2024-08-26 | 79.76 | 0.2015 | 0.4460 | no |
| SYK | 2024-08-26 | 346.85 | 0.2287 | 0.4543 | no |
| TSLA | 2024-08-26 | 218.75 | 0.3091 | 0.4359 | no |
| TSN | 2024-08-26 | 58.97 | 0.3100 | 0.4191 | no |
| UAL | 2024-08-26 | 43.45 | 0.1931 | 0.4384 | no |
| UNP | 2024-08-26 | 235.76 | 0.2918 | 0.4899 | no |
| VRTX | 2024-08-26 | 481.98 | 0.2579 | 0.5329 | no |
| WMB | 2024-08-26 | 42.25 | 0.2148 | 0.4675 | no |
| WMT | 2024-08-26 | 74.54 | 0.1669 | 0.5067 | no |
| WRB | 2024-08-26 | 55.41 | 0.1713 | 0.4416 | no |
| WTW | 2024-08-26 | 275.59 | 0.1686 | 0.4504 | no |