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 | 1.22% | 4.24% | 2024-07-16 | -7.66% |
| buy & hold | participation factor overlay | 6 months | complete | 9.91% | 10.00% | 2024-12-02 | -7.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.13% | 3.98% | 2024-07-16 | -8.79% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.62% | 9.10% | 2024-12-02 | -8.79% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.40% | 8.80% | 2024-08-30 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.35% | 13.05% | 2024-12-02 | -4.30% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.10% | 6.30% | 2024-08-30 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.55% | 10.30% | 2024-12-02 | -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 | 2024-06-03 | 145.74 | 0.3326 | 0.4485 | no |
| ADBE | 2024-06-03 | 447.58 | 0.3378 | 0.5095 | no |
| AEE | 2024-06-03 | 68.24 | 0.2221 | 0.4792 | no |
| AKAM | 2024-06-03 | 92.24 | 0.3453 | 0.4644 | no |
| ALL | 2024-06-03 | 159.82 | 0.2056 | 0.4591 | no |
| AMD | 2024-06-03 | 170.82 | 0.6080 | 0.5491 | no |
| AVGO | 2024-06-03 | 132.35 | 0.1750 | 0.5510 | no |
| AXON | 2024-06-03 | 281.35 | 0.1761 | 0.4522 | no |
| BF.B | 2024-06-03 | 41.97 | 0.2050 | — | no |
| BG | 2024-06-03 | 100.15 | 0.3463 | 0.4818 | no |
| BIO | 2024-06-03 | 286.96 | 0.2231 | 0.4345 | no |
| BLDR | 2024-06-03 | 161.50 | 0.4198 | 0.4745 | no |
| BLK | 2024-06-03 | 738.52 | 0.2974 | — | no |
| BMY | 2024-06-03 | 36.95 | 0.2642 | 0.5564 | no |
| BSX | 2024-06-03 | 75.36 | 0.2531 | 0.4568 | no |
| CDNS | 2024-06-03 | 287.31 | 0.2048 | 0.5780 | no |
| CF | 2024-06-03 | 75.46 | 0.1650 | 0.4355 | no |
| CSCO | 2024-06-03 | 44.17 | 0.2638 | 0.4869 | no |
| CTVA | 2024-06-03 | 54.36 | 0.1713 | 0.4907 | no |
| CZR | 2024-06-03 | 35.80 | 0.1954 | 0.4528 | no |
| DAL | 2024-06-03 | 50.12 | 0.2017 | 0.4615 | no |
| DG | 2024-06-03 | 128.46 | 0.2358 | 0.5602 | no |
| DPZ | 2024-06-03 | 484.21 | 0.1601 | 0.4371 | no |
| ETR | 2024-06-03 | 52.57 | 0.2573 | 0.4886 | no |
| ETSY | 2024-06-03 | 63.84 | 0.2145 | 0.5038 | no |
| EXC | 2024-06-03 | 34.55 | 0.2420 | 0.4996 | no |
| EXPE | 2024-06-03 | 111.40 | 0.2034 | 0.4611 | no |
| FCX | 2024-06-03 | 51.67 | 0.2713 | 0.5578 | no |
| GE | 2024-06-03 | 163.94 | 0.2347 | 0.5265 | no |
| GEHC | 2024-06-03 | 77.75 | 0.1988 | 0.5122 | no |
| HAL | 2024-06-03 | 34.59 | 0.2058 | 0.4852 | no |
| HSIC | 2024-06-03 | 69.39 | 0.1990 | 0.4720 | no |
| HWM | 2024-06-03 | 84.80 | 0.4163 | 0.5446 | no |
| LIN | 2024-06-03 | 420.32 | 0.1890 | 0.4860 | no |
| LMT | 2024-06-03 | 439.38 | 0.1564 | 0.5647 | no |
| LRCX | 2024-06-03 | 92.92 | 0.4755 | 0.5626 | no |
| MSCI | 2024-06-03 | 479.99 | 0.2933 | 0.5043 | no |
| MSFT | 2024-06-03 | 408.33 | 0.2254 | 0.4764 | no |
| NCLH | 2024-06-03 | 16.70 | 0.6408 | 0.4258 | no |
| NEM | 2024-06-03 | 40.36 | 0.1801 | 0.4816 | no |
| PARA | 2024-06-03 | 1634.73 | 0.2747 | — | no |
| PNW | 2024-06-03 | 70.46 | 0.1576 | 0.4463 | no |
| QRVO | 2024-06-03 | 99.00 | 0.2516 | — | no |
| SMCI | 2024-06-03 | 80.20 | 0.3475 | 0.4568 | no |
| STT | 2024-06-03 | 70.66 | 0.1991 | 0.4737 | no |
| TGT | 2024-06-03 | 139.65 | 0.3381 | 0.5392 | no |
| TSN | 2024-06-03 | 53.32 | 0.1618 | 0.4537 | no |
| TYL | 2024-06-03 | 480.28 | 0.1563 | 0.4484 | no |
| WAB | 2024-06-03 | 168.18 | 0.2353 | 0.5142 | no |
| WST | 2024-06-03 | 328.77 | 0.3313 | 0.4543 | no |