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 | 2.37% | 2.94% | 2024-07-31 | -4.84% |
| buy & hold | participation factor overlay | 6 months | complete | 11.29% | 12.61% | 2024-11-11 | -4.84% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.36% | 2.90% | 2024-07-30 | -4.86% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.19% | 12.34% | 2024-11-11 | -4.86% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.65% | 3.05% | 2024-08-19 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.15% | 10.71% | 2024-10-18 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.22% | 2.59% | 2024-08-19 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.75% | 8.21% | 2024-10-18 | -5.44% |
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 | 0.2385 | 0.4489 | no |
| ADBE | 2024-05-20 | 483.00 | 0.5532 | 0.5095 | no |
| ADSK | 2024-05-20 | 221.40 | 0.3060 | 0.5291 | no |
| AKAM | 2024-05-20 | 95.20 | 0.3661 | 0.4645 | no |
| AMCR | 2024-05-20 | 44.55 | 0.2827 | 0.4680 | no |
| AMD | 2024-05-20 | 165.55 | 0.3055 | 0.5479 | no |
| AMP | 2024-05-20 | 420.84 | 0.2069 | 0.4810 | no |
| AXP | 2024-05-20 | 237.25 | 0.2155 | 0.4498 | no |
| BALL | 2024-05-20 | 67.70 | 0.2198 | 0.4542 | no |
| BIO | 2024-05-20 | 293.00 | 0.4727 | 0.4454 | no |
| BLDR | 2024-05-20 | 167.06 | 0.2682 | 0.4751 | no |
| CCI | 2024-05-20 | 89.50 | 0.2874 | 0.4428 | no |
| CME | 2024-05-20 | 194.28 | 0.2353 | 0.5166 | no |
| D | 2024-05-20 | 47.93 | 0.2232 | 0.4903 | no |
| DD | 2024-05-20 | 95.55 | 0.2171 | 0.4767 | no |
| ECL | 2024-05-20 | 227.30 | 0.2740 | 0.4862 | no |
| ED | 2024-05-20 | 90.19 | 0.2582 | — | no |
| EIX | 2024-05-20 | 68.08 | 0.2169 | 0.4967 | no |
| EMN | 2024-05-20 | 90.27 | 0.2587 | 0.4971 | no |
| ETR | 2024-05-20 | 53.23 | 0.2657 | 0.4886 | no |
| FCX | 2024-05-20 | 52.50 | 0.5491 | 0.5589 | no |
| FFIV | 2024-05-20 | 173.74 | 0.2821 | 0.4789 | no |
| GILD | 2024-05-20 | 62.81 | 0.2925 | 0.4623 | no |
| GRMN | 2024-05-20 | 164.21 | 0.4554 | 0.5188 | no |
| HD | 2024-05-20 | 319.87 | 0.4038 | 0.5128 | no |
| HIG | 2024-05-20 | 99.00 | 0.3012 | 0.4691 | no |
| HWM | 2024-05-20 | 82.73 | 0.5833 | 0.5447 | no |
| KMB | 2024-05-20 | 121.00 | 0.3276 | 0.4279 | no |
| KMI | 2024-05-20 | 17.90 | 0.3148 | 0.5367 | no |
| LLY | 2024-05-20 | 755.25 | 0.2800 | 0.4892 | no |
| LUV | 2024-05-20 | 26.41 | 0.5247 | 0.4723 | no |
| MCK | 2024-05-20 | 558.98 | 0.3683 | 0.4275 | no |
| MPC | 2024-05-20 | 171.97 | 0.2123 | 0.5025 | no |
| MS | 2024-05-20 | 94.15 | 0.3844 | 0.4662 | no |
| NCLH | 2024-05-20 | 16.48 | 0.4181 | 0.4297 | no |
| PFE | 2024-05-20 | 24.68 | 0.3087 | 0.5485 | no |
| PNW | 2024-05-20 | 71.98 | 0.3312 | 0.4463 | no |
| QCOM | 2024-05-20 | 184.15 | 0.2361 | 0.5484 | no |
| ROP | 2024-05-20 | 532.21 | 0.2673 | 0.5018 | no |
| STLD | 2024-05-20 | 130.10 | 0.2112 | 0.5358 | no |
| TRGP | 2024-05-20 | 112.33 | 0.2265 | 0.4534 | no |
| TROW | 2024-05-20 | 103.05 | 0.2091 | 0.4977 | no |
| TSN | 2024-05-20 | 55.20 | 0.2167 | 0.4549 | no |
| TYL | 2024-05-20 | 490.00 | 0.3008 | 0.4488 | no |
| VLO | 2024-05-20 | 155.27 | 0.6578 | 0.4960 | no |
| VLTO | 2024-05-20 | 97.72 | 0.3545 | 0.5021 | no |
| VRSK | 2024-05-20 | 246.32 | 0.2290 | 0.4881 | no |
| WMB | 2024-05-20 | 37.89 | 0.2283 | 0.4609 | no |
| WST | 2024-05-20 | 353.22 | 0.3875 | 0.4543 | no |
| WYNN | 2024-05-20 | 94.90 | 0.3530 | 0.4355 | no |