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 | 0.81% | 2.02% | 2024-07-31 | -6.19% |
| buy & hold | participation factor overlay | 6 months | complete | 6.43% | 8.67% | 2024-11-11 | -6.19% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.28% | 0.96% | 2024-07-31 | -5.78% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.31% | 5.74% | 2024-10-18 | -5.78% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.51% | 0.81% | 2024-08-19 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.01% | 8.98% | 2024-10-18 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.58% | 0.57% | 2024-07-31 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.91% | 5.63% | 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 |
|---|---|---|---|---|---|
| ADBE | 2024-05-20 | 483.00 | 0.4289 | 0.5095 | no |
| ADSK | 2024-05-20 | 221.40 | 0.4051 | 0.5291 | no |
| AFL | 2024-05-20 | 84.01 | 0.2123 | 0.4856 | no |
| AKAM | 2024-05-20 | 95.20 | 0.3892 | 0.4645 | no |
| ALLE | 2024-05-20 | 120.93 | 0.2290 | 0.6103 | no |
| AMCR | 2024-05-20 | 44.55 | 0.3166 | 0.4680 | no |
| BAX | 2024-05-20 | 33.79 | 0.2241 | 0.4626 | no |
| BDX | 2024-05-20 | 176.18 | 0.2813 | 0.4540 | no |
| BIO | 2024-05-20 | 293.00 | 0.3903 | 0.4454 | no |
| BLDR | 2024-05-20 | 167.06 | 0.3562 | 0.4751 | no |
| BLK | 2024-05-20 | 766.46 | 0.2180 | — | no |
| CARR | 2024-05-20 | 63.31 | 0.2299 | 0.5177 | no |
| COF | 2024-05-20 | 137.34 | 0.2231 | 0.4831 | no |
| CTVA | 2024-05-20 | 55.12 | 0.2592 | 0.4908 | no |
| CZR | 2024-05-20 | 35.46 | 0.3165 | 0.4534 | no |
| DVN | 2024-05-20 | 46.22 | 0.3586 | 0.5917 | no |
| DXCM | 2024-05-20 | 131.69 | 0.2421 | 0.4558 | no |
| ECL | 2024-05-20 | 227.30 | 0.4457 | 0.4862 | no |
| EG | 2024-05-20 | 376.85 | 0.2708 | 0.4876 | no |
| EIX | 2024-05-20 | 68.08 | 0.3052 | 0.4967 | no |
| EMN | 2024-05-20 | 90.27 | 0.2269 | 0.4971 | no |
| EXPE | 2024-05-20 | 112.33 | 0.2166 | 0.4616 | no |
| FANG | 2024-05-20 | 185.95 | 0.2706 | 0.5750 | no |
| FAST | 2024-05-20 | 31.65 | 0.2331 | 0.5172 | no |
| FCX | 2024-05-20 | 52.50 | 0.6357 | 0.5589 | no |
| GD | 2024-05-20 | 285.87 | 0.2419 | 0.5297 | no |
| GL | 2024-05-20 | 84.63 | 0.3497 | 0.4878 | no |
| GRMN | 2024-05-20 | 164.21 | 0.5216 | 0.5188 | no |
| HD | 2024-05-20 | 319.87 | 0.4287 | 0.5128 | no |
| HWM | 2024-05-20 | 82.73 | 0.5062 | 0.5447 | no |
| JPM | 2024-05-20 | 195.07 | 0.2268 | 0.4397 | no |
| MPC | 2024-05-20 | 171.97 | 0.3013 | 0.5025 | no |
| MS | 2024-05-20 | 94.15 | 0.3548 | 0.4662 | no |
| MSCI | 2024-05-20 | 488.07 | 0.2263 | 0.5053 | no |
| NCLH | 2024-05-20 | 16.48 | 0.5017 | 0.4297 | no |
| NEM | 2024-05-20 | 42.27 | 0.2341 | 0.4816 | no |
| PARA | 2024-05-20 | 2689.13 | 0.2701 | — | no |
| PFE | 2024-05-20 | 24.68 | 0.3578 | 0.5485 | no |
| PNW | 2024-05-20 | 71.98 | 0.3417 | 0.4463 | no |
| PSX | 2024-05-20 | 136.36 | 0.3729 | 0.5021 | no |
| QCOM | 2024-05-20 | 184.15 | 0.3731 | 0.5484 | no |
| SO | 2024-05-20 | 74.02 | 0.2766 | 0.4681 | no |
| TROW | 2024-05-20 | 103.05 | 0.2520 | 0.4977 | no |
| TXN | 2024-05-20 | 183.35 | 0.3479 | 0.5298 | no |
| TYL | 2024-05-20 | 490.00 | 0.2571 | 0.4488 | no |
| VLO | 2024-05-20 | 155.27 | 0.5758 | 0.4960 | no |
| VLTO | 2024-05-20 | 97.72 | 0.4285 | 0.5021 | no |
| VTRS | 2024-05-20 | 9.92 | 0.2239 | 0.4488 | no |
| WAB | 2024-05-20 | 166.55 | 0.3337 | 0.5149 | no |
| WST | 2024-05-20 | 353.22 | 0.3026 | 0.4543 | no |