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 | 9.54% | 10.31% | 2024-12-02 | -4.67% |
| buy & hold | participation factor overlay | 6 months | complete | 1.25% | 10.31% | 2024-12-02 | -8.64% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.61% | 9.87% | 2024-12-02 | -4.75% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.78% | 9.87% | 2024-12-02 | -8.66% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.35% | 6.68% | 2024-12-02 | -4.30% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.22% | 6.68% | 2024-12-02 | -9.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.29% | 6.34% | 2024-12-02 | -3.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.02% | 6.34% | 2024-12-02 | -8.40% |
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 |
|---|---|---|---|---|---|
| AEP | 2024-09-09 | 96.03 | 0.2175 | 0.4332 | no |
| ALB | 2024-09-09 | 75.13 | 0.7486 | 0.4589 | no |
| ALLE | 2024-09-09 | 131.83 | 0.3018 | 0.4823 | no |
| APA | 2024-09-09 | 23.25 | 0.3657 | 0.5395 | no |
| AVY | 2024-09-09 | 208.51 | 0.2703 | 0.4896 | no |
| AWK | 2024-09-09 | 136.96 | 0.2749 | 0.4510 | no |
| BA | 2024-09-09 | 162.30 | 0.5486 | 0.4930 | no |
| BBWI | 2024-09-09 | 26.84 | 0.4371 | 0.4260 | no |
| BRK.B | 2024-09-09 | 463.97 | 0.3383 | — | no |
| BX | 2024-09-09 | 129.81 | 0.5057 | 0.4607 | no |
| CB | 2024-09-09 | 281.91 | 0.3448 | 0.4572 | no |
| CE | 2024-09-09 | 119.28 | 0.2624 | 0.4413 | no |
| CFG | 2024-09-09 | 38.34 | 0.4260 | 0.4091 | no |
| CHRW | 2024-09-09 | 97.03 | 0.7478 | 0.4834 | no |
| CMG | 2024-09-09 | 54.04 | 0.4355 | 0.4085 | no |
| CMI | 2024-09-09 | 284.27 | 0.4173 | 0.4746 | no |
| DAL | 2024-09-09 | 41.60 | 0.5253 | 0.4235 | no |
| EXC | 2024-09-09 | 35.67 | 0.2839 | 0.4403 | no |
| FAST | 2024-09-09 | 31.62 | 0.2540 | 0.4929 | no |
| FFIV | 2024-09-09 | 199.48 | 0.3028 | 0.4753 | no |
| GWW | 2024-09-09 | 939.37 | 0.2415 | 0.5139 | no |
| HIG | 2024-09-09 | 111.46 | 0.3606 | 0.4447 | no |
| HII | 2024-09-09 | 258.48 | 0.2720 | 0.5083 | no |
| HPE | 2024-09-09 | 16.71 | 0.4616 | 0.4764 | no |
| HUBB | 2024-09-09 | 364.81 | 0.2569 | 0.5106 | no |
| JBL | 2024-09-09 | 101.69 | 0.4459 | 0.4922 | no |
| JNJ | 2024-09-09 | 156.16 | 0.3847 | 0.4680 | no |
| KHC | 2024-09-09 | 31.77 | 0.2362 | 0.4147 | no |
| L | 2024-09-09 | 79.47 | 0.2366 | — | no |
| LOW | 2024-09-09 | 235.75 | 0.2244 | 0.4751 | no |
| LVS | 2024-09-09 | 38.11 | 0.2763 | 0.4311 | no |
| MCHP | 2024-09-09 | 70.95 | 0.2891 | 0.5035 | no |
| MPC | 2024-09-09 | 160.78 | 0.3190 | 0.4502 | no |
| MU | 2024-09-09 | 87.30 | 0.6045 | 0.5557 | no |
| NSC | 2024-09-09 | 241.12 | 0.3205 | 0.4923 | no |
| NVDA | 2024-09-09 | 104.59 | 0.3796 | 0.5454 | no |
| OKE | 2024-09-09 | 82.94 | 0.3340 | 0.4573 | no |
| POOL | 2024-09-09 | 330.66 | 0.2353 | 0.4911 | no |
| PSX | 2024-09-09 | 120.09 | 0.2833 | 0.4496 | no |
| QCOM | 2024-09-09 | 154.33 | 0.6327 | 0.5172 | no |
| ROST | 2024-09-09 | 147.09 | 0.3310 | 0.4182 | no |
| RTX | 2024-09-09 | 115.57 | 0.4038 | 0.4932 | no |
| SMCI | 2024-09-09 | 39.27 | 0.6314 | 0.4561 | no |
| SNPS | 2024-09-09 | 466.53 | 0.4019 | 0.5772 | no |
| TER | 2024-09-09 | 123.06 | 0.3891 | 0.5555 | no |
| TRV | 2024-09-09 | 228.57 | 0.3354 | 0.4597 | no |
| TSLA | 2024-09-09 | 216.20 | 0.5340 | 0.4385 | no |
| UNP | 2024-09-09 | 239.83 | 0.2430 | 0.4890 | no |
| WDC | 2024-09-09 | 46.57 | 0.5744 | 0.5521 | no |
| WTW | 2024-09-09 | 284.73 | 0.2258 | 0.4504 | no |