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 | 1.30% | 5.19% | 2024-07-16 | -4.91% |
| buy & hold | participation factor overlay | 6 months | complete | 7.62% | 9.19% | 2024-10-14 | -7.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.00% | 4.74% | 2024-07-16 | -4.04% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.76% | 9.95% | 2024-10-14 | -6.18% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.99% | 2.22% | 2024-07-16 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.47% | 12.36% | 2024-10-18 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.11% | 1.71% | 2024-05-21 | -4.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.44% | 8.88% | 2024-10-18 | -6.71% |
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 |
|---|---|---|---|---|---|
| ADSK | 2024-04-29 | 218.38 | 0.3513 | 0.5329 | no |
| AMD | 2024-04-29 | 159.08 | 0.4428 | 0.5469 | no |
| APD | 2024-04-29 | 223.71 | 0.2773 | 0.4871 | no |
| AVY | 2024-04-29 | 209.17 | 0.2846 | 0.4630 | no |
| CARR | 2024-04-29 | 58.51 | 0.3267 | 0.5174 | no |
| CDW | 2024-04-29 | 233.33 | 0.3456 | 0.4945 | no |
| CE | 2024-04-29 | 153.17 | 0.2125 | 0.4809 | no |
| CSCO | 2024-04-29 | 45.37 | 0.3702 | 0.4961 | no |
| CZR | 2024-04-29 | 37.24 | 0.2650 | 0.4505 | no |
| DD | 2024-04-29 | 88.70 | 0.3783 | 0.4940 | no |
| DG | 2024-04-29 | 134.19 | 0.2214 | 0.5545 | no |
| DPZ | 2024-04-29 | 507.96 | 0.2250 | 0.4425 | no |
| EFX | 2024-04-29 | 219.80 | 0.3957 | 0.4839 | no |
| ETN | 2024-04-29 | 315.23 | 0.3401 | 0.5325 | no |
| EXC | 2024-04-29 | 34.22 | 0.2432 | 0.4877 | no |
| FCX | 2024-04-29 | 49.82 | 0.5249 | 0.5589 | no |
| FDS | 2024-04-29 | 407.73 | 0.2211 | 0.5046 | no |
| FE | 2024-04-29 | 34.61 | 0.2345 | 0.4489 | no |
| FTNT | 2024-04-29 | 64.35 | 0.5412 | 0.5452 | no |
| GEN | 2024-04-29 | 19.70 | 0.5063 | 0.5480 | no |
| GILD | 2024-04-29 | 60.57 | 0.3071 | 0.4692 | no |
| HRL | 2024-04-29 | 32.09 | 0.2730 | 0.4578 | no |
| HUBB | 2024-04-29 | 395.87 | 0.4273 | 0.5244 | no |
| ICE | 2024-04-29 | 127.69 | 0.2119 | 0.5301 | no |
| INTU | 2024-04-29 | 625.34 | 0.2811 | 0.4717 | no |
| IRM | 2024-04-29 | 72.14 | 0.2288 | 0.4352 | no |
| ISRG | 2024-04-29 | 375.39 | 0.2149 | 0.4812 | no |
| KO | 2024-04-29 | 57.71 | 0.2509 | 0.4367 | no |
| LHX | 2024-04-29 | 205.42 | 0.2287 | 0.5419 | no |
| LKQ | 2024-04-29 | 40.20 | 0.2238 | 0.4962 | no |
| LLY | 2024-04-29 | 723.34 | 0.2914 | 0.4741 | no |
| LRCX | 2024-04-29 | 90.42 | 0.2712 | 0.5641 | no |
| MPWR | 2024-04-29 | 663.78 | 0.2402 | 0.5313 | no |
| NFLX | 2024-04-29 | 55.92 | 0.2467 | — | no |
| NVDA | 2024-04-29 | 87.35 | 0.3343 | 0.5557 | no |
| OXY | 2024-04-29 | 64.19 | 0.3041 | 0.5872 | no |
| PARA | 2024-04-29 | 2926.16 | 0.3565 | — | no |
| RHI | 2024-04-29 | 60.20 | 0.2609 | 0.4911 | no |
| ROK | 2024-04-29 | 269.27 | 0.2336 | 0.5323 | no |
| ROST | 2024-04-29 | 130.09 | 0.2353 | 0.4351 | no |
| TRGP | 2024-04-29 | 111.40 | 0.2344 | 0.4394 | no |
| UNP | 2024-04-29 | 230.28 | 0.2154 | 0.5044 | no |
| VLO | 2024-04-29 | 154.20 | 0.3226 | 0.4948 | no |
| VRSN | 2024-04-29 | 173.12 | 0.4040 | 0.4716 | no |
| WDC | 2024-04-29 | 53.47 | 0.2545 | 0.5420 | no |
| WMT | 2024-04-29 | 58.73 | 0.2227 | 0.5711 | no |
| WST | 2024-04-29 | 357.54 | 0.2407 | 0.4755 | no |
| WTW | 2024-04-29 | 243.98 | 0.2217 | 0.4672 | no |
| YUM | 2024-04-29 | 135.37 | 0.3147 | 0.4335 | no |
| ZBH | 2024-04-29 | 116.82 | 0.3486 | 0.4739 | no |