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 | 3.16% | 3.79% | 2024-07-31 | -5.97% |
| buy & hold | participation factor overlay | 6 months | complete | 9.29% | 10.95% | 2024-11-11 | -5.97% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.44% | 4.02% | 2024-07-31 | -5.85% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.58% | 12.01% | 2024-11-11 | -5.85% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.98% | 2.38% | 2024-08-19 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.12% | 10.29% | 2024-10-18 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.90% | 1.19% | 2024-08-19 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.60% | 6.96% | 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 |
|---|---|---|---|---|---|
| ADBE | 2024-05-20 | 483.00 | 0.5959 | 0.5095 | no |
| ADSK | 2024-05-20 | 221.40 | 0.2807 | 0.5291 | no |
| AIZ | 2024-05-20 | 169.09 | 0.2030 | 0.4464 | no |
| AMCR | 2024-05-20 | 44.55 | 0.3858 | 0.4680 | no |
| AMD | 2024-05-20 | 165.55 | 0.4562 | 0.5479 | no |
| AMP | 2024-05-20 | 420.84 | 0.2564 | 0.4810 | no |
| AXP | 2024-05-20 | 237.25 | 0.2958 | 0.4498 | no |
| BDX | 2024-05-20 | 176.18 | 0.2295 | 0.4540 | no |
| BG | 2024-05-20 | 96.41 | 0.2208 | 0.4828 | no |
| BIO | 2024-05-20 | 293.00 | 0.4825 | 0.4454 | no |
| BLK | 2024-05-20 | 766.46 | 0.3031 | — | no |
| CCI | 2024-05-20 | 89.50 | 0.2561 | 0.4428 | no |
| CME | 2024-05-20 | 194.28 | 0.2261 | 0.5166 | no |
| COF | 2024-05-20 | 137.34 | 0.2433 | 0.4831 | no |
| CSCO | 2024-05-20 | 45.38 | 0.2461 | 0.4861 | no |
| CZR | 2024-05-20 | 35.46 | 0.3973 | 0.4534 | no |
| D | 2024-05-20 | 47.93 | 0.2919 | 0.4903 | no |
| DD | 2024-05-20 | 95.55 | 0.2410 | 0.4767 | no |
| DVN | 2024-05-20 | 46.22 | 0.2585 | 0.5917 | no |
| ECL | 2024-05-20 | 227.30 | 0.3484 | 0.4862 | no |
| ED | 2024-05-20 | 90.19 | 0.2979 | — | no |
| EG | 2024-05-20 | 376.85 | 0.2281 | 0.4876 | no |
| FANG | 2024-05-20 | 185.95 | 0.3047 | 0.5750 | no |
| FCX | 2024-05-20 | 52.50 | 0.8564 | 0.5589 | no |
| FFIV | 2024-05-20 | 173.74 | 0.2262 | 0.4789 | no |
| GRMN | 2024-05-20 | 164.21 | 0.3084 | 0.5188 | no |
| HD | 2024-05-20 | 319.87 | 0.3943 | 0.5128 | no |
| HIG | 2024-05-20 | 99.00 | 0.2387 | 0.4691 | no |
| HWM | 2024-05-20 | 82.73 | 0.6343 | 0.5447 | no |
| ICE | 2024-05-20 | 133.71 | 0.2432 | 0.5060 | no |
| JPM | 2024-05-20 | 195.07 | 0.2069 | 0.4397 | no |
| LLY | 2024-05-20 | 755.25 | 0.2451 | 0.4892 | no |
| LUV | 2024-05-20 | 26.41 | 0.5375 | 0.4723 | no |
| MPC | 2024-05-20 | 171.97 | 0.3050 | 0.5025 | no |
| MS | 2024-05-20 | 94.15 | 0.3563 | 0.4662 | no |
| MSFT | 2024-05-20 | 412.93 | 0.2976 | 0.4764 | no |
| NCLH | 2024-05-20 | 16.48 | 0.4239 | 0.4297 | no |
| NTAP | 2024-05-20 | 106.33 | 0.2519 | 0.5475 | no |
| PEG | 2024-05-20 | 68.81 | 0.2615 | 0.4732 | no |
| PFE | 2024-05-20 | 24.68 | 0.3831 | 0.5485 | no |
| PNW | 2024-05-20 | 71.98 | 0.3001 | 0.4463 | no |
| PSX | 2024-05-20 | 136.36 | 0.2321 | 0.5021 | no |
| ROP | 2024-05-20 | 532.21 | 0.2388 | 0.5018 | no |
| SO | 2024-05-20 | 74.02 | 0.2154 | 0.4681 | no |
| TXN | 2024-05-20 | 183.35 | 0.2132 | 0.5298 | no |
| VLO | 2024-05-20 | 155.27 | 0.4486 | 0.4960 | no |
| VLTO | 2024-05-20 | 97.72 | 0.3460 | 0.5021 | no |
| VRTX | 2024-05-20 | 444.72 | 0.2638 | 0.5680 | no |
| VTRS | 2024-05-20 | 9.92 | 0.2690 | 0.4488 | no |
| WYNN | 2024-05-20 | 94.90 | 0.3740 | 0.4355 | no |