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 | 0.95% | 4.96% | 2024-07-16 | -8.83% |
| buy & hold | participation factor overlay | 6 months | complete | 11.38% | 11.38% | 2024-12-03 | -8.83% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.58% | 4.75% | 2024-07-16 | -8.48% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.09% | 13.16% | 2024-12-02 | -8.48% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.49% | 5.78% | 2024-08-30 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.96% | 12.78% | 2024-11-25 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.62% | 4.91% | 2024-08-30 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.82% | 9.49% | 2024-11-25 | -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 |
|---|---|---|---|---|---|
| ABNB | 2024-06-03 | 145.74 | 0.5003 | 0.4485 | no |
| ADBE | 2024-06-03 | 447.58 | 0.2293 | 0.5095 | no |
| AKAM | 2024-06-03 | 92.24 | 0.3646 | 0.4644 | no |
| ALL | 2024-06-03 | 159.82 | 0.2356 | 0.4591 | no |
| AMD | 2024-06-03 | 170.82 | 0.5537 | 0.5491 | no |
| ANET | 2024-06-03 | 75.10 | 0.2314 | 0.4773 | no |
| AVGO | 2024-06-03 | 132.35 | 0.1726 | 0.5510 | no |
| AXON | 2024-06-03 | 281.35 | 0.1958 | 0.4522 | no |
| BG | 2024-06-03 | 100.15 | 0.3629 | 0.4818 | no |
| BIO | 2024-06-03 | 286.96 | 0.2203 | 0.4345 | no |
| BLDR | 2024-06-03 | 161.50 | 0.3753 | 0.4745 | no |
| BLK | 2024-06-03 | 738.52 | 0.2760 | — | no |
| CDNS | 2024-06-03 | 287.31 | 0.1960 | 0.5780 | no |
| CF | 2024-06-03 | 75.46 | 0.1727 | 0.4355 | no |
| CSCO | 2024-06-03 | 44.17 | 0.3033 | 0.4869 | no |
| CTVA | 2024-06-03 | 54.36 | 0.2435 | 0.4907 | no |
| CZR | 2024-06-03 | 35.80 | 0.3556 | 0.4528 | no |
| DD | 2024-06-03 | 98.78 | 0.1866 | 0.4764 | no |
| DG | 2024-06-03 | 128.46 | 0.3417 | 0.5602 | no |
| DVN | 2024-06-03 | 45.43 | 0.1874 | 0.5915 | no |
| ETSY | 2024-06-03 | 63.84 | 0.2583 | 0.5038 | no |
| EXPE | 2024-06-03 | 111.40 | 0.1950 | 0.4611 | no |
| FANG | 2024-06-03 | 186.54 | 0.2190 | 0.5750 | no |
| FCX | 2024-06-03 | 51.67 | 0.2238 | 0.5578 | no |
| GE | 2024-06-03 | 163.94 | 0.4385 | 0.5265 | no |
| GEHC | 2024-06-03 | 77.75 | 0.3624 | 0.5122 | no |
| GILD | 2024-06-03 | 59.64 | 0.1707 | 0.4623 | no |
| HSIC | 2024-06-03 | 69.39 | 0.1958 | 0.4720 | no |
| HWM | 2024-06-03 | 84.80 | 0.4975 | 0.5446 | no |
| IR | 2024-06-03 | 93.16 | 0.1979 | 0.5426 | no |
| LRCX | 2024-06-03 | 92.92 | 0.3466 | 0.5626 | no |
| MPC | 2024-06-03 | 168.77 | 0.3658 | 0.5025 | no |
| MS | 2024-06-03 | 92.37 | 0.1977 | 0.4662 | no |
| MSFT | 2024-06-03 | 408.33 | 0.2428 | 0.4764 | no |
| NCLH | 2024-06-03 | 16.70 | 0.6783 | 0.4258 | no |
| NFLX | 2024-06-03 | 64.52 | 0.2281 | — | no |
| NVR | 2024-06-03 | 7677.18 | 0.2050 | — | no |
| PARA | 2024-06-03 | 1634.73 | 0.2421 | — | no |
| PEP | 2024-06-03 | 157.37 | 0.1783 | 0.4262 | no |
| PGR | 2024-06-03 | 194.50 | 0.1649 | 0.4796 | no |
| SBAC | 2024-06-03 | 187.65 | 0.1995 | 0.4470 | no |
| SMCI | 2024-06-03 | 80.20 | 0.5923 | 0.4568 | no |
| SPG | 2024-06-03 | 134.28 | 0.2105 | 0.4279 | no |
| STT | 2024-06-03 | 70.66 | 0.1889 | 0.4737 | no |
| TGT | 2024-06-03 | 139.65 | 0.3276 | 0.5392 | no |
| TRMB | 2024-06-03 | 55.68 | 0.2990 | 0.5164 | no |
| TYL | 2024-06-03 | 480.28 | 0.2149 | 0.4484 | no |
| USB | 2024-06-03 | 37.03 | 0.1897 | 0.4517 | no |
| WST | 2024-06-03 | 328.77 | 0.2870 | 0.4543 | no |
| XOM | 2024-06-03 | 108.21 | 0.1811 | — | no |