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 | -4.15% | 0.00% | 2024-10-21 | -8.33% |
| buy & hold | participation factor overlay | 6 months | complete | -12.73% | 0.00% | 2024-10-21 | -16.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.31% | 0.00% | 2024-10-21 | -7.64% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -13.59% | 0.00% | 2024-10-21 | -16.76% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.28% | 1.30% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -15.47% | 1.30% | 2024-11-25 | -20.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.78% | 1.03% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -13.27% | 1.03% | 2024-11-25 | -18.88% |
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 | 2024-10-21 | 135.66 | 0.4132 | 0.4768 | no |
| ADBE | 2024-10-21 | 494.60 | 0.2209 | 0.4715 | no |
| AKAM | 2024-10-21 | 106.50 | 0.2837 | 0.4636 | no |
| AVGO | 2024-10-21 | 176.65 | 0.3698 | 0.5348 | no |
| BDX | 2024-10-21 | 182.81 | 0.2125 | 0.4495 | no |
| BMY | 2024-10-21 | 49.10 | 0.2651 | 0.4970 | no |
| CHRW | 2024-10-21 | 105.73 | 0.2789 | 0.4660 | no |
| CMS | 2024-10-21 | 67.11 | 0.2073 | 0.4671 | no |
| CNC | 2024-10-21 | 61.97 | 0.4680 | 0.4178 | no |
| COST | 2024-10-21 | 879.33 | 0.2928 | 0.5375 | no |
| CRWD | 2024-10-21 | 77.42 | 0.2711 | 0.5604 | no |
| DHI | 2024-10-21 | 188.80 | 0.2550 | 0.5000 | no |
| DUK | 2024-10-21 | 112.77 | 0.2100 | 0.4636 | no |
| DVN | 2024-10-21 | 38.82 | 0.2502 | 0.4474 | no |
| ED | 2024-10-21 | 99.88 | 0.3064 | — | no |
| EXC | 2024-10-21 | 38.02 | 0.2889 | 0.4620 | no |
| FCX | 2024-10-21 | 47.36 | 0.2816 | 0.4873 | no |
| FDS | 2024-10-21 | 456.75 | 0.2135 | 0.5056 | no |
| FDX | 2024-10-21 | 211.15 | 0.2150 | 0.4653 | no |
| FE | 2024-10-21 | 40.36 | 0.3501 | 0.4370 | no |
| HPE | 2024-10-21 | 19.78 | 0.3149 | 0.4933 | no |
| IT | 2024-10-21 | 530.64 | 0.3082 | 0.4693 | no |
| JBHT | 2024-10-21 | 173.02 | 0.2609 | 0.4821 | no |
| JNJ | 2024-10-21 | 156.41 | 0.1975 | 0.4751 | no |
| LHX | 2024-10-21 | 241.16 | 0.2932 | 0.5253 | no |
| LIN | 2024-10-21 | 472.41 | 0.2358 | 0.4362 | no |
| LYB | 2024-10-21 | 79.39 | 0.2454 | 0.4490 | no |
| MDLZ | 2024-10-21 | 67.61 | 0.2127 | 0.4127 | no |
| MDT | 2024-10-21 | 86.92 | 0.2316 | 0.4483 | no |
| MKC | 2024-10-21 | 76.18 | 0.2283 | 0.4199 | no |
| MOS | 2024-10-21 | 24.66 | 0.2060 | 0.4235 | no |
| O | 2024-10-21 | 58.12 | 0.1948 | 0.4422 | no |
| ON | 2024-10-21 | 68.10 | 0.2055 | 0.5192 | no |
| OTIS | 2024-10-21 | 101.58 | 0.2073 | 0.4991 | no |
| OXY | 2024-10-21 | 50.00 | 0.2460 | 0.4498 | no |
| PFE | 2024-10-21 | 25.51 | 0.2048 | 0.5063 | no |
| PLD | 2024-10-21 | 112.92 | 0.2340 | 0.4080 | no |
| PPG | 2024-10-21 | 124.17 | 0.3036 | 0.4512 | no |
| PRU | 2024-10-21 | 114.93 | 0.3221 | 0.4687 | no |
| PSA | 2024-10-21 | 317.41 | 0.1987 | 0.4127 | no |
| QCOM | 2024-10-21 | 162.52 | 0.2230 | 0.5166 | no |
| RCL | 2024-10-21 | 192.92 | 0.2888 | 0.4673 | no |
| REG | 2024-10-21 | 66.85 | 0.2200 | 0.4072 | no |
| SMCI | 2024-10-21 | 47.39 | 0.5678 | 0.4578 | no |
| SO | 2024-10-21 | 87.50 | 0.2468 | 0.4598 | no |
| SWK | 2024-10-21 | 97.49 | 0.2269 | 0.5285 | no |
| VZ | 2024-10-21 | 39.24 | 0.2703 | 0.4120 | no |
| WEC | 2024-10-21 | 93.44 | 0.2533 | 0.4492 | no |
| YUM | 2024-10-21 | 128.54 | 0.5310 | 0.4204 | no |
| ZBH | 2024-10-21 | 104.13 | 0.2492 | 0.4692 | no |