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 | 4.22% | 6.22% | 2024-07-16 | -3.97% |
| buy & hold | participation factor overlay | 6 months | complete | 11.00% | 12.97% | 2024-10-18 | -5.89% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.33% | 5.58% | 2024-07-16 | -3.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.63% | 11.93% | 2024-10-18 | -5.59% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.56% | 3.87% | 2024-07-16 | -3.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.76% | 14.09% | 2024-10-14 | -3.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.86% | 3.29% | 2024-05-15 | -4.83% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.75% | 10.24% | 2024-10-18 | -5.03% |
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 |
|---|---|---|---|---|---|
| ABBV | 2024-04-29 | 148.08 | 0.2148 | 0.5197 | no |
| ADSK | 2024-04-29 | 218.38 | 0.2849 | 0.5329 | no |
| APD | 2024-04-29 | 223.71 | 0.2763 | 0.4871 | no |
| APH | 2024-04-29 | 29.85 | 0.2244 | 0.4954 | no |
| APTV | 2024-04-29 | 71.90 | 0.3558 | 0.4439 | no |
| AVY | 2024-04-29 | 209.17 | 0.2689 | 0.4630 | no |
| BA | 2024-04-29 | 167.90 | 0.3542 | 0.5040 | no |
| BSX | 2024-04-29 | 73.08 | 0.2585 | 0.4584 | no |
| CARR | 2024-04-29 | 58.51 | 0.3127 | 0.5174 | no |
| CCI | 2024-04-29 | 82.61 | 0.3163 | 0.4439 | no |
| CRM | 2024-04-29 | 270.09 | 0.2642 | 0.5092 | no |
| CSCO | 2024-04-29 | 45.37 | 0.2567 | 0.4961 | no |
| DAL | 2024-04-29 | 48.45 | 0.2980 | 0.4647 | no |
| DD | 2024-04-29 | 88.70 | 0.2448 | 0.4940 | no |
| DG | 2024-04-29 | 134.19 | 0.3545 | 0.5545 | no |
| EFX | 2024-04-29 | 219.80 | 0.3200 | 0.4839 | no |
| ELV | 2024-04-29 | 515.96 | 0.2081 | 0.4706 | no |
| EPAM | 2024-04-29 | 239.12 | 0.2209 | 0.4315 | no |
| ETN | 2024-04-29 | 315.23 | 0.2476 | 0.5325 | no |
| EXC | 2024-04-29 | 34.22 | 0.2207 | 0.4877 | no |
| FCX | 2024-04-29 | 49.82 | 0.4559 | 0.5589 | no |
| FTNT | 2024-04-29 | 64.35 | 0.5303 | 0.5452 | no |
| GEN | 2024-04-29 | 19.70 | 0.2811 | 0.5480 | no |
| GILD | 2024-04-29 | 60.57 | 0.2886 | 0.4692 | no |
| HAL | 2024-04-29 | 36.29 | 0.2046 | 0.4801 | no |
| HUBB | 2024-04-29 | 395.87 | 0.2963 | 0.5244 | no |
| IRM | 2024-04-29 | 72.14 | 0.2574 | 0.4352 | no |
| ISRG | 2024-04-29 | 375.39 | 0.2950 | 0.4812 | no |
| JBHT | 2024-04-29 | 157.82 | 0.3425 | 0.4910 | no |
| KEYS | 2024-04-29 | 149.26 | 0.2839 | 0.4980 | no |
| LHX | 2024-04-29 | 205.42 | 0.2326 | 0.5419 | no |
| META | 2024-04-29 | 436.20 | 0.2857 | 0.5095 | no |
| MHK | 2024-04-29 | 115.65 | 0.2259 | 0.5233 | no |
| MPWR | 2024-04-29 | 663.78 | 0.2943 | 0.5313 | no |
| NCLH | 2024-04-29 | 19.05 | 0.2020 | 0.4547 | no |
| NVDA | 2024-04-29 | 87.35 | 0.4224 | 0.5557 | no |
| PARA | 2024-04-29 | 2926.16 | 0.5690 | — | no |
| PKG | 2024-04-29 | 165.73 | 0.2274 | 0.4804 | no |
| PODD | 2024-04-29 | 167.60 | 0.2307 | 0.4988 | no |
| ROST | 2024-04-29 | 130.09 | 0.2985 | 0.4351 | no |
| SMCI | 2024-04-29 | 83.90 | 0.2940 | 0.4977 | no |
| SNA | 2024-04-29 | 253.38 | 0.3390 | 0.4681 | no |
| SRE | 2024-04-29 | 66.92 | 0.1996 | 0.5199 | no |
| TROW | 2024-04-29 | 99.93 | 0.3146 | 0.4981 | no |
| TYL | 2024-04-29 | 458.31 | 0.2421 | 0.4513 | no |
| VRSN | 2024-04-29 | 173.12 | 0.2792 | 0.4716 | no |
| WAB | 2024-04-29 | 161.61 | 0.2254 | 0.5169 | no |
| WTW | 2024-04-29 | 243.98 | 0.2236 | 0.4672 | no |
| ZBH | 2024-04-29 | 116.82 | 0.2481 | 0.4739 | no |
| ZTS | 2024-04-29 | 153.20 | 0.3148 | 0.4399 | no |