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 | -3.05% | 3.56% | 2024-11-25 | -8.10% |
| buy & hold | participation factor overlay | 6 months | complete | -6.06% | 3.56% | 2024-11-25 | -11.98% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.89% | 1.42% | 2024-10-14 | -7.66% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -7.94% | 1.42% | 2024-10-14 | -11.79% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.60% | 4.88% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.15% | 4.88% | 2024-11-25 | -12.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.12% | 3.56% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.57% | 3.56% | 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 |
|---|---|---|---|---|---|
| ABNB | 2024-09-23 | 131.50 | 0.3028 | 0.4552 | no |
| AEP | 2024-09-23 | 96.30 | 0.1644 | 0.4332 | no |
| AES | 2024-09-23 | 17.02 | 0.3340 | — | no |
| AIZ | 2024-09-23 | 189.35 | 0.1436 | 0.4184 | no |
| AKAM | 2024-09-23 | 99.71 | 0.3958 | 0.4546 | no |
| AMAT | 2024-09-23 | 191.36 | 0.2641 | 0.5673 | no |
| AWK | 2024-09-23 | 140.61 | 0.2384 | 0.4510 | no |
| BA | 2024-09-23 | 153.00 | 0.4540 | 0.4918 | no |
| BALL | 2024-09-23 | 64.63 | 0.2151 | 0.4303 | no |
| BEN | 2024-09-23 | 18.61 | 0.2963 | 0.4803 | no |
| BLDR | 2024-09-23 | 199.02 | 0.2502 | 0.4742 | no |
| BMY | 2024-09-23 | 45.16 | 0.1718 | 0.5424 | no |
| BRK.B | 2024-09-23 | 457.31 | 0.2935 | — | no |
| BWA | 2024-09-23 | 32.51 | 0.1513 | 0.4136 | no |
| CFG | 2024-09-23 | 38.98 | 0.4923 | 0.4078 | no |
| CHRW | 2024-09-23 | 100.24 | 0.2734 | 0.4836 | no |
| CMI | 2024-09-23 | 298.04 | 0.1912 | 0.4746 | no |
| CRWD | 2024-09-23 | 74.44 | 0.5733 | 0.5658 | no |
| DAL | 2024-09-23 | 45.82 | 0.5719 | 0.4279 | no |
| DOW | 2024-09-23 | 45.94 | 0.2037 | 0.4637 | no |
| EVRG | 2024-09-23 | 57.56 | 0.2475 | 0.4563 | no |
| HIG | 2024-09-23 | 112.61 | 0.1491 | 0.4479 | no |
| J | 2024-09-23 | 120.83 | 0.1951 | 0.5078 | no |
| L | 2024-09-23 | 78.21 | 0.1546 | — | no |
| LIN | 2024-09-23 | 462.42 | 0.2987 | 0.4322 | no |
| MCHP | 2024-09-23 | 72.44 | 0.2911 | 0.4988 | no |
| MPC | 2024-09-23 | 156.25 | 0.2091 | 0.4495 | no |
| MRK | 2024-09-23 | 109.79 | 0.2930 | 0.4696 | no |
| MSI | 2024-09-23 | 433.73 | 0.1918 | 0.5357 | no |
| MU | 2024-09-23 | 92.10 | 0.1637 | 0.5553 | no |
| NDSN | 2024-09-23 | 248.89 | 0.3143 | 0.4223 | no |
| NEM | 2024-09-23 | 52.88 | 0.2717 | 0.4964 | no |
| NSC | 2024-09-23 | 238.94 | 0.2197 | 0.4932 | no |
| NXPI | 2024-09-23 | 224.67 | 0.2309 | 0.5291 | no |
| ON | 2024-09-23 | 69.98 | 0.3196 | 0.5272 | no |
| ORCL | 2024-09-23 | 163.63 | 0.2084 | 0.5018 | no |
| PCG | 2024-09-23 | 19.78 | 0.1563 | 0.4323 | no |
| PFE | 2024-09-23 | 25.70 | 0.2394 | 0.5261 | no |
| PSX | 2024-09-23 | 121.38 | 0.2233 | 0.4489 | no |
| QCOM | 2024-09-23 | 161.35 | 0.3008 | 0.5172 | no |
| QRVO | 2024-09-23 | 102.87 | 0.5997 | — | no |
| SMCI | 2024-09-23 | 45.06 | 0.4277 | 0.4561 | no |
| SRE | 2024-09-23 | 78.54 | 0.1579 | — | no |
| SWKS | 2024-09-23 | 91.52 | 0.3344 | 0.4857 | no |
| TAP | 2024-09-23 | 50.27 | 0.2249 | 0.4173 | no |
| TEL | 2024-09-23 | 144.28 | 0.3424 | — | no |
| UAL | 2024-09-23 | 52.17 | 0.1636 | 0.4400 | no |
| URI | 2024-09-23 | 782.84 | 0.1627 | 0.4838 | no |
| VLO | 2024-09-23 | 126.27 | 0.2497 | 0.4383 | no |
| WDC | 2024-09-23 | 50.42 | 0.2565 | 0.5521 | no |