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 | 2.22% | 4.50% | 2024-11-29 | -7.05% |
| buy & hold | participation factor overlay | 6 months | complete | -3.59% | 4.50% | 2024-11-29 | -16.08% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.30% | 5.46% | 2024-11-29 | -7.01% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.77% | 5.46% | 2024-11-29 | -17.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.01% | 8.15% | 2025-01-23 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.42% | 8.15% | 2025-01-23 | -20.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.14% | 7.50% | 2025-01-23 | -6.86% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.85% | 7.50% | 2025-01-23 | -17.98% |
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 | 0.2691 | 0.5457 | no |
| AES | 2024-11-04 | 13.54 | 0.2604 | — | no |
| AMCR | 2024-11-04 | 45.93 | 0.2497 | 0.4400 | no |
| AMZN | 2024-11-04 | 196.45 | 0.2395 | 0.5150 | no |
| AON | 2024-11-04 | 362.36 | 0.2433 | 0.4507 | no |
| BBWI | 2024-11-04 | 27.07 | 0.3995 | 0.4205 | no |
| BIIB | 2024-11-04 | 173.22 | 0.2732 | 0.5104 | no |
| BLDR | 2024-11-04 | 172.76 | 0.4334 | 0.4757 | no |
| BLK | 2024-11-04 | 939.32 | 0.2363 | 0.4884 | no |
| BRK.B | 2024-11-04 | 450.37 | 0.3406 | — | no |
| BRO | 2024-11-04 | 102.97 | 0.3176 | 0.4651 | no |
| BX | 2024-11-04 | 157.91 | 0.4176 | 0.4731 | no |
| BXP | 2024-11-04 | 72.52 | 0.4507 | 0.4276 | no |
| CDW | 2024-11-04 | 182.42 | 0.3291 | 0.5011 | no |
| CINF | 2024-11-04 | 134.81 | 0.6214 | 0.4796 | no |
| COF | 2024-11-04 | 159.20 | 0.2254 | 0.4425 | no |
| CZR | 2024-11-04 | 39.02 | 0.2851 | 0.4372 | no |
| DAL | 2024-11-04 | 56.69 | 0.3300 | 0.4733 | no |
| DTE | 2024-11-04 | 114.22 | 0.2750 | 0.4626 | no |
| EQIX | 2024-11-04 | 851.02 | 0.3416 | 0.4425 | no |
| FAST | 2024-11-04 | 37.66 | 0.2740 | 0.4798 | no |
| FFIV | 2024-11-04 | 230.32 | 0.2247 | 0.4998 | no |
| GILD | 2024-11-04 | 84.80 | 0.2438 | 0.5133 | no |
| GM | 2024-11-04 | 50.02 | 0.3048 | 0.4252 | no |
| INCY | 2024-11-04 | 75.07 | 0.3867 | 0.4811 | no |
| JBHT | 2024-11-04 | 176.99 | 0.4402 | 0.4818 | no |
| JNJ | 2024-11-04 | 151.29 | 0.2260 | 0.4751 | no |
| KMI | 2024-11-04 | 22.60 | 0.2504 | 0.5214 | no |
| LDOS | 2024-11-04 | 180.34 | 0.2342 | 0.5208 | no |
| LKQ | 2024-11-04 | 34.33 | 0.2298 | 0.4795 | no |
| LOW | 2024-11-04 | 253.32 | 0.4181 | 0.4719 | no |
| LVS | 2024-11-04 | 49.60 | 0.5560 | 0.4389 | no |
| LYB | 2024-11-04 | 74.38 | 0.2286 | 0.4565 | no |
| MDT | 2024-11-04 | 85.06 | 0.3225 | 0.4481 | no |
| MKC | 2024-11-04 | 74.76 | 0.2500 | 0.4182 | no |
| MS | 2024-11-04 | 111.98 | 0.2345 | 0.4635 | no |
| NDAQ | 2024-11-04 | 72.61 | 0.2423 | 0.5189 | no |
| NSC | 2024-11-04 | 241.64 | 0.2535 | 0.4634 | no |
| PAYX | 2024-11-04 | 130.57 | 0.2919 | 0.4678 | no |
| PM | 2024-11-04 | 123.23 | 0.3172 | 0.4233 | no |
| ROP | 2024-11-04 | 534.90 | 0.3171 | 0.4784 | no |
| SWK | 2024-11-04 | 85.88 | 0.2156 | 0.5278 | no |
| T | 2024-11-04 | 20.45 | 0.2801 | 0.4102 | no |
| TDY | 2024-11-04 | 457.06 | 0.2207 | 0.4126 | no |
| TER | 2024-11-04 | 104.24 | 0.3084 | 0.5562 | no |
| TFC | 2024-11-04 | 39.07 | 0.3711 | 0.4337 | no |
| TRV | 2024-11-04 | 237.56 | 0.3445 | 0.4801 | no |
| UBER | 2024-11-04 | 72.75 | 0.2154 | 0.5074 | no |
| VRTX | 2024-11-04 | 473.91 | 0.2977 | 0.5007 | no |
| WTW | 2024-11-04 | 294.21 | 0.2790 | 0.4504 | no |