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 | 7.12% | 10.61% | 2024-11-25 | -3.15% |
| buy & hold | participation factor overlay | 6 months | complete | 1.73% | 11.23% | 2025-02-19 | -10.67% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.95% | 9.73% | 2024-12-02 | -2.87% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.61% | 9.81% | 2025-02-19 | -10.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.13% | 4.45% | 2024-12-02 | -4.30% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.36% | 4.45% | 2024-12-02 | -12.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.63% | 4.18% | 2024-12-02 | -3.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.37% | 4.18% | 2024-12-02 | -11.68% |
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 |
|---|---|---|---|---|---|
| ALLE | 2024-09-16 | 138.13 | 0.3856 | 0.4823 | no |
| AMT | 2024-09-16 | 222.76 | 0.5743 | 0.4315 | no |
| AWK | 2024-09-16 | 141.61 | 0.3825 | 0.4510 | no |
| BA | 2024-09-16 | 156.25 | 0.5052 | 0.4931 | no |
| BEN | 2024-09-16 | 17.86 | 0.2290 | 0.4774 | no |
| BLDR | 2024-09-16 | 187.50 | 0.2647 | 0.4729 | no |
| CAT | 2024-09-16 | 339.86 | 0.2327 | 0.4834 | no |
| CFG | 2024-09-16 | 37.58 | 0.2205 | 0.4068 | no |
| CHRW | 2024-09-16 | 96.31 | 0.5503 | 0.4834 | no |
| CI | 2024-09-16 | 352.63 | 0.1892 | 0.4337 | no |
| CRWD | 2024-09-16 | 65.19 | 0.3230 | 0.5658 | no |
| DAL | 2024-09-16 | 44.05 | 0.5975 | 0.4235 | no |
| DLR | 2024-09-16 | 150.60 | 0.3873 | 0.4072 | no |
| DVN | 2024-09-16 | 37.71 | 0.1779 | 0.4576 | no |
| DXCM | 2024-09-16 | 70.42 | 0.4118 | 0.4456 | no |
| EVRG | 2024-09-16 | 56.95 | 0.1850 | 0.4563 | no |
| FOX | 2024-09-16 | 36.03 | 0.1840 | — | no |
| GOOG | 2024-09-16 | 157.23 | 0.4510 | — | no |
| GOOGL | 2024-09-16 | 156.21 | 0.4529 | 0.4766 | no |
| GWW | 2024-09-16 | 985.55 | 0.1759 | 0.5144 | no |
| HPE | 2024-09-16 | 15.99 | 0.2762 | 0.4764 | no |
| INTC | 2024-09-16 | 20.03 | 0.1783 | 0.5363 | no |
| JBHT | 2024-09-16 | 166.46 | 0.2582 | 0.4830 | no |
| KHC | 2024-09-16 | 31.71 | 0.4086 | 0.4165 | no |
| L | 2024-09-16 | 78.56 | 0.2247 | — | no |
| LIN | 2024-09-16 | 462.16 | 0.2602 | 0.4325 | no |
| LRCX | 2024-09-16 | 73.87 | 0.3089 | 0.5412 | no |
| MDT | 2024-09-16 | 84.37 | 0.2391 | 0.4396 | no |
| MU | 2024-09-16 | 86.69 | 0.4787 | 0.5557 | no |
| NCLH | 2024-09-16 | 19.49 | 0.5929 | 0.4211 | no |
| NDSN | 2024-09-16 | 245.86 | 0.2833 | 0.4223 | no |
| NVDA | 2024-09-16 | 116.48 | 0.4277 | 0.5454 | no |
| OKE | 2024-09-16 | 84.11 | 0.2487 | 0.4573 | no |
| ORCL | 2024-09-16 | 161.44 | 0.2464 | 0.5018 | no |
| PAYX | 2024-09-16 | 126.14 | 0.2601 | 0.4353 | no |
| PEP | 2024-09-16 | 165.63 | 0.1863 | 0.4034 | no |
| PNC | 2024-09-16 | 166.52 | 0.2832 | 0.4330 | no |
| QCOM | 2024-09-16 | 158.01 | 0.5207 | 0.5172 | no |
| ROL | 2024-09-16 | 49.39 | 0.1905 | 0.4558 | no |
| RTX | 2024-09-16 | 115.89 | 0.3211 | 0.4933 | no |
| SMCI | 2024-09-16 | 44.72 | 0.3223 | 0.4561 | no |
| SNA | 2024-09-16 | 267.64 | 0.2523 | 0.4665 | no |
| STLD | 2024-09-16 | 110.05 | 0.2395 | 0.5448 | no |
| SYY | 2024-09-16 | 72.85 | 0.2104 | 0.4809 | no |
| TAP | 2024-09-16 | 51.18 | 0.2331 | 0.4173 | no |
| TEL | 2024-09-16 | 142.19 | 0.2623 | — | no |
| TSN | 2024-09-16 | 57.69 | 0.2764 | 0.4229 | no |
| UAL | 2024-09-16 | 50.38 | 0.4282 | 0.4389 | no |
| VLO | 2024-09-16 | 128.47 | 0.2557 | 0.4388 | no |
| WMT | 2024-09-16 | 79.39 | 0.2840 | 0.5065 | no |