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 | -2.05% | 3.84% | 2024-11-25 | -7.40% |
| buy & hold | participation factor overlay | 6 months | complete | -4.36% | 3.84% | 2024-11-25 | -10.68% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.26% | 4.33% | 2024-12-02 | -6.91% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.38% | 4.33% | 2024-12-02 | -11.03% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.24% | 2.69% | 2024-12-02 | -7.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.70% | 2.69% | 2024-12-02 | -12.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.03% | 2.95% | 2024-12-02 | -7.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.20% | 2.95% | 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 |
|---|---|---|---|---|---|
| ABNB | 2024-09-23 | 131.50 | 0.4246 | 0.4552 | no |
| AES | 2024-09-23 | 17.02 | 0.1993 | — | no |
| AIG | 2024-09-23 | 70.66 | 0.1594 | 0.4739 | no |
| AKAM | 2024-09-23 | 99.71 | 0.1959 | 0.4546 | no |
| APA | 2024-09-23 | 23.16 | 0.2368 | 0.5376 | no |
| APD | 2024-09-23 | 274.81 | 0.3022 | 0.4286 | no |
| AWK | 2024-09-23 | 140.61 | 0.3287 | 0.4510 | no |
| BA | 2024-09-23 | 153.00 | 0.4603 | 0.4918 | no |
| BALL | 2024-09-23 | 64.63 | 0.1765 | 0.4303 | no |
| BDX | 2024-09-23 | 175.76 | 0.1587 | 0.4331 | no |
| BEN | 2024-09-23 | 18.61 | 0.3708 | 0.4803 | no |
| BRK.B | 2024-09-23 | 457.31 | 0.1568 | — | no |
| CFG | 2024-09-23 | 38.98 | 0.5311 | 0.4078 | no |
| CHRW | 2024-09-23 | 100.24 | 0.4393 | 0.4836 | no |
| CMI | 2024-09-23 | 298.04 | 0.1930 | 0.4746 | no |
| CNP | 2024-09-23 | 27.04 | 0.1892 | 0.4480 | no |
| CRM | 2024-09-23 | 263.41 | 0.1666 | 0.4740 | no |
| CRWD | 2024-09-23 | 74.44 | 0.5025 | 0.5658 | no |
| DAL | 2024-09-23 | 45.82 | 0.2249 | 0.4279 | no |
| EVRG | 2024-09-23 | 57.56 | 0.1967 | 0.4563 | no |
| EW | 2024-09-23 | 66.83 | 0.1999 | 0.4464 | no |
| EXPE | 2024-09-23 | 142.06 | 0.1808 | 0.4169 | no |
| HII | 2024-09-23 | 256.85 | 0.1550 | 0.5051 | no |
| IP | 2024-09-23 | 44.78 | 0.1589 | 0.4290 | no |
| JBHT | 2024-09-23 | 166.49 | 0.2329 | 0.4836 | no |
| KEYS | 2024-09-23 | 152.92 | 0.1527 | 0.4947 | no |
| L | 2024-09-23 | 78.21 | 0.3452 | — | no |
| MCHP | 2024-09-23 | 72.44 | 0.2937 | 0.4988 | no |
| MPC | 2024-09-23 | 156.25 | 0.2646 | 0.4495 | no |
| MRK | 2024-09-23 | 109.79 | 0.2760 | 0.4696 | no |
| MU | 2024-09-23 | 92.10 | 0.5411 | 0.5553 | no |
| NDSN | 2024-09-23 | 248.89 | 0.3039 | 0.4223 | no |
| NEM | 2024-09-23 | 52.88 | 0.1650 | 0.4964 | no |
| NUE | 2024-09-23 | 142.23 | 0.2760 | 0.5385 | no |
| ON | 2024-09-23 | 69.98 | 0.2016 | 0.5272 | no |
| ORCL | 2024-09-23 | 163.63 | 0.4495 | 0.5018 | no |
| PCG | 2024-09-23 | 19.78 | 0.1660 | 0.4323 | no |
| PFE | 2024-09-23 | 25.70 | 0.1692 | 0.5261 | no |
| PNC | 2024-09-23 | 174.34 | 0.1904 | 0.4329 | no |
| QCOM | 2024-09-23 | 161.35 | 0.4308 | 0.5172 | no |
| QRVO | 2024-09-23 | 102.87 | 0.5535 | — | no |
| SMCI | 2024-09-23 | 45.06 | 0.3804 | 0.4561 | no |
| SNA | 2024-09-23 | 269.89 | 0.2079 | 0.4665 | no |
| SRE | 2024-09-23 | 78.54 | 0.1677 | — | no |
| SWKS | 2024-09-23 | 91.52 | 0.3529 | 0.4857 | no |
| TAP | 2024-09-23 | 50.27 | 0.3419 | 0.4173 | no |
| VLO | 2024-09-23 | 126.27 | 0.2925 | 0.4383 | no |
| WDC | 2024-09-23 | 50.42 | 0.3627 | 0.5521 | no |
| WY | 2024-09-23 | 31.32 | 0.2566 | 0.4859 | no |
| XEL | 2024-09-23 | 60.40 | 0.1635 | 0.4773 | no |