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 | 1.86% | 3.11% | 2024-07-16 | -6.21% |
| buy & hold | participation factor overlay | 6 months | complete | 7.96% | 10.51% | 2024-11-11 | -6.21% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.68% | 3.45% | 2024-07-16 | -5.98% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.81% | 11.42% | 2024-11-11 | -5.98% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.96% | 4.47% | 2024-08-19 | -4.03% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.20% | 10.55% | 2024-10-14 | -4.30% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.41% | 1.85% | 2024-08-19 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.91% | 7.83% | 2024-11-11 | -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 |
|---|---|---|---|---|---|
| ABNB | 2024-05-20 | 146.18 | 0.2178 | 0.4489 | no |
| ADBE | 2024-05-20 | 483.00 | 0.6560 | 0.5095 | no |
| ADSK | 2024-05-20 | 221.40 | 0.3895 | 0.5291 | no |
| AKAM | 2024-05-20 | 95.20 | 0.3274 | 0.4645 | no |
| ALGN | 2024-05-20 | 269.74 | 0.3227 | 0.4740 | no |
| AMD | 2024-05-20 | 165.55 | 0.3161 | 0.5479 | no |
| ANET | 2024-05-20 | 80.12 | 0.2478 | 0.4762 | no |
| BALL | 2024-05-20 | 67.70 | 0.2391 | 0.4542 | no |
| BIO | 2024-05-20 | 293.00 | 0.2797 | 0.4454 | no |
| BLDR | 2024-05-20 | 167.06 | 0.2145 | 0.4751 | no |
| BLK | 2024-05-20 | 766.46 | 0.2296 | — | no |
| CCI | 2024-05-20 | 89.50 | 0.2892 | 0.4428 | no |
| CME | 2024-05-20 | 194.28 | 0.2109 | 0.5166 | no |
| COF | 2024-05-20 | 137.34 | 0.2905 | 0.4831 | no |
| CTVA | 2024-05-20 | 55.12 | 0.2498 | 0.4908 | no |
| CZR | 2024-05-20 | 35.46 | 0.3864 | 0.4534 | no |
| D | 2024-05-20 | 47.93 | 0.3127 | 0.4903 | no |
| DOV | 2024-05-20 | 179.26 | 0.2205 | 0.5279 | no |
| ED | 2024-05-20 | 90.19 | 0.3235 | — | no |
| EIX | 2024-05-20 | 68.08 | 0.2245 | 0.4967 | no |
| EW | 2024-05-20 | 89.33 | 0.2220 | 0.4626 | no |
| FANG | 2024-05-20 | 185.95 | 0.2682 | 0.5750 | no |
| FCX | 2024-05-20 | 52.50 | 0.5289 | 0.5589 | no |
| GD | 2024-05-20 | 285.87 | 0.2246 | 0.5297 | no |
| GILD | 2024-05-20 | 62.81 | 0.3118 | 0.4623 | no |
| GRMN | 2024-05-20 | 164.21 | 0.3352 | 0.5188 | no |
| HD | 2024-05-20 | 319.87 | 0.3980 | 0.5128 | no |
| HIG | 2024-05-20 | 99.00 | 0.3262 | 0.4691 | no |
| HWM | 2024-05-20 | 82.73 | 0.5645 | 0.5447 | no |
| JPM | 2024-05-20 | 195.07 | 0.2282 | 0.4397 | no |
| LLY | 2024-05-20 | 755.25 | 0.2756 | 0.4892 | no |
| LUV | 2024-05-20 | 26.41 | 0.5324 | 0.4723 | no |
| MKTX | 2024-05-20 | 206.38 | 0.2271 | 0.5086 | no |
| MPC | 2024-05-20 | 171.97 | 0.4912 | 0.5025 | no |
| MS | 2024-05-20 | 94.15 | 0.3767 | 0.4662 | no |
| NCLH | 2024-05-20 | 16.48 | 0.3135 | 0.4297 | no |
| NTAP | 2024-05-20 | 106.33 | 0.2822 | 0.5475 | no |
| NVR | 2024-05-20 | 7685.57 | 0.2849 | — | no |
| PFE | 2024-05-20 | 24.68 | 0.4546 | 0.5485 | no |
| PNW | 2024-05-20 | 71.98 | 0.4375 | 0.4463 | no |
| ROP | 2024-05-20 | 532.21 | 0.2216 | 0.5018 | no |
| SO | 2024-05-20 | 74.02 | 0.2275 | 0.4681 | no |
| TROW | 2024-05-20 | 103.05 | 0.2554 | 0.4977 | no |
| TYL | 2024-05-20 | 490.00 | 0.2127 | 0.4488 | no |
| VLO | 2024-05-20 | 155.27 | 0.5355 | 0.4960 | no |
| VRTX | 2024-05-20 | 444.72 | 0.2156 | 0.5680 | no |
| WM | 2024-05-20 | 202.32 | 0.2440 | 0.4983 | no |
| WST | 2024-05-20 | 353.22 | 0.3468 | 0.4543 | no |
| WYNN | 2024-05-20 | 94.90 | 0.2638 | 0.4355 | no |
| ZBRA | 2024-05-20 | 316.24 | 0.2512 | 0.4766 | no |