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 | 0.30% | 3.31% | 2024-07-16 | -8.08% |
| buy & hold | participation factor overlay | 6 months | complete | 7.65% | 8.01% | 2024-12-02 | -8.08% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.80% | 3.71% | 2024-07-16 | -7.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.69% | 12.26% | 2024-12-02 | -7.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.43% | 5.87% | 2024-08-30 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.77% | 12.43% | 2024-12-02 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.18% | 3.60% | 2024-08-30 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.49% | 10.25% | 2024-12-02 | -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 |
|---|---|---|---|---|---|
| ABNB | 2024-06-03 | 145.74 | 0.3650 | 0.4485 | no |
| ADBE | 2024-06-03 | 447.58 | 0.3362 | 0.5095 | no |
| AEE | 2024-06-03 | 68.24 | 0.2010 | 0.4792 | no |
| AKAM | 2024-06-03 | 92.24 | 0.3513 | 0.4644 | no |
| ALL | 2024-06-03 | 159.82 | 0.1952 | 0.4591 | no |
| AMD | 2024-06-03 | 170.82 | 0.6154 | 0.5491 | no |
| BIO | 2024-06-03 | 286.96 | 0.3106 | 0.4345 | no |
| BLDR | 2024-06-03 | 161.50 | 0.3087 | 0.4745 | no |
| BLK | 2024-06-03 | 738.52 | 0.2031 | — | no |
| BSX | 2024-06-03 | 75.36 | 0.1758 | 0.4568 | no |
| CDNS | 2024-06-03 | 287.31 | 0.1913 | 0.5780 | no |
| CDW | 2024-06-03 | 215.43 | 0.1676 | 0.4948 | no |
| CSCO | 2024-06-03 | 44.17 | 0.2223 | 0.4869 | no |
| CTVA | 2024-06-03 | 54.36 | 0.2765 | 0.4907 | no |
| DG | 2024-06-03 | 128.46 | 0.2196 | 0.5602 | no |
| ETN | 2024-06-03 | 325.01 | 0.1841 | 0.5254 | no |
| EW | 2024-06-03 | 88.41 | 0.2076 | 0.4647 | no |
| EXC | 2024-06-03 | 34.55 | 0.1765 | 0.4996 | no |
| FCX | 2024-06-03 | 51.67 | 0.1798 | 0.5578 | no |
| FE | 2024-06-03 | 36.62 | 0.1735 | 0.4716 | no |
| GE | 2024-06-03 | 163.94 | 0.2705 | 0.5265 | no |
| GEHC | 2024-06-03 | 77.75 | 0.3093 | 0.5122 | no |
| GILD | 2024-06-03 | 59.64 | 0.2912 | 0.4623 | no |
| GL | 2024-06-03 | 81.59 | 0.2289 | 0.4878 | no |
| GS | 2024-06-03 | 438.43 | 0.1683 | 0.4653 | no |
| HSIC | 2024-06-03 | 69.39 | 0.2630 | 0.4720 | no |
| HWM | 2024-06-03 | 84.80 | 0.3759 | 0.5446 | no |
| IP | 2024-06-03 | 41.02 | 0.2614 | 0.4931 | no |
| KEYS | 2024-06-03 | 139.87 | 0.2136 | 0.5054 | no |
| LRCX | 2024-06-03 | 92.92 | 0.5364 | 0.5626 | no |
| MPC | 2024-06-03 | 168.77 | 0.5206 | 0.5025 | no |
| MS | 2024-06-03 | 92.37 | 0.2800 | 0.4662 | no |
| MSFT | 2024-06-03 | 408.33 | 0.2842 | 0.4764 | no |
| NCLH | 2024-06-03 | 16.70 | 0.4662 | 0.4258 | no |
| NDSN | 2024-06-03 | 228.71 | 0.2189 | 0.5098 | no |
| NEM | 2024-06-03 | 40.36 | 0.1782 | 0.4816 | no |
| OXY | 2024-06-03 | 59.29 | 0.2126 | 0.5898 | no |
| PARA | 2024-06-03 | 1634.73 | 0.2187 | — | no |
| PEP | 2024-06-03 | 157.37 | 0.1961 | 0.4262 | no |
| SMCI | 2024-06-03 | 80.20 | 0.6178 | 0.4568 | no |
| STT | 2024-06-03 | 70.66 | 0.2465 | 0.4737 | no |
| STZ | 2024-06-03 | 234.88 | 0.2058 | 0.4366 | no |
| TGT | 2024-06-03 | 139.65 | 0.2584 | 0.5392 | no |
| TRMB | 2024-06-03 | 55.68 | 0.2645 | 0.5164 | no |
| TSN | 2024-06-03 | 53.32 | 0.1722 | 0.4537 | no |
| TYL | 2024-06-03 | 480.28 | 0.2187 | 0.4484 | no |
| USB | 2024-06-03 | 37.03 | 0.2474 | 0.4517 | no |
| WAB | 2024-06-03 | 168.18 | 0.2012 | 0.5142 | no |
| WYNN | 2024-06-03 | 93.34 | 0.1785 | 0.4348 | no |
| XOM | 2024-06-03 | 108.21 | 0.1644 | — | no |