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 | 9.06% | 9.12% | 2024-11-25 | -3.16% |
| buy & hold | participation factor overlay | 6 months | complete | 2.23% | 9.12% | 2024-11-25 | -6.31% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.55% | 11.60% | 2024-11-25 | -3.16% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.04% | 11.91% | 2024-12-02 | -5.25% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.62% | 7.96% | 2024-11-25 | -4.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.47% | 9.20% | 2025-01-23 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.28% | 5.65% | 2024-11-25 | -4.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.05% | 6.71% | 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 |
|---|---|---|---|---|---|
| ACGL | 2024-08-26 | 103.64 | 0.3170 | 0.4381 | no |
| AEP | 2024-08-26 | 92.24 | 0.2156 | 0.4332 | no |
| ALB | 2024-08-26 | 87.91 | 0.4505 | 0.4583 | no |
| AON | 2024-08-26 | 333.58 | 0.2825 | 0.4491 | no |
| BDX | 2024-08-26 | 177.32 | 0.2840 | 0.4301 | no |
| BF.B | 2024-08-26 | 42.58 | 0.1876 | — | no |
| BLK | 2024-08-26 | 841.88 | 0.2433 | 0.4668 | no |
| CAG | 2024-08-26 | 26.86 | 0.3481 | 0.4258 | no |
| CB | 2024-08-26 | 270.42 | 0.1932 | 0.4572 | no |
| CHRW | 2024-08-26 | 97.91 | 0.3923 | 0.4848 | no |
| CMG | 2024-08-26 | 53.82 | 0.4061 | 0.4086 | no |
| CNP | 2024-08-26 | 25.65 | 0.3359 | 0.4479 | no |
| DAL | 2024-08-26 | 40.69 | 0.2379 | 0.4241 | no |
| DLR | 2024-08-26 | 143.31 | 0.2395 | 0.4072 | no |
| DUK | 2024-08-26 | 104.83 | 0.4141 | 0.4606 | no |
| DVN | 2024-08-26 | 42.69 | 0.2966 | 0.4576 | no |
| EIX | 2024-08-26 | 76.57 | 0.2037 | 0.4543 | no |
| EVRG | 2024-08-26 | 54.59 | 0.4225 | 0.4563 | no |
| FAST | 2024-08-26 | 32.79 | 0.2206 | 0.4924 | no |
| FMC | 2024-08-26 | 60.59 | 0.2673 | 0.4102 | no |
| HAL | 2024-08-26 | 30.61 | 0.2140 | 0.4412 | no |
| HCA | 2024-08-26 | 382.96 | 0.4391 | 0.4535 | no |
| HUBB | 2024-08-26 | 377.31 | 0.2937 | 0.5106 | no |
| IEX | 2024-08-26 | 199.19 | 0.2338 | 0.4922 | no |
| ISRG | 2024-08-26 | 486.88 | 0.2089 | 0.4448 | no |
| ITW | 2024-08-26 | 236.05 | 0.3572 | 0.4901 | no |
| LIN | 2024-08-26 | 452.27 | 0.1834 | 0.4323 | no |
| LYB | 2024-08-26 | 84.82 | 0.2575 | 0.4503 | no |
| MPC | 2024-08-26 | 169.90 | 0.2823 | 0.4502 | no |
| MRK | 2024-08-26 | 108.62 | 0.1828 | 0.4691 | no |
| MSCI | 2024-08-26 | 559.35 | 0.2011 | 0.4933 | no |
| MU | 2024-08-26 | 100.04 | 0.3737 | 0.5557 | no |
| NCLH | 2024-08-26 | 17.48 | 0.5454 | 0.4234 | no |
| NEM | 2024-08-26 | 50.86 | 0.1807 | 0.4964 | no |
| NOW | 2024-08-26 | 165.94 | 0.4920 | 0.4904 | no |
| ORLY | 2024-08-26 | 74.44 | 0.2760 | 0.4991 | no |
| PEP | 2024-08-26 | 161.91 | 0.1933 | 0.4034 | no |
| PPG | 2024-08-26 | 120.76 | 0.3592 | 0.4461 | no |
| ROST | 2024-08-26 | 152.18 | 0.3060 | 0.4166 | no |
| STT | 2024-08-26 | 79.76 | 0.2566 | 0.4460 | no |
| TEL | 2024-08-26 | 148.98 | 0.2664 | — | no |
| TSLA | 2024-08-26 | 218.75 | 0.2542 | 0.4359 | no |
| UAL | 2024-08-26 | 43.45 | 0.2835 | 0.4384 | no |
| UHS | 2024-08-26 | 231.17 | 0.2489 | 0.4354 | no |
| UNP | 2024-08-26 | 235.76 | 0.3039 | 0.4899 | no |
| VLO | 2024-08-26 | 139.00 | 0.2150 | 0.4388 | no |
| VLTO | 2024-08-26 | 110.95 | 0.1872 | 0.4796 | no |
| WMB | 2024-08-26 | 42.25 | 0.2405 | 0.4675 | no |
| WMT | 2024-08-26 | 74.54 | 0.3087 | 0.5067 | no |
| WRB | 2024-08-26 | 55.41 | 0.2966 | 0.4416 | no |