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 | 2.08% | 2.08% | 2025-02-11 | -5.52% |
| buy & hold | participation factor overlay | 6 months | complete | 0.15% | 4.37% | 2025-02-19 | -13.75% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.15% | 1.29% | 2024-11-29 | -6.47% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.62% | 2.79% | 2025-02-20 | -14.21% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.23% | 1.88% | 2025-01-23 | -6.82% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.03% | 1.88% | 2025-01-23 | -20.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.91% | 2.32% | 2025-01-23 | -7.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.60% | 2.32% | 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 |
|---|---|---|---|---|---|
| ABT | 2024-11-11 | 112.67 | 0.3146 | 0.4360 | no |
| ACN | 2024-11-11 | 342.94 | 0.3030 | 0.4321 | no |
| ADI | 2024-11-11 | 217.35 | 0.3667 | 0.5502 | no |
| AIG | 2024-11-11 | 72.81 | 0.2107 | 0.4688 | no |
| AMCR | 2024-11-11 | 46.02 | 0.2544 | 0.4400 | no |
| AMD | 2024-11-11 | 147.38 | 0.2682 | 0.5431 | no |
| BA | 2024-11-11 | 152.00 | 0.2021 | 0.5066 | no |
| BBWI | 2024-11-11 | 28.45 | 0.3190 | 0.4159 | no |
| BR | 2024-11-11 | 217.61 | 0.2532 | 0.4279 | no |
| BSX | 2024-11-11 | 88.65 | 0.2484 | 0.4305 | no |
| CCI | 2024-11-11 | 94.20 | 0.4852 | 0.4538 | no |
| CINF | 2024-11-11 | 143.93 | 0.2352 | 0.4796 | no |
| CME | 2024-11-11 | 209.12 | 0.2768 | 0.5075 | no |
| CNP | 2024-11-11 | 28.74 | 0.2379 | 0.4592 | no |
| COST | 2024-11-11 | 934.77 | 0.2761 | 0.5323 | no |
| CVX | 2024-11-11 | 144.62 | 0.2076 | 0.4602 | no |
| DOV | 2024-11-11 | 198.20 | 0.2698 | 0.5170 | no |
| DOW | 2024-11-11 | 41.10 | 0.2356 | 0.4559 | no |
| ECL | 2024-11-11 | 244.80 | 0.2167 | 0.4409 | no |
| EMR | 2024-11-11 | 122.12 | 0.3230 | 0.5181 | no |
| EQT | 2024-11-11 | 41.61 | 0.4449 | 0.4730 | no |
| EW | 2024-11-11 | 66.42 | 0.2291 | 0.4397 | no |
| EXPD | 2024-11-11 | 117.63 | 0.2894 | — | no |
| FOX | 2024-11-11 | 40.74 | 0.2707 | — | no |
| FTNT | 2024-11-11 | 92.42 | 0.3358 | 0.5151 | no |
| GE | 2024-11-11 | 184.77 | 0.3080 | 0.5114 | no |
| GL | 2024-11-11 | 109.22 | 0.2442 | 0.4693 | no |
| IBM | 2024-11-11 | 203.23 | 0.2070 | 0.4917 | no |
| INTC | 2024-11-11 | 25.96 | 0.2397 | 0.5465 | no |
| ITW | 2024-11-11 | 261.07 | 0.2765 | 0.5125 | no |
| KLAC | 2024-11-11 | 67.38 | 0.2422 | 0.5406 | no |
| LHX | 2024-11-11 | 253.55 | 0.2361 | 0.5242 | no |
| LLY | 2024-11-11 | 819.82 | 0.3887 | 0.4449 | no |
| LOW | 2024-11-11 | 264.06 | 0.3952 | 0.4694 | no |
| MCD | 2024-11-11 | 286.27 | 0.3890 | 0.4177 | no |
| MCO | 2024-11-11 | 471.20 | 0.2688 | 0.4955 | no |
| MDT | 2024-11-11 | 83.34 | 0.3225 | 0.4481 | no |
| MKC | 2024-11-11 | 73.55 | 0.2572 | 0.4177 | no |
| MRNA | 2024-11-11 | 46.83 | 0.3936 | 0.4468 | no |
| NDAQ | 2024-11-11 | 76.89 | 0.2055 | 0.5189 | no |
| PFG | 2024-11-11 | 80.51 | 0.2354 | 0.4697 | no |
| PGR | 2024-11-11 | 241.74 | 0.2553 | 0.4659 | no |
| PPL | 2024-11-11 | 30.97 | 0.2435 | 0.4578 | no |
| PSA | 2024-11-11 | 310.88 | 0.2369 | 0.4273 | no |
| ROP | 2024-11-11 | 560.29 | 0.3919 | 0.4789 | no |
| STT | 2024-11-11 | 91.12 | 0.2758 | 0.4596 | no |
| T | 2024-11-11 | 20.58 | 0.4681 | 0.4102 | no |
| TDG | 2024-11-11 | 1273.47 | 0.2059 | 0.5165 | no |
| TXN | 2024-11-11 | 207.66 | 0.2012 | 0.5376 | no |
| WTW | 2024-11-11 | 311.39 | 0.2279 | 0.4504 | no |