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 | 7.35% | 10.13% | 2024-11-29 | -2.52% |
| buy & hold | participation factor overlay | 6 months | complete | -0.32% | 10.13% | 2024-11-29 | -11.48% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.81% | 7.70% | 2024-11-25 | -2.68% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.76% | 7.70% | 2024-11-25 | -11.62% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.22% | 6.32% | 2024-11-25 | -4.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.26% | 6.32% | 2024-11-25 | -12.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.08% | 4.61% | 2024-11-25 | -4.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.10% | 4.61% | 2024-11-25 | -10.64% |
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 | 0.3706 | 0.4374 | no |
| ABT | 2024-09-16 | 112.20 | 0.1785 | 0.4458 | no |
| ALL | 2024-09-16 | 182.47 | 0.2929 | 0.4575 | no |
| ALLE | 2024-09-16 | 138.13 | 0.1948 | 0.4823 | no |
| AMT | 2024-09-16 | 222.76 | 0.3604 | 0.4315 | no |
| AVY | 2024-09-16 | 211.29 | 0.1962 | 0.4896 | no |
| AWK | 2024-09-16 | 141.61 | 0.3451 | 0.4510 | no |
| BA | 2024-09-16 | 156.25 | 0.5446 | 0.4931 | no |
| BEN | 2024-09-16 | 17.86 | 0.2686 | 0.4774 | no |
| BLDR | 2024-09-16 | 187.50 | 0.2043 | 0.4729 | no |
| CAT | 2024-09-16 | 339.86 | 0.2403 | 0.4834 | no |
| CFG | 2024-09-16 | 37.58 | 0.1785 | 0.4068 | no |
| CHRW | 2024-09-16 | 96.31 | 0.3420 | 0.4834 | no |
| CMG | 2024-09-16 | 56.59 | 0.2302 | 0.4091 | no |
| CMI | 2024-09-16 | 293.36 | 0.2168 | 0.4745 | no |
| DAL | 2024-09-16 | 44.05 | 0.3820 | 0.4235 | no |
| DD | 2024-09-16 | 98.87 | 0.1955 | 0.4601 | no |
| DLR | 2024-09-16 | 150.60 | 0.1651 | 0.4072 | no |
| ED | 2024-09-16 | 98.25 | 0.1832 | — | no |
| FCX | 2024-09-16 | 42.15 | 0.2445 | 0.4903 | no |
| FMC | 2024-09-16 | 58.61 | 0.1818 | 0.4102 | no |
| GOOG | 2024-09-16 | 157.23 | 0.2360 | — | no |
| GOOGL | 2024-09-16 | 156.21 | 0.3566 | 0.4766 | no |
| HPE | 2024-09-16 | 15.99 | 0.2980 | 0.4764 | no |
| HSY | 2024-09-16 | 190.09 | 0.2241 | 0.4210 | no |
| JBHT | 2024-09-16 | 166.46 | 0.2102 | 0.4830 | no |
| JBL | 2024-09-16 | 103.75 | 0.1732 | 0.4922 | no |
| JNJ | 2024-09-16 | 157.60 | 0.2843 | 0.4680 | no |
| KHC | 2024-09-16 | 31.71 | 0.2662 | 0.4165 | no |
| LIN | 2024-09-16 | 462.16 | 0.1967 | 0.4325 | no |
| MPC | 2024-09-16 | 158.49 | 0.2010 | 0.4502 | no |
| MU | 2024-09-16 | 86.69 | 0.4365 | 0.5557 | no |
| NCLH | 2024-09-16 | 19.49 | 0.5852 | 0.4211 | no |
| NDSN | 2024-09-16 | 245.86 | 0.2771 | 0.4223 | no |
| OKE | 2024-09-16 | 84.11 | 0.2239 | 0.4573 | no |
| ORLY | 2024-09-16 | 75.64 | 0.2826 | 0.4991 | no |
| PNC | 2024-09-16 | 166.52 | 0.2496 | 0.4330 | no |
| QCOM | 2024-09-16 | 158.01 | 0.5619 | 0.5172 | no |
| ROL | 2024-09-16 | 49.39 | 0.1898 | 0.4558 | no |
| RTX | 2024-09-16 | 115.89 | 0.1626 | 0.4933 | no |
| SNA | 2024-09-16 | 267.64 | 0.2061 | 0.4665 | no |
| SPG | 2024-09-16 | 151.01 | 0.2516 | 0.4086 | no |
| STLD | 2024-09-16 | 110.05 | 0.1903 | 0.5448 | no |
| SYY | 2024-09-16 | 72.85 | 0.1973 | 0.4809 | no |
| TEL | 2024-09-16 | 142.19 | 0.2242 | — | no |
| UAL | 2024-09-16 | 50.38 | 0.1785 | 0.4389 | no |
| VLO | 2024-09-16 | 128.47 | 0.1683 | 0.4388 | no |
| WDC | 2024-09-16 | 48.20 | 0.1685 | 0.5521 | no |
| WMT | 2024-09-16 | 79.39 | 0.2520 | 0.5065 | no |
| WRB | 2024-09-16 | 55.73 | 0.4169 | 0.4416 | no |