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 | 2.27% | 6.52% | 2024-12-02 | -7.33% |
| buy & hold | participation factor overlay | 6 months | complete | -3.41% | 6.52% | 2024-12-02 | -17.91% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.27% | 5.64% | 2024-12-02 | -6.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.97% | 5.64% | 2024-12-02 | -19.05% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.74% | 5.82% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.48% | 5.82% | 2024-11-25 | -20.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.00% | 5.68% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.51% | 5.68% | 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 |
|---|---|---|---|---|---|
| ABT | 2024-11-04 | 115.23 | 0.3299 | 0.4360 | no |
| ADI | 2024-11-04 | 218.46 | 0.2275 | 0.5457 | no |
| AES | 2024-11-04 | 13.54 | 0.2429 | — | no |
| AIZ | 2024-11-04 | 185.98 | 0.2208 | 0.4220 | no |
| ALB | 2024-11-04 | 96.28 | 0.2193 | 0.4585 | no |
| AMT | 2024-11-04 | 200.09 | 0.1975 | 0.4526 | no |
| AON | 2024-11-04 | 362.36 | 0.2348 | 0.4507 | no |
| BBWI | 2024-11-04 | 27.07 | 0.2285 | 0.4205 | no |
| BIIB | 2024-11-04 | 173.22 | 0.3794 | 0.5104 | no |
| BLDR | 2024-11-04 | 172.76 | 0.4205 | 0.4757 | no |
| BRK.B | 2024-11-04 | 450.37 | 0.2125 | — | no |
| BRO | 2024-11-04 | 102.97 | 0.2571 | 0.4651 | no |
| BX | 2024-11-04 | 157.91 | 0.3006 | 0.4731 | no |
| BXP | 2024-11-04 | 72.52 | 0.3307 | 0.4276 | no |
| CCI | 2024-11-04 | 96.81 | 0.2124 | 0.4538 | no |
| CDW | 2024-11-04 | 182.42 | 0.2621 | 0.5011 | no |
| CINF | 2024-11-04 | 134.81 | 0.5614 | 0.4796 | no |
| COF | 2024-11-04 | 159.20 | 0.3838 | 0.4425 | no |
| DAL | 2024-11-04 | 56.69 | 0.3913 | 0.4733 | no |
| EG | 2024-11-04 | 339.19 | 0.2233 | 0.4581 | no |
| EQIX | 2024-11-04 | 851.02 | 0.2575 | 0.4425 | no |
| FAST | 2024-11-04 | 37.66 | 0.2060 | 0.4798 | no |
| FTNT | 2024-11-04 | 78.63 | 0.2295 | 0.5427 | no |
| GILD | 2024-11-04 | 84.80 | 0.2892 | 0.5133 | no |
| GOOGL | 2024-11-04 | 168.75 | 0.2509 | 0.4986 | no |
| GRMN | 2024-11-04 | 190.93 | 0.2965 | 0.4485 | no |
| INCY | 2024-11-04 | 75.07 | 0.2968 | 0.4811 | no |
| JBHT | 2024-11-04 | 176.99 | 0.4942 | 0.4818 | no |
| LVS | 2024-11-04 | 49.60 | 0.4065 | 0.4389 | no |
| LYB | 2024-11-04 | 74.38 | 0.2684 | 0.4565 | no |
| MDT | 2024-11-04 | 85.06 | 0.3366 | 0.4481 | no |
| MRK | 2024-11-04 | 95.55 | 0.2287 | 0.4366 | no |
| NDAQ | 2024-11-04 | 72.61 | 0.2875 | 0.5189 | no |
| NSC | 2024-11-04 | 241.64 | 0.3473 | 0.4634 | no |
| NTRS | 2024-11-04 | 95.03 | 0.2723 | 0.4502 | no |
| PM | 2024-11-04 | 123.23 | 0.3364 | 0.4233 | no |
| PRU | 2024-11-04 | 109.93 | 0.2181 | 0.4614 | no |
| ROK | 2024-11-04 | 258.06 | 0.2060 | 0.5172 | no |
| ROP | 2024-11-04 | 534.90 | 0.2112 | 0.4784 | no |
| SMCI | 2024-11-04 | 24.89 | 0.2335 | 0.4596 | no |
| SNA | 2024-11-04 | 313.34 | 0.2055 | 0.4105 | no |
| STT | 2024-11-04 | 88.37 | 0.2188 | 0.4596 | no |
| SWKS | 2024-11-04 | 82.44 | 0.3044 | 0.4835 | no |
| T | 2024-11-04 | 20.45 | 0.2311 | 0.4102 | no |
| TER | 2024-11-04 | 104.24 | 0.3223 | 0.5562 | no |
| TFC | 2024-11-04 | 39.07 | 0.3813 | 0.4337 | no |
| TRV | 2024-11-04 | 237.56 | 0.3210 | 0.4801 | no |
| TXN | 2024-11-04 | 193.83 | 0.2364 | 0.5313 | no |
| VRSK | 2024-11-04 | 271.49 | 0.2112 | 0.4987 | no |
| WTW | 2024-11-04 | 294.21 | 0.3482 | 0.4504 | no |