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 | 0.07% | 4.83% | 2024-07-16 | -7.04% |
| buy & hold | participation factor overlay | 6 months | complete | 5.19% | 7.12% | 2024-10-14 | -7.04% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.20% | 4.40% | 2024-08-23 | -6.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.48% | 6.90% | 2024-11-29 | -6.25% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.06% | 10.82% | 2024-08-30 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.90% | 15.15% | 2024-12-02 | -4.30% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.57% | 8.26% | 2024-08-30 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.36% | 12.33% | 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 | 2024-06-10 | 146.01 | 0.3112 | 0.4485 | no |
| ADM | 2024-06-10 | 56.75 | 0.3122 | 0.4678 | no |
| APTV | 2024-06-10 | 80.74 | 0.2232 | 0.4476 | no |
| BF.B | 2024-06-10 | 40.70 | 0.4483 | — | no |
| BG | 2024-06-10 | 97.67 | 0.2157 | 0.4803 | no |
| BWA | 2024-06-10 | 33.18 | 0.2199 | 0.4297 | no |
| CCI | 2024-06-10 | 87.67 | 0.3488 | 0.4428 | no |
| COF | 2024-06-10 | 134.44 | 0.2185 | 0.4831 | no |
| COP | 2024-06-10 | 104.78 | 0.2222 | 0.5688 | no |
| CSCO | 2024-06-10 | 43.30 | 0.2159 | 0.4869 | no |
| CSGP | 2024-06-10 | 76.15 | 0.2354 | 0.4329 | no |
| CTVA | 2024-06-10 | 51.48 | 0.3457 | 0.4904 | no |
| CVX | 2024-06-10 | 142.36 | 0.3045 | 0.5746 | no |
| CZR | 2024-06-10 | 35.87 | 0.2442 | 0.4528 | no |
| DG | 2024-06-10 | 120.24 | 0.3733 | 0.5604 | no |
| DLTR | 2024-06-10 | 111.28 | 0.2987 | 0.5524 | no |
| ETR | 2024-06-10 | 50.78 | 0.2096 | 0.4886 | no |
| EW | 2024-06-10 | 87.71 | 0.2240 | 0.4647 | no |
| FANG | 2024-06-10 | 179.32 | 0.3393 | 0.5750 | no |
| FCX | 2024-06-10 | 48.13 | 0.2110 | 0.5578 | no |
| GEHC | 2024-06-10 | 75.67 | 0.3706 | 0.5122 | no |
| GS | 2024-06-10 | 432.18 | 0.2327 | 0.4653 | no |
| HII | 2024-06-10 | 237.70 | 0.2222 | 0.5495 | no |
| HPE | 2024-06-10 | 18.88 | 0.2045 | 0.5469 | no |
| HSIC | 2024-06-10 | 67.94 | 0.2834 | 0.4720 | no |
| HWM | 2024-06-10 | 82.83 | 0.2293 | 0.5446 | no |
| JPM | 2024-06-10 | 190.15 | 0.2448 | 0.4397 | no |
| KEYS | 2024-06-10 | 134.47 | 0.2334 | 0.5054 | no |
| LMT | 2024-06-10 | 443.86 | 0.3456 | 0.5647 | no |
| LRCX | 2024-06-10 | 93.73 | 0.2261 | 0.5626 | no |
| MPWR | 2024-06-10 | 732.65 | 0.2843 | 0.5231 | no |
| MS | 2024-06-10 | 90.92 | 0.3512 | 0.4662 | no |
| MSCI | 2024-06-10 | 474.04 | 0.2504 | 0.5041 | no |
| NI | 2024-06-10 | 26.51 | 0.2646 | 0.4715 | no |
| NOW | 2024-06-10 | 139.46 | 0.2615 | 0.4829 | no |
| NVR | 2024-06-10 | 7468.12 | 0.2378 | — | no |
| PARA | 2024-06-10 | 1438.56 | 0.2661 | — | no |
| POOL | 2024-06-10 | 323.84 | 0.3266 | 0.4563 | no |
| SBAC | 2024-06-10 | 183.44 | 0.3879 | 0.4470 | no |
| STT | 2024-06-10 | 69.39 | 0.3504 | 0.4737 | no |
| SWK | 2024-06-10 | 74.42 | 0.2670 | 0.5300 | no |
| SWKS | 2024-06-10 | 83.47 | 0.2349 | 0.5434 | no |
| SYK | 2024-06-10 | 340.70 | 0.2378 | 0.4724 | no |
| TDY | 2024-06-10 | 387.71 | 0.4495 | 0.4728 | no |
| TGT | 2024-06-10 | 134.10 | 0.5288 | 0.5392 | no |
| TRMB | 2024-06-10 | 54.62 | 0.3545 | 0.5164 | no |
| VLO | 2024-06-10 | 145.08 | 0.3442 | 0.4960 | no |
| VRSK | 2024-06-10 | 258.26 | 0.2656 | 0.4872 | no |
| VRSN | 2024-06-10 | 176.74 | 0.2108 | 0.4631 | no |
| XOM | 2024-06-10 | 105.19 | 0.3264 | — | no |