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 | 8.10% | 10.03% | 2024-12-04 | -2.49% |
| buy & hold | participation factor overlay | 6 months | complete | 0.15% | 10.52% | 2025-02-19 | -11.31% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.57% | 9.47% | 2024-12-06 | -2.50% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.36% | 9.47% | 2024-12-06 | -11.71% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.90% | 7.37% | 2024-12-04 | -4.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.00% | 7.86% | 2025-01-23 | -10.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.66% | 5.94% | 2024-12-04 | -4.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.27% | 6.24% | 2025-01-23 | -8.22% |
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 |
|---|---|---|---|---|---|
| AAL | 2024-09-16 | 10.65 | 0.3052 | 0.4374 | no |
| ADBE | 2024-09-16 | 537.40 | 0.1887 | 0.4698 | no |
| AIG | 2024-09-16 | 70.02 | 0.1963 | 0.4675 | no |
| ALLE | 2024-09-16 | 138.13 | 0.2904 | 0.4823 | no |
| AMT | 2024-09-16 | 222.76 | 0.3169 | 0.4315 | no |
| AWK | 2024-09-16 | 141.61 | 0.2810 | 0.4510 | no |
| BA | 2024-09-16 | 156.25 | 0.5316 | 0.4931 | no |
| BBWI | 2024-09-16 | 25.37 | 0.2767 | 0.4259 | no |
| CAT | 2024-09-16 | 339.86 | 0.2320 | 0.4834 | no |
| CHRW | 2024-09-16 | 96.31 | 0.5431 | 0.4834 | no |
| CMG | 2024-09-16 | 56.59 | 0.3142 | 0.4091 | no |
| CMI | 2024-09-16 | 293.36 | 0.3090 | 0.4745 | no |
| CRWD | 2024-09-16 | 65.19 | 0.4014 | 0.5658 | no |
| CVS | 2024-09-16 | 54.05 | 0.2200 | 0.4472 | no |
| DAL | 2024-09-16 | 44.05 | 0.5138 | 0.4235 | no |
| DD | 2024-09-16 | 98.87 | 0.3307 | 0.4601 | no |
| DLR | 2024-09-16 | 150.60 | 0.2189 | 0.4072 | no |
| DVN | 2024-09-16 | 37.71 | 0.1993 | 0.4576 | no |
| DXCM | 2024-09-16 | 70.42 | 0.2962 | 0.4456 | no |
| EVRG | 2024-09-16 | 56.95 | 0.1907 | 0.4563 | no |
| GD | 2024-09-16 | 295.85 | 0.1902 | 0.4953 | no |
| GEHC | 2024-09-16 | 86.84 | 0.1935 | 0.4428 | no |
| GOOG | 2024-09-16 | 157.23 | 0.2397 | — | no |
| GOOGL | 2024-09-16 | 156.21 | 0.4049 | 0.4766 | no |
| HPE | 2024-09-16 | 15.99 | 0.2462 | 0.4764 | no |
| HSY | 2024-09-16 | 190.09 | 0.2067 | 0.4210 | no |
| INTC | 2024-09-16 | 20.03 | 0.1872 | 0.5363 | no |
| JBHT | 2024-09-16 | 166.46 | 0.2436 | 0.4830 | no |
| LEN | 2024-09-16 | 175.15 | 0.2325 | 0.4827 | no |
| LIN | 2024-09-16 | 462.16 | 0.3099 | 0.4325 | no |
| LRCX | 2024-09-16 | 73.87 | 0.4146 | 0.5412 | no |
| MRK | 2024-09-16 | 108.48 | 0.2962 | 0.4691 | no |
| MU | 2024-09-16 | 86.69 | 0.4518 | 0.5557 | no |
| NCLH | 2024-09-16 | 19.49 | 0.3618 | 0.4211 | no |
| NOW | 2024-09-16 | 177.00 | 0.2195 | 0.4906 | no |
| NXPI | 2024-09-16 | 218.93 | 0.2580 | 0.5293 | no |
| ORCL | 2024-09-16 | 161.44 | 0.2448 | 0.5018 | no |
| PAYX | 2024-09-16 | 126.14 | 0.2211 | 0.4353 | no |
| PEP | 2024-09-16 | 165.63 | 0.2973 | 0.4034 | no |
| QCOM | 2024-09-16 | 158.01 | 0.5277 | 0.5172 | no |
| RTX | 2024-09-16 | 115.89 | 0.3172 | 0.4933 | no |
| SNA | 2024-09-16 | 267.64 | 0.1844 | 0.4665 | no |
| SPG | 2024-09-16 | 151.01 | 0.3340 | 0.4086 | no |
| SYY | 2024-09-16 | 72.85 | 0.2396 | 0.4809 | no |
| TEL | 2024-09-16 | 142.19 | 0.2299 | — | no |
| TSN | 2024-09-16 | 57.69 | 0.2241 | 0.4229 | no |
| UAL | 2024-09-16 | 50.38 | 0.4416 | 0.4389 | no |
| VLO | 2024-09-16 | 128.47 | 0.1881 | 0.4388 | no |
| WMT | 2024-09-16 | 79.39 | 0.3202 | 0.5065 | no |
| WRB | 2024-09-16 | 55.73 | 0.4393 | 0.4416 | no |