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 | 1.07% | 4.01% | 2024-07-16 | -6.01% |
| buy & hold | participation factor overlay | 6 months | complete | 6.19% | 7.77% | 2024-11-29 | -6.01% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.33% | 6.33% | 2024-08-27 | -5.08% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.31% | 13.00% | 2024-11-29 | -5.08% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.99% | 8.42% | 2024-08-30 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.33% | 15.14% | 2024-12-02 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.35% | 5.53% | 2024-08-30 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.80% | 12.30% | 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 | 2024-06-10 | 146.01 | 0.2642 | 0.4485 | no |
| ADM | 2024-06-10 | 56.75 | 0.2809 | 0.4678 | no |
| AEE | 2024-06-10 | 66.05 | 0.2756 | 0.4792 | no |
| BALL | 2024-06-10 | 65.97 | 0.2040 | 0.4542 | no |
| BF.B | 2024-06-10 | 40.70 | 0.5658 | — | no |
| BIO | 2024-06-10 | 284.71 | 0.3802 | 0.4345 | no |
| CCI | 2024-06-10 | 87.67 | 0.3510 | 0.4428 | no |
| CSCO | 2024-06-10 | 43.30 | 0.3672 | 0.4869 | no |
| CSGP | 2024-06-10 | 76.15 | 0.1953 | 0.4329 | no |
| CTVA | 2024-06-10 | 51.48 | 0.2748 | 0.4904 | no |
| CVX | 2024-06-10 | 142.36 | 0.4334 | 0.5746 | no |
| DG | 2024-06-10 | 120.24 | 0.2695 | 0.5604 | no |
| DLTR | 2024-06-10 | 111.28 | 0.2266 | 0.5524 | no |
| ES | 2024-06-10 | 53.30 | 0.2055 | 0.4679 | no |
| EW | 2024-06-10 | 87.71 | 0.2011 | 0.4647 | no |
| FANG | 2024-06-10 | 179.32 | 0.3693 | 0.5750 | no |
| FCX | 2024-06-10 | 48.13 | 0.4323 | 0.5578 | no |
| FE | 2024-06-10 | 35.33 | 0.2328 | 0.4716 | no |
| GEHC | 2024-06-10 | 75.67 | 0.3707 | 0.5122 | no |
| GL | 2024-06-10 | 79.34 | 0.4625 | 0.4878 | no |
| HSIC | 2024-06-10 | 67.94 | 0.4048 | 0.4720 | no |
| HWM | 2024-06-10 | 82.83 | 0.5301 | 0.5446 | no |
| INTU | 2024-06-10 | 558.72 | 0.2246 | 0.4773 | no |
| IR | 2024-06-10 | 88.84 | 0.3260 | 0.5418 | no |
| KEYS | 2024-06-10 | 134.47 | 0.3533 | 0.5054 | no |
| LDOS | 2024-06-10 | 140.89 | 0.2161 | 0.5275 | no |
| LMT | 2024-06-10 | 443.86 | 0.2271 | 0.5647 | no |
| LRCX | 2024-06-10 | 93.73 | 0.2048 | 0.5626 | no |
| LYV | 2024-06-10 | 90.48 | 0.3128 | 0.4536 | no |
| MS | 2024-06-10 | 90.92 | 0.4078 | 0.4662 | no |
| MSCI | 2024-06-10 | 474.04 | 0.2237 | 0.5041 | no |
| MSFT | 2024-06-10 | 417.34 | 0.2295 | 0.4764 | no |
| NEM | 2024-06-10 | 39.03 | 0.2730 | 0.4816 | no |
| PARA | 2024-06-10 | 1438.56 | 0.3921 | — | no |
| PAYX | 2024-06-10 | 112.85 | 0.2254 | 0.4385 | no |
| PFE | 2024-06-10 | 24.41 | 0.2018 | 0.5482 | no |
| POOL | 2024-06-10 | 323.84 | 0.3262 | 0.4563 | no |
| SCHW | 2024-06-10 | 71.31 | 0.3353 | 0.4840 | no |
| STT | 2024-06-10 | 69.39 | 0.3043 | 0.4737 | no |
| STZ | 2024-06-10 | 236.83 | 0.2425 | 0.4370 | no |
| SYK | 2024-06-10 | 340.70 | 0.2389 | 0.4724 | no |
| TDY | 2024-06-10 | 387.71 | 0.2131 | 0.4728 | no |
| TER | 2024-06-10 | 138.25 | 0.1976 | 0.5469 | no |
| TGT | 2024-06-10 | 134.10 | 0.4276 | 0.5392 | no |
| TRMB | 2024-06-10 | 54.62 | 0.3649 | 0.5164 | no |
| VLO | 2024-06-10 | 145.08 | 0.2509 | 0.4960 | no |
| VRSK | 2024-06-10 | 258.26 | 0.3680 | 0.4872 | no |
| VTRS | 2024-06-10 | 9.49 | 0.3429 | 0.4481 | no |
| WMT | 2024-06-10 | 65.80 | 0.2152 | 0.5357 | no |
| XOM | 2024-06-10 | 105.19 | 0.2242 | — | no |