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 | -3.79% | 1.75% | 2024-05-17 | -5.95% |
| buy & hold | participation factor overlay | 6 months | complete | 6.19% | 6.19% | 2024-11-06 | -6.19% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.11% | 1.73% | 2024-05-17 | -6.36% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.85% | 6.01% | 2024-10-18 | -6.36% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.41% | 3.04% | 2024-07-31 | -5.18% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.52% | 13.13% | 2024-10-18 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.20% | 3.07% | 2024-07-31 | -6.10% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.46% | 9.48% | 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 |
|---|---|---|---|---|---|
| ABNB | 2024-05-06 | 161.00 | 0.3173 | 0.4451 | no |
| ALB | 2024-05-06 | 125.22 | 0.4736 | 0.4910 | no |
| AMD | 2024-05-06 | 153.10 | 0.7969 | 0.5494 | no |
| AON | 2024-05-06 | 277.35 | 0.3924 | 0.4662 | no |
| BMY | 2024-05-06 | 39.64 | 0.3867 | 0.5543 | no |
| CCI | 2024-05-06 | 85.60 | 0.5381 | 0.4401 | no |
| CE | 2024-05-06 | 156.10 | 0.2786 | 0.4809 | no |
| CME | 2024-05-06 | 190.10 | 0.3335 | 0.5166 | no |
| CNP | 2024-05-06 | 27.72 | 0.2921 | 0.4739 | no |
| COF | 2024-05-06 | 138.33 | 0.3357 | 0.4827 | no |
| CSCO | 2024-05-06 | 44.64 | 0.3113 | 0.4933 | no |
| DD | 2024-05-06 | 93.61 | 0.2963 | 0.4765 | no |
| DLTR | 2024-05-06 | 121.33 | 0.2606 | 0.5777 | no |
| DVN | 2024-05-06 | 47.35 | 0.4094 | 0.5916 | no |
| EFX | 2024-05-06 | 225.15 | 0.3123 | 0.4853 | no |
| EOG | 2024-05-06 | 121.51 | 0.2898 | 0.6026 | no |
| ETN | 2024-05-06 | 313.65 | 0.3267 | 0.5252 | no |
| ETR | 2024-05-06 | 50.91 | 0.2896 | 0.4873 | no |
| FCX | 2024-05-06 | 49.77 | 0.6498 | 0.5644 | no |
| FE | 2024-05-06 | 35.59 | 0.2951 | 0.4682 | no |
| FMC | 2024-05-06 | 56.47 | 0.6135 | 0.4287 | no |
| GE | 2024-05-06 | 162.96 | 0.2370 | 0.5269 | no |
| GILD | 2024-05-06 | 60.08 | 0.2441 | 0.4704 | no |
| HAL | 2024-05-06 | 34.96 | 0.3328 | 0.4863 | no |
| HSIC | 2024-05-06 | 68.45 | 0.3952 | 0.4650 | no |
| HUM | 2024-05-06 | 311.97 | 0.2668 | 0.4821 | no |
| IBM | 2024-05-06 | 154.92 | 0.2686 | 0.4872 | no |
| ICE | 2024-05-06 | 126.89 | 0.2490 | 0.5060 | no |
| J | 2024-05-06 | 120.67 | 0.2727 | 0.5410 | no |
| LHX | 2024-05-06 | 203.54 | 0.5141 | 0.5399 | no |
| LVS | 2024-05-06 | 45.00 | 0.3777 | 0.4344 | no |
| MDT | 2024-05-06 | 76.67 | 0.2949 | 0.4305 | no |
| NCLH | 2024-05-06 | 16.17 | 0.4533 | 0.4297 | no |
| NWS | 2024-05-06 | 24.93 | 0.2366 | — | no |
| OTIS | 2024-05-06 | 88.45 | 0.2922 | 0.5613 | no |
| PARA | 2024-05-06 | 2762.69 | 0.6294 | — | no |
| PTC | 2024-05-06 | 176.37 | 0.3229 | 0.5204 | no |
| RL | 2024-05-06 | 162.92 | 0.2660 | 0.4306 | no |
| ROST | 2024-05-06 | 127.79 | 0.4375 | 0.4330 | no |
| STLD | 2024-05-06 | 131.98 | 0.4002 | 0.5366 | no |
| TDY | 2024-05-06 | 387.89 | 0.2815 | 0.4681 | no |
| UNP | 2024-05-06 | 228.79 | 0.3010 | 0.5041 | no |
| VICI | 2024-05-06 | 24.92 | 0.3933 | 0.4612 | no |
| VLO | 2024-05-06 | 147.93 | 0.3726 | 0.4953 | no |
| VRSN | 2024-05-06 | 165.98 | 0.2507 | 0.4659 | no |
| VRTX | 2024-05-06 | 402.77 | 0.2772 | 0.5727 | no |
| WDC | 2024-05-06 | 54.16 | 0.2961 | 0.5380 | no |
| WST | 2024-05-06 | 364.08 | 0.3807 | 0.4678 | no |
| WYNN | 2024-05-06 | 95.27 | 0.3546 | 0.4384 | no |
| XEL | 2024-05-06 | 50.13 | 0.2806 | 0.4841 | no |