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 | 2.92% | 4.64% | 2024-11-29 | -5.82% |
| buy & hold | participation factor overlay | 6 months | complete | -3.47% | 4.64% | 2024-11-29 | -16.56% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.59% | 5.43% | 2024-11-29 | -7.15% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.54% | 5.43% | 2024-11-29 | -18.42% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.24% | 5.00% | 2024-12-02 | -7.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.59% | 5.00% | 2024-12-02 | -22.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.32% | 4.40% | 2024-12-02 | -7.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.82% | 4.40% | 2024-12-02 | -21.46% |
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 |
|---|---|---|---|---|---|
| ABT | 2024-11-04 | 115.23 | 0.2920 | 0.4360 | no |
| AES | 2024-11-04 | 13.54 | 0.3673 | — | no |
| AME | 2024-11-04 | 177.41 | 0.2921 | 0.5128 | no |
| AMZN | 2024-11-04 | 196.45 | 0.1903 | 0.5150 | no |
| AON | 2024-11-04 | 362.36 | 0.1941 | 0.4507 | no |
| AVY | 2024-11-04 | 197.88 | 0.2014 | 0.4785 | no |
| BDX | 2024-11-04 | 176.70 | 0.2104 | 0.4491 | no |
| BIIB | 2024-11-04 | 173.22 | 0.2985 | 0.5104 | no |
| BLDR | 2024-11-04 | 172.76 | 0.4550 | 0.4757 | no |
| BRK.B | 2024-11-04 | 450.37 | 0.2323 | — | no |
| BSX | 2024-11-04 | 83.65 | 0.3577 | 0.4305 | no |
| BX | 2024-11-04 | 157.91 | 0.4228 | 0.4731 | no |
| BXP | 2024-11-04 | 72.52 | 0.4028 | 0.4276 | no |
| C | 2024-11-04 | 60.38 | 0.2365 | 0.4780 | no |
| CINF | 2024-11-04 | 134.81 | 0.5639 | 0.4796 | no |
| COF | 2024-11-04 | 159.20 | 0.2814 | 0.4425 | no |
| DAL | 2024-11-04 | 56.69 | 0.3387 | 0.4733 | no |
| DTE | 2024-11-04 | 114.22 | 0.2633 | 0.4626 | no |
| EL | 2024-11-04 | 65.12 | 0.1952 | 0.4254 | no |
| EQIX | 2024-11-04 | 851.02 | 0.1913 | 0.4425 | no |
| FCX | 2024-11-04 | 44.96 | 0.3527 | 0.4655 | no |
| GD | 2024-11-04 | 283.97 | 0.3048 | 0.5224 | no |
| GILD | 2024-11-04 | 84.80 | 0.3187 | 0.5133 | no |
| GOOG | 2024-11-04 | 170.05 | 0.2210 | — | no |
| GOOGL | 2024-11-04 | 168.75 | 0.2022 | 0.4986 | no |
| GRMN | 2024-11-04 | 190.93 | 0.2007 | 0.4485 | no |
| INCY | 2024-11-04 | 75.07 | 0.4730 | 0.4811 | no |
| JBHT | 2024-11-04 | 176.99 | 0.4555 | 0.4818 | no |
| KLAC | 2024-11-04 | 65.73 | 0.2171 | 0.5370 | no |
| LKQ | 2024-11-04 | 34.33 | 0.3507 | 0.4795 | no |
| LOW | 2024-11-04 | 253.32 | 0.2514 | 0.4719 | no |
| LVS | 2024-11-04 | 49.60 | 0.4050 | 0.4389 | no |
| MS | 2024-11-04 | 111.98 | 0.2469 | 0.4635 | no |
| NDAQ | 2024-11-04 | 72.61 | 0.2935 | 0.5189 | no |
| NSC | 2024-11-04 | 241.64 | 0.4209 | 0.4634 | no |
| NTRS | 2024-11-04 | 95.03 | 0.2925 | 0.4502 | no |
| NWS | 2024-11-04 | 28.86 | 0.2346 | — | no |
| NXPI | 2024-11-04 | 228.88 | 0.2392 | 0.5242 | no |
| PCG | 2024-11-04 | 19.74 | 0.2078 | 0.4342 | no |
| PM | 2024-11-04 | 123.23 | 0.3545 | 0.4233 | no |
| ROP | 2024-11-04 | 534.90 | 0.2029 | 0.4784 | no |
| ROST | 2024-11-04 | 137.34 | 0.2352 | 0.4234 | no |
| T | 2024-11-04 | 20.45 | 0.2280 | 0.4102 | no |
| TER | 2024-11-04 | 104.24 | 0.3034 | 0.5562 | no |
| TFC | 2024-11-04 | 39.07 | 0.2216 | 0.4337 | no |
| TRV | 2024-11-04 | 237.56 | 0.3437 | 0.4801 | no |
| TXN | 2024-11-04 | 193.83 | 0.2410 | 0.5313 | no |
| VRTX | 2024-11-04 | 473.91 | 0.2319 | 0.5007 | no |
| WTW | 2024-11-04 | 294.21 | 0.3880 | 0.4504 | no |
| XYL | 2024-11-04 | 117.19 | 0.2349 | 0.4862 | no |