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 | -1.66% | 3.22% | 2024-07-16 | -5.31% |
| buy & hold | participation factor overlay | 6 months | complete | 9.38% | 9.38% | 2024-11-06 | -5.63% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.22% | 2.34% | 2024-07-16 | -5.16% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.11% | 9.11% | 2024-11-06 | -5.33% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.83% | 2.60% | 2024-07-31 | -5.41% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.23% | 11.62% | 2024-10-18 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.23% | 2.41% | 2024-07-31 | -6.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.11% | 7.57% | 2024-10-18 | -7.24% |
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 |
|---|---|---|---|---|---|
| ABNB | 2024-05-06 | 161.00 | 0.2599 | 0.4451 | no |
| ALL | 2024-05-06 | 161.44 | 0.2526 | 0.4592 | no |
| AMD | 2024-05-06 | 153.10 | 0.4721 | 0.5494 | no |
| AMT | 2024-05-06 | 168.55 | 0.2364 | 0.4455 | no |
| AON | 2024-05-06 | 277.35 | 0.2920 | 0.4662 | no |
| APD | 2024-05-06 | 233.55 | 0.2644 | 0.4882 | no |
| BAX | 2024-05-06 | 35.57 | 0.2720 | 0.4626 | no |
| BEN | 2024-05-06 | 20.78 | 0.2724 | 0.4856 | no |
| BX | 2024-05-06 | 110.88 | 0.2708 | 0.4827 | no |
| CCI | 2024-05-06 | 85.60 | 0.4308 | 0.4401 | no |
| CE | 2024-05-06 | 156.10 | 0.4131 | 0.4809 | no |
| CME | 2024-05-06 | 190.10 | 0.3505 | 0.5166 | no |
| CSCO | 2024-05-06 | 44.64 | 0.2902 | 0.4933 | no |
| CSX | 2024-05-06 | 32.69 | 0.2524 | 0.4919 | no |
| DD | 2024-05-06 | 93.61 | 0.3249 | 0.4765 | no |
| DVN | 2024-05-06 | 47.35 | 0.4205 | 0.5916 | no |
| EFX | 2024-05-06 | 225.15 | 0.2497 | 0.4853 | no |
| ETN | 2024-05-06 | 313.65 | 0.4006 | 0.5252 | no |
| ETSY | 2024-05-06 | 60.17 | 0.2568 | 0.5057 | no |
| FAST | 2024-05-06 | 32.53 | 0.3430 | 0.5172 | no |
| FCX | 2024-05-06 | 49.77 | 0.5506 | 0.5644 | no |
| FFIV | 2024-05-06 | 166.41 | 0.2505 | 0.4861 | no |
| FMC | 2024-05-06 | 56.47 | 0.6023 | 0.4287 | no |
| GE | 2024-05-06 | 162.96 | 0.2703 | 0.5269 | no |
| GILD | 2024-05-06 | 60.08 | 0.3000 | 0.4704 | no |
| HD | 2024-05-06 | 324.44 | 0.2754 | 0.5615 | no |
| HSIC | 2024-05-06 | 68.45 | 0.4091 | 0.4650 | no |
| HUBB | 2024-05-06 | 371.74 | 0.2287 | 0.5333 | no |
| HWM | 2024-05-06 | 79.21 | 0.3636 | 0.5445 | no |
| ISRG | 2024-05-06 | 382.63 | 0.3621 | 0.4746 | no |
| ITW | 2024-05-06 | 232.01 | 0.2589 | 0.5390 | no |
| KEYS | 2024-05-06 | 150.30 | 0.2284 | 0.4978 | no |
| LKQ | 2024-05-06 | 40.39 | 0.2434 | 0.4937 | no |
| LVS | 2024-05-06 | 45.00 | 0.2691 | 0.4344 | no |
| NCLH | 2024-05-06 | 16.17 | 0.4089 | 0.4297 | no |
| NWS | 2024-05-06 | 24.93 | 0.2569 | — | no |
| PARA | 2024-05-06 | 2762.69 | 0.3675 | — | no |
| PAYX | 2024-05-06 | 110.28 | 0.2630 | 0.4358 | no |
| PCAR | 2024-05-06 | 98.01 | 0.3137 | 0.5283 | no |
| PFE | 2024-05-06 | 23.73 | 0.2568 | 0.5480 | no |
| ROST | 2024-05-06 | 127.79 | 0.2807 | 0.4330 | no |
| RSG | 2024-05-06 | 181.59 | 0.2308 | 0.5055 | no |
| STLD | 2024-05-06 | 131.98 | 0.3508 | 0.5366 | no |
| TSCO | 2024-05-06 | 51.55 | 0.3242 | 0.5365 | no |
| UNP | 2024-05-06 | 228.79 | 0.2499 | 0.5041 | no |
| VLO | 2024-05-06 | 147.93 | 0.3764 | 0.4953 | no |
| VRSN | 2024-05-06 | 165.98 | 0.4020 | 0.4659 | no |
| VRTX | 2024-05-06 | 402.77 | 0.2880 | 0.5727 | no |
| WST | 2024-05-06 | 364.08 | 0.3511 | 0.4678 | no |
| WTW | 2024-05-06 | 246.82 | 0.2366 | 0.4699 | no |