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 | 2.04% | 6.15% | 2024-11-25 | -7.15% |
| buy & hold | participation factor overlay | 6 months | complete | -3.88% | 6.15% | 2024-11-25 | -17.06% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.45% | 5.90% | 2024-11-25 | -7.90% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.30% | 5.90% | 2024-11-25 | -18.42% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.17% | 5.90% | 2025-01-23 | -6.82% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.79% | 5.90% | 2025-01-23 | -20.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.67% | 6.46% | 2025-01-23 | -7.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.53% | 6.46% | 2025-01-23 | -18.66% |
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 |
|---|---|---|---|---|---|
| ADI | 2024-11-04 | 218.46 | 0.3099 | 0.5457 | no |
| AES | 2024-11-04 | 13.54 | 0.2575 | — | no |
| AIZ | 2024-11-04 | 185.98 | 0.2491 | 0.4220 | no |
| AME | 2024-11-04 | 177.41 | 0.2748 | 0.5128 | no |
| AON | 2024-11-04 | 362.36 | 0.2984 | 0.4507 | no |
| BIIB | 2024-11-04 | 173.22 | 0.3658 | 0.5104 | no |
| BLDR | 2024-11-04 | 172.76 | 0.4391 | 0.4757 | no |
| BSX | 2024-11-04 | 83.65 | 0.2598 | 0.4305 | no |
| BX | 2024-11-04 | 157.91 | 0.2900 | 0.4731 | no |
| BXP | 2024-11-04 | 72.52 | 0.2754 | 0.4276 | no |
| CINF | 2024-11-04 | 134.81 | 0.4742 | 0.4796 | no |
| COF | 2024-11-04 | 159.20 | 0.2809 | 0.4425 | no |
| DAL | 2024-11-04 | 56.69 | 0.2317 | 0.4733 | no |
| DTE | 2024-11-04 | 114.22 | 0.2687 | 0.4626 | no |
| DVA | 2024-11-04 | 141.50 | 0.2328 | 0.4233 | no |
| EQIX | 2024-11-04 | 851.02 | 0.2715 | 0.4425 | no |
| GD | 2024-11-04 | 283.97 | 0.2714 | 0.5224 | no |
| GOOGL | 2024-11-04 | 168.75 | 0.2209 | 0.4986 | no |
| INCY | 2024-11-04 | 75.07 | 0.2721 | 0.4811 | no |
| ITW | 2024-11-04 | 252.52 | 0.3253 | 0.5125 | no |
| JBHT | 2024-11-04 | 176.99 | 0.3488 | 0.4818 | no |
| JNJ | 2024-11-04 | 151.29 | 0.2190 | 0.4751 | no |
| LKQ | 2024-11-04 | 34.33 | 0.2203 | 0.4795 | no |
| LOW | 2024-11-04 | 253.32 | 0.2309 | 0.4719 | no |
| LVS | 2024-11-04 | 49.60 | 0.5281 | 0.4389 | no |
| MCD | 2024-11-04 | 280.80 | 0.2383 | 0.4177 | no |
| MCO | 2024-11-04 | 448.67 | 0.2146 | 0.4954 | no |
| MDLZ | 2024-11-04 | 65.05 | 0.2427 | 0.4266 | no |
| MDT | 2024-11-04 | 85.06 | 0.3620 | 0.4481 | no |
| MHK | 2024-11-04 | 134.51 | 0.2828 | 0.5167 | no |
| MRK | 2024-11-04 | 95.55 | 0.2803 | 0.4366 | no |
| MS | 2024-11-04 | 111.98 | 0.3869 | 0.4635 | no |
| NDAQ | 2024-11-04 | 72.61 | 0.2310 | 0.5189 | no |
| NSC | 2024-11-04 | 241.64 | 0.2848 | 0.4634 | no |
| NTRS | 2024-11-04 | 95.03 | 0.2378 | 0.4502 | no |
| PAYX | 2024-11-04 | 130.57 | 0.2866 | 0.4678 | no |
| PKG | 2024-11-04 | 219.07 | 0.2301 | 0.4488 | no |
| ROP | 2024-11-04 | 534.90 | 0.3174 | 0.4784 | no |
| ROST | 2024-11-04 | 137.34 | 0.2137 | 0.4234 | no |
| SMCI | 2024-11-04 | 24.89 | 0.2618 | 0.4596 | no |
| SNA | 2024-11-04 | 313.34 | 0.3178 | 0.4105 | no |
| T | 2024-11-04 | 20.45 | 0.2864 | 0.4102 | no |
| TER | 2024-11-04 | 104.24 | 0.3260 | 0.5562 | no |
| TFC | 2024-11-04 | 39.07 | 0.3338 | 0.4337 | no |
| TXN | 2024-11-04 | 193.83 | 0.2604 | 0.5313 | no |
| VLTO | 2024-11-04 | 101.19 | 0.2434 | 0.4900 | no |
| VRSK | 2024-11-04 | 271.49 | 0.2426 | 0.4987 | no |
| WTW | 2024-11-04 | 294.21 | 0.3788 | 0.4504 | no |
| XYL | 2024-11-04 | 117.19 | 0.2640 | 0.4862 | no |
| YUM | 2024-11-04 | 127.49 | 0.2285 | 0.4219 | no |