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 | 5.83% | 7.94% | 2024-07-16 | -7.87% |
| buy & hold | participation factor overlay | 6 months | complete | 9.40% | 13.26% | 2024-11-25 | -7.87% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.58% | 6.78% | 2024-07-16 | -7.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.07% | 10.47% | 2024-11-29 | -7.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.31% | 10.31% | 2024-09-17 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.34% | 16.46% | 2024-12-02 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.63% | 7.63% | 2024-09-17 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.60% | 13.72% | 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 | 2024-06-17 | 147.00 | 0.6546 | 0.4486 | no |
| ABT | 2024-06-17 | 98.17 | 0.2196 | 0.4470 | no |
| ALL | 2024-06-17 | 150.87 | 0.2033 | 0.4591 | no |
| AMZN | 2024-06-17 | 182.52 | 0.2433 | 0.4922 | no |
| APA | 2024-06-17 | 25.43 | 0.2386 | 0.6063 | no |
| BF.B | 2024-06-17 | 40.82 | 0.4848 | — | no |
| BG | 2024-06-17 | 95.67 | 0.2116 | 0.4803 | no |
| BSX | 2024-06-17 | 76.38 | 0.2405 | 0.4568 | no |
| BX | 2024-06-17 | 112.56 | 0.2142 | 0.4818 | no |
| CRM | 2024-06-17 | 226.26 | 0.4169 | 0.4603 | no |
| CSGP | 2024-06-17 | 73.29 | 0.2400 | 0.4329 | no |
| CVX | 2024-06-17 | 138.80 | 0.3013 | 0.5746 | no |
| DG | 2024-06-17 | 118.86 | 0.3833 | 0.5595 | no |
| DVA | 2024-06-17 | 140.34 | 0.1950 | 0.4500 | no |
| DVN | 2024-06-17 | 42.69 | 0.2339 | 0.5915 | no |
| EMR | 2024-06-17 | 102.62 | 0.3503 | 0.5267 | no |
| F | 2024-06-17 | 10.19 | 0.3555 | 0.4334 | no |
| FANG | 2024-06-17 | 175.37 | 0.2679 | 0.5750 | no |
| FAST | 2024-06-17 | 30.04 | 0.2116 | 0.5160 | no |
| FDS | 2024-06-17 | 387.99 | 0.2434 | 0.5061 | no |
| FE | 2024-06-17 | 35.09 | 0.2363 | 0.4716 | no |
| GE | 2024-06-17 | 154.10 | 0.2785 | 0.5265 | no |
| GEHC | 2024-06-17 | 75.96 | 0.3151 | 0.5122 | no |
| GOOG | 2024-06-17 | 175.52 | 0.2322 | — | no |
| GOOGL | 2024-06-17 | 174.01 | 0.3717 | 0.5188 | no |
| IR | 2024-06-17 | 90.92 | 0.2999 | 0.5418 | no |
| KEYS | 2024-06-17 | 135.89 | 0.2628 | 0.5054 | no |
| KMX | 2024-06-17 | 69.75 | 0.2048 | 0.4553 | no |
| LIN | 2024-06-17 | 423.83 | 0.2522 | 0.4850 | no |
| LNT | 2024-06-17 | 46.13 | 0.2483 | 0.4282 | no |
| MS | 2024-06-17 | 89.41 | 0.2060 | 0.4645 | no |
| NOW | 2024-06-17 | 144.68 | 0.2646 | 0.4829 | no |
| PAYC | 2024-06-17 | 140.54 | 0.1982 | 0.4412 | no |
| PAYX | 2024-06-17 | 112.29 | 0.1993 | 0.4385 | no |
| PNR | 2024-06-17 | 75.30 | 0.2114 | 0.5024 | no |
| QRVO | 2024-06-17 | 112.36 | 0.3517 | — | no |
| RF | 2024-06-17 | 17.03 | 0.1961 | 0.4343 | no |
| ROK | 2024-06-17 | 245.79 | 0.2841 | 0.5273 | no |
| SLB | 2024-06-17 | 40.58 | 0.2111 | 0.5120 | no |
| SWKS | 2024-06-17 | 96.65 | 0.4352 | 0.5435 | no |
| TFX | 2024-06-17 | 201.60 | 0.3728 | 0.4819 | no |
| TGT | 2024-06-17 | 129.79 | 0.3155 | 0.5406 | no |
| UNP | 2024-06-17 | 208.89 | 0.2490 | 0.5002 | no |
| UPS | 2024-06-17 | 118.07 | 0.2197 | 0.4828 | no |
| USB | 2024-06-17 | 35.16 | 0.1945 | 0.4490 | no |
| VICI | 2024-06-17 | 24.23 | 0.2244 | 0.4600 | no |
| VMC | 2024-06-17 | 247.99 | 0.2037 | 0.5312 | no |
| VRSK | 2024-06-17 | 257.75 | 0.3697 | 0.4872 | no |
| VTRS | 2024-06-17 | 9.27 | 0.4697 | 0.4481 | no |
| WYNN | 2024-06-17 | 86.24 | 0.2209 | 0.4348 | no |