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 | 1.05% | 4.26% | 2024-07-16 | -8.38% |
| buy & hold | participation factor overlay | 6 months | complete | 8.95% | 9.32% | 2024-12-02 | -8.38% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.34% | 3.72% | 2024-07-16 | -7.16% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.66% | 14.14% | 2024-12-02 | -7.16% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.55% | 6.89% | 2024-08-30 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 14.45% | 14.99% | 2024-12-02 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.17% | 6.53% | 2024-08-30 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.04% | 12.60% | 2024-12-02 | -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 | 2024-06-03 | 145.74 | 0.3230 | 0.4485 | no |
| ADSK | 2024-06-03 | 219.59 | 0.1973 | 0.5291 | no |
| AEE | 2024-06-03 | 68.24 | 0.2771 | 0.4792 | no |
| AIG | 2024-06-03 | 74.43 | 0.1877 | 0.4840 | no |
| AKAM | 2024-06-03 | 92.24 | 0.4734 | 0.4644 | no |
| ALL | 2024-06-03 | 159.82 | 0.2726 | 0.4591 | no |
| AMD | 2024-06-03 | 170.82 | 0.5610 | 0.5491 | no |
| AMT | 2024-06-03 | 181.24 | 0.2534 | 0.4446 | no |
| APTV | 2024-06-03 | 83.49 | 0.1814 | 0.4476 | no |
| BG | 2024-06-03 | 100.15 | 0.2378 | 0.4818 | no |
| BLDR | 2024-06-03 | 161.50 | 0.3404 | 0.4745 | no |
| BLK | 2024-06-03 | 738.52 | 0.2486 | — | no |
| BSX | 2024-06-03 | 75.36 | 0.1644 | 0.4568 | no |
| CDNS | 2024-06-03 | 287.31 | 0.2399 | 0.5780 | no |
| CDW | 2024-06-03 | 215.43 | 0.1949 | 0.4948 | no |
| CF | 2024-06-03 | 75.46 | 0.2179 | 0.4355 | no |
| COF | 2024-06-03 | 133.10 | 0.3115 | 0.4831 | no |
| CSCO | 2024-06-03 | 44.17 | 0.1933 | 0.4869 | no |
| CZR | 2024-06-03 | 35.80 | 0.3837 | 0.4528 | no |
| ETR | 2024-06-03 | 52.57 | 0.3218 | 0.4886 | no |
| FCX | 2024-06-03 | 51.67 | 0.2185 | 0.5578 | no |
| GEHC | 2024-06-03 | 77.75 | 0.2507 | 0.5122 | no |
| GL | 2024-06-03 | 81.59 | 0.4389 | 0.4878 | no |
| HSIC | 2024-06-03 | 69.39 | 0.3330 | 0.4720 | no |
| HWM | 2024-06-03 | 84.80 | 0.3620 | 0.5446 | no |
| IP | 2024-06-03 | 41.02 | 0.1689 | 0.4931 | no |
| IR | 2024-06-03 | 93.16 | 0.2068 | 0.5426 | no |
| KMI | 2024-06-03 | 17.69 | 0.1818 | 0.5367 | no |
| LHX | 2024-06-03 | 215.17 | 0.1594 | 0.5392 | no |
| LRCX | 2024-06-03 | 92.92 | 0.4426 | 0.5626 | no |
| MPC | 2024-06-03 | 168.77 | 0.3761 | 0.5025 | no |
| MS | 2024-06-03 | 92.37 | 0.1650 | 0.4662 | no |
| MSFT | 2024-06-03 | 408.33 | 0.2386 | 0.4764 | no |
| NCLH | 2024-06-03 | 16.70 | 0.5961 | 0.4258 | no |
| NFLX | 2024-06-03 | 64.52 | 0.2457 | — | no |
| NVDA | 2024-06-03 | 113.30 | 0.1561 | 0.5402 | no |
| NVR | 2024-06-03 | 7677.18 | 0.1889 | — | no |
| OXY | 2024-06-03 | 59.29 | 0.2422 | 0.5898 | no |
| PARA | 2024-06-03 | 1634.73 | 0.1730 | — | no |
| PNW | 2024-06-03 | 70.46 | 0.1819 | 0.4463 | no |
| SMCI | 2024-06-03 | 80.20 | 0.4091 | 0.4568 | no |
| STT | 2024-06-03 | 70.66 | 0.2455 | 0.4737 | no |
| STZ | 2024-06-03 | 234.88 | 0.1616 | 0.4366 | no |
| SWKS | 2024-06-03 | 86.46 | 0.1656 | 0.5434 | no |
| TFX | 2024-06-03 | 203.75 | 0.2017 | 0.4824 | no |
| TGT | 2024-06-03 | 139.65 | 0.3321 | 0.5392 | no |
| TYL | 2024-06-03 | 480.28 | 0.1709 | 0.4484 | no |
| VTRS | 2024-06-03 | 9.75 | 0.2286 | 0.4481 | no |
| WAB | 2024-06-03 | 168.18 | 0.2170 | 0.5142 | no |
| WST | 2024-06-03 | 328.77 | 0.2572 | 0.4543 | no |