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 | -8.74% | 4.34% | 2025-02-20 | -12.53% |
| buy & hold | participation factor overlay | 6 months | complete | 3.98% | 4.34% | 2025-02-20 | -15.62% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -9.83% | 3.94% | 2025-01-27 | -13.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.81% | 3.94% | 2025-01-27 | -16.40% |
| weekly rebalance | participation factor overlay | 3 months | complete | -16.23% | 2.75% | 2025-01-21 | -18.47% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.65% | 10.65% | 2025-07-03 | -19.68% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.86% | 2.65% | 2025-01-21 | -16.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.40% | 13.40% | 2025-07-03 | -17.39% |
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 | 2025-01-06 | 109.37 | 0.1948 | 0.4352 | no |
| AIG | 2025-01-06 | 70.19 | 0.2179 | 0.4596 | no |
| ALB | 2025-01-06 | 87.42 | 0.3360 | 0.4322 | no |
| AMD | 2025-01-06 | 129.07 | 0.2918 | 0.5335 | no |
| ATO | 2025-01-06 | 133.05 | 0.3889 | 0.4192 | no |
| CAT | 2025-01-06 | 359.34 | 0.2174 | 0.4640 | no |
| CMS | 2025-01-06 | 62.97 | 0.1705 | 0.4539 | no |
| COP | 2025-01-06 | 96.04 | 0.2780 | 0.4561 | no |
| CSX | 2025-01-06 | 31.47 | 0.2960 | 0.4751 | no |
| CTAS | 2025-01-06 | 182.75 | 0.2290 | 0.4879 | no |
| CZR | 2025-01-06 | 32.99 | 0.7211 | 0.4393 | no |
| DAL | 2025-01-06 | 59.12 | 0.2474 | 0.5251 | no |
| DD | 2025-01-06 | 91.36 | 0.4942 | 0.4347 | no |
| DUK | 2025-01-06 | 100.96 | 0.2034 | 0.4586 | no |
| EIX | 2025-01-06 | 72.54 | 0.1826 | 0.4508 | no |
| EQIX | 2025-01-06 | 917.26 | 0.1993 | 0.4077 | no |
| ES | 2025-01-06 | 53.29 | 0.1648 | 0.4395 | no |
| ESS | 2025-01-06 | 266.36 | 0.3124 | 0.4163 | no |
| FFIV | 2025-01-06 | 254.36 | 0.1732 | 0.5046 | no |
| FMC | 2025-01-06 | 46.27 | 0.3992 | 0.4267 | no |
| FTNT | 2025-01-06 | 100.88 | 0.2400 | 0.5123 | no |
| GPC | 2025-01-06 | 110.39 | 0.2231 | 0.5010 | no |
| GWW | 2025-01-06 | 1038.22 | 0.2328 | 0.4977 | no |
| HWM | 2025-01-06 | 113.25 | 0.1909 | 0.4881 | no |
| ICE | 2025-01-06 | 145.75 | 0.2642 | 0.5447 | no |
| INTC | 2025-01-06 | 20.83 | 0.3057 | 0.5322 | no |
| IR | 2025-01-06 | 92.92 | 0.3152 | 0.5119 | no |
| KDP | 2025-01-06 | 30.04 | 0.1699 | 0.4099 | no |
| LEN | 2025-01-06 | 128.18 | 0.2241 | 0.4683 | no |
| LLY | 2025-01-06 | 774.18 | 0.2402 | 0.4304 | no |
| MAA | 2025-01-06 | 143.18 | 0.3138 | 0.4151 | no |
| MAS | 2025-01-06 | 70.08 | 0.2595 | 0.4495 | no |
| MKC | 2025-01-06 | 71.97 | 0.2199 | 0.4078 | no |
| MMM | 2025-01-06 | 126.61 | 0.2069 | 0.5182 | no |
| MSI | 2025-01-06 | 451.21 | 0.1900 | 0.5420 | no |
| MTCH | 2025-01-06 | 31.52 | 0.3819 | 0.4102 | no |
| NDSN | 2025-01-06 | 203.83 | 0.1745 | 0.4686 | no |
| NEE | 2025-01-06 | 68.14 | 0.1871 | — | no |
| NSC | 2025-01-06 | 229.60 | 0.3845 | 0.4631 | no |
| OTIS | 2025-01-06 | 89.73 | 0.3222 | 0.5283 | no |
| PFG | 2025-01-06 | 73.19 | 0.1679 | 0.4695 | no |
| PHM | 2025-01-06 | 109.13 | 0.2859 | 0.4973 | no |
| POOL | 2025-01-06 | 326.27 | 0.1809 | 0.4176 | no |
| QCOM | 2025-01-06 | 153.44 | 0.2439 | 0.5318 | no |
| RL | 2025-01-06 | 233.15 | 0.3407 | 0.4376 | no |
| ROL | 2025-01-06 | 44.93 | 0.3490 | 0.4509 | no |
| TGT | 2025-01-06 | 127.71 | 0.4235 | 0.5361 | no |
| UBER | 2025-01-06 | 66.97 | 0.3681 | 0.5191 | no |
| UPS | 2025-01-06 | 111.39 | 0.3118 | 0.4665 | no |
| YUM | 2025-01-06 | 128.88 | 0.2450 | 0.4080 | no |