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 | 6.13% | 9.66% | 2024-11-25 | -3.22% |
| buy & hold | participation factor overlay | 6 months | complete | 1.49% | 9.66% | 2024-11-25 | -9.21% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.89% | 9.79% | 2024-11-25 | -2.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.54% | 9.79% | 2024-11-25 | -11.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.23% | 6.19% | 2024-12-02 | -4.52% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.29% | 6.57% | 2025-01-23 | -10.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.09% | 6.14% | 2024-12-02 | -3.98% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.25% | 6.57% | 2025-01-23 | -9.66% |
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 | 2024-09-16 | 97.59 | 0.1767 | 0.4332 | no |
| ALLE | 2024-09-16 | 138.13 | 0.2347 | 0.4823 | no |
| AMT | 2024-09-16 | 222.76 | 0.3870 | 0.4315 | no |
| AWK | 2024-09-16 | 141.61 | 0.1783 | 0.4510 | no |
| BA | 2024-09-16 | 156.25 | 0.4709 | 0.4931 | no |
| BEN | 2024-09-16 | 17.86 | 0.2793 | 0.4774 | no |
| BMY | 2024-09-16 | 45.11 | 0.2661 | 0.5419 | no |
| BR | 2024-09-16 | 204.72 | 0.1913 | 0.4075 | no |
| CFG | 2024-09-16 | 37.58 | 0.2306 | 0.4068 | no |
| CHRW | 2024-09-16 | 96.31 | 0.5383 | 0.4834 | no |
| CRWD | 2024-09-16 | 65.19 | 0.4137 | 0.5658 | no |
| DAL | 2024-09-16 | 44.05 | 0.3617 | 0.4235 | no |
| DD | 2024-09-16 | 98.87 | 0.1981 | 0.4601 | no |
| DLR | 2024-09-16 | 150.60 | 0.2437 | 0.4072 | no |
| EVRG | 2024-09-16 | 56.95 | 0.2323 | 0.4563 | no |
| FCX | 2024-09-16 | 42.15 | 0.1946 | 0.4903 | no |
| FMC | 2024-09-16 | 58.61 | 0.1713 | 0.4102 | no |
| GD | 2024-09-16 | 295.85 | 0.2158 | 0.4953 | no |
| GEHC | 2024-09-16 | 86.84 | 0.2124 | 0.4428 | no |
| GILD | 2024-09-16 | 78.65 | 0.1954 | 0.5337 | no |
| GOOG | 2024-09-16 | 157.23 | 0.2280 | — | no |
| GOOGL | 2024-09-16 | 156.21 | 0.2721 | 0.4766 | no |
| GPC | 2024-09-16 | 129.30 | 0.2426 | 0.4875 | no |
| HPE | 2024-09-16 | 15.99 | 0.4015 | 0.4764 | no |
| INTC | 2024-09-16 | 20.03 | 0.1828 | 0.5363 | no |
| IT | 2024-09-16 | 512.70 | 0.2277 | 0.4623 | no |
| JBHT | 2024-09-16 | 166.46 | 0.1895 | 0.4830 | no |
| KHC | 2024-09-16 | 31.71 | 0.2929 | 0.4165 | no |
| L | 2024-09-16 | 78.56 | 0.2288 | — | no |
| LEN | 2024-09-16 | 175.15 | 0.2925 | 0.4827 | no |
| LIN | 2024-09-16 | 462.16 | 0.1871 | 0.4325 | no |
| MTB | 2024-09-16 | 160.32 | 0.1679 | 0.4302 | no |
| NCLH | 2024-09-16 | 19.49 | 0.6010 | 0.4211 | no |
| NEM | 2024-09-16 | 52.00 | 0.1775 | 0.4964 | no |
| OKE | 2024-09-16 | 84.11 | 0.2099 | 0.4573 | no |
| ORCL | 2024-09-16 | 161.44 | 0.2293 | 0.5018 | no |
| ORLY | 2024-09-16 | 75.64 | 0.1939 | 0.4991 | no |
| PGR | 2024-09-16 | 236.78 | 0.1813 | 0.4532 | no |
| PNC | 2024-09-16 | 166.52 | 0.2361 | 0.4330 | no |
| QCOM | 2024-09-16 | 158.01 | 0.4411 | 0.5172 | no |
| ROL | 2024-09-16 | 49.39 | 0.2021 | 0.4558 | no |
| RTX | 2024-09-16 | 115.89 | 0.3999 | 0.4933 | no |
| SNA | 2024-09-16 | 267.64 | 0.3724 | 0.4665 | no |
| SPG | 2024-09-16 | 151.01 | 0.2746 | 0.4086 | no |
| STLD | 2024-09-16 | 110.05 | 0.2558 | 0.5448 | no |
| TEL | 2024-09-16 | 142.19 | 0.2885 | — | no |
| TSN | 2024-09-16 | 57.69 | 0.2480 | 0.4229 | no |
| UAL | 2024-09-16 | 50.38 | 0.3773 | 0.4389 | no |
| VLTO | 2024-09-16 | 109.49 | 0.2461 | 0.4796 | no |
| WRB | 2024-09-16 | 55.73 | 0.3328 | 0.4416 | no |