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 | 1.91% | 5.64% | 2024-08-23 | -6.37% |
| buy & hold | participation factor overlay | 6 months | complete | 6.43% | 7.84% | 2024-11-29 | -6.37% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.35% | 6.62% | 2024-08-23 | -5.60% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.79% | 10.65% | 2024-11-29 | -5.60% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.85% | 8.97% | 2024-08-30 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.22% | 17.47% | 2024-12-04 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.78% | 8.31% | 2024-08-30 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.80% | 14.53% | 2024-12-04 | -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 |
|---|---|---|---|---|---|
| ABT | 2024-06-10 | 102.67 | 0.2657 | 0.4470 | no |
| ADM | 2024-06-10 | 56.75 | 0.3587 | 0.4678 | no |
| BF.B | 2024-06-10 | 40.70 | 0.4845 | — | no |
| BIO | 2024-06-10 | 284.71 | 0.3258 | 0.4345 | no |
| BSX | 2024-06-10 | 76.95 | 0.2212 | 0.4568 | no |
| CCI | 2024-06-10 | 87.67 | 0.4640 | 0.4428 | no |
| COF | 2024-06-10 | 134.44 | 0.2410 | 0.4831 | no |
| COP | 2024-06-10 | 104.78 | 0.2019 | 0.5688 | no |
| CSCO | 2024-06-10 | 43.30 | 0.3026 | 0.4869 | no |
| CSGP | 2024-06-10 | 76.15 | 0.2634 | 0.4329 | no |
| CVX | 2024-06-10 | 142.36 | 0.3133 | 0.5746 | no |
| DG | 2024-06-10 | 120.24 | 0.2872 | 0.5604 | no |
| DLTR | 2024-06-10 | 111.28 | 0.2780 | 0.5524 | no |
| EW | 2024-06-10 | 87.71 | 0.2169 | 0.4647 | no |
| FANG | 2024-06-10 | 179.32 | 0.4826 | 0.5750 | no |
| FAST | 2024-06-10 | 30.47 | 0.3279 | 0.5160 | no |
| GEHC | 2024-06-10 | 75.67 | 0.3521 | 0.5122 | no |
| GS | 2024-06-10 | 432.18 | 0.2825 | 0.4653 | no |
| HII | 2024-06-10 | 237.70 | 0.3681 | 0.5495 | no |
| HWM | 2024-06-10 | 82.83 | 0.4808 | 0.5446 | no |
| IR | 2024-06-10 | 88.84 | 0.2610 | 0.5418 | no |
| KEYS | 2024-06-10 | 134.47 | 0.2306 | 0.5054 | no |
| LMT | 2024-06-10 | 443.86 | 0.2511 | 0.5647 | no |
| LRCX | 2024-06-10 | 93.73 | 0.2008 | 0.5626 | no |
| MCD | 2024-06-10 | 242.48 | 0.2043 | 0.4426 | no |
| MGM | 2024-06-10 | 40.47 | 0.2932 | 0.4375 | no |
| MPC | 2024-06-10 | 167.46 | 0.3008 | 0.5025 | no |
| MPWR | 2024-06-10 | 732.65 | 0.3238 | 0.5231 | no |
| MS | 2024-06-10 | 90.92 | 0.3722 | 0.4662 | no |
| MSCI | 2024-06-10 | 474.04 | 0.4025 | 0.5041 | no |
| NOW | 2024-06-10 | 139.46 | 0.3662 | 0.4829 | no |
| NVR | 2024-06-10 | 7468.12 | 0.2539 | — | no |
| PARA | 2024-06-10 | 1438.56 | 0.3604 | — | no |
| PHM | 2024-06-10 | 108.59 | 0.2348 | 0.5466 | no |
| POOL | 2024-06-10 | 323.84 | 0.2852 | 0.4563 | no |
| PSA | 2024-06-10 | 247.16 | 0.3074 | 0.4313 | no |
| SCHW | 2024-06-10 | 71.31 | 0.2252 | 0.4840 | no |
| STT | 2024-06-10 | 69.39 | 0.3572 | 0.4737 | no |
| STZ | 2024-06-10 | 236.83 | 0.2109 | 0.4370 | no |
| SWKS | 2024-06-10 | 83.47 | 0.2176 | 0.5434 | no |
| SYK | 2024-06-10 | 340.70 | 0.2295 | 0.4724 | no |
| TDY | 2024-06-10 | 387.71 | 0.3636 | 0.4728 | no |
| TER | 2024-06-10 | 138.25 | 0.2831 | 0.5469 | no |
| TGT | 2024-06-10 | 134.10 | 0.3269 | 0.5392 | no |
| VMC | 2024-06-10 | 242.23 | 0.2272 | 0.5312 | no |
| VRSK | 2024-06-10 | 258.26 | 0.4146 | 0.4872 | no |
| VRSN | 2024-06-10 | 176.74 | 0.3075 | 0.4631 | no |
| VTRS | 2024-06-10 | 9.49 | 0.3633 | 0.4481 | no |
| XEL | 2024-06-10 | 50.47 | 0.2441 | 0.4843 | no |
| XOM | 2024-06-10 | 105.19 | 0.2906 | — | no |