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 | 6.58% | 7.50% | 2024-07-16 | -7.64% |
| buy & hold | participation factor overlay | 6 months | complete | 8.81% | 12.71% | 2024-11-29 | -7.64% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.81% | 6.97% | 2024-07-16 | -7.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.44% | 11.40% | 2024-12-02 | -7.70% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.25% | 12.25% | 2024-09-17 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.00% | 16.36% | 2024-12-02 | -4.30% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.43% | 9.44% | 2024-08-30 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.17% | 13.55% | 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 | 2024-06-17 | 147.00 | 0.5553 | 0.4486 | no |
| ABT | 2024-06-17 | 98.17 | 0.2214 | 0.4470 | no |
| ADM | 2024-06-17 | 54.65 | 0.2306 | 0.4678 | no |
| AIG | 2024-06-17 | 69.76 | 0.2369 | 0.4840 | no |
| AIZ | 2024-06-17 | 160.49 | 0.2395 | 0.4464 | no |
| ALL | 2024-06-17 | 150.87 | 0.3864 | 0.4591 | no |
| AMZN | 2024-06-17 | 182.52 | 0.2327 | 0.4922 | no |
| AWK | 2024-06-17 | 121.31 | 0.3163 | 0.5097 | no |
| BF.B | 2024-06-17 | 40.82 | 0.4371 | — | no |
| BKR | 2024-06-17 | 29.69 | 0.3191 | 0.4700 | no |
| BLDR | 2024-06-17 | 149.41 | 0.3012 | 0.4745 | no |
| CRM | 2024-06-17 | 226.26 | 0.4457 | 0.4603 | no |
| CTVA | 2024-06-17 | 50.11 | 0.3148 | 0.4904 | no |
| CVX | 2024-06-17 | 138.80 | 0.2893 | 0.5746 | no |
| CZR | 2024-06-17 | 36.02 | 0.2397 | 0.4526 | no |
| DG | 2024-06-17 | 118.86 | 0.3328 | 0.5595 | no |
| DVN | 2024-06-17 | 42.69 | 0.2726 | 0.5915 | no |
| ECL | 2024-06-17 | 233.30 | 0.1962 | 0.4856 | no |
| EFX | 2024-06-17 | 235.31 | 0.2301 | 0.4822 | no |
| EMR | 2024-06-17 | 102.62 | 0.2942 | 0.5267 | no |
| ES | 2024-06-17 | 53.33 | 0.2025 | 0.4679 | no |
| ETN | 2024-06-17 | 310.20 | 0.2328 | 0.5253 | no |
| ETR | 2024-06-17 | 49.82 | 0.2112 | 0.4886 | no |
| F | 2024-06-17 | 10.19 | 0.2448 | 0.4334 | no |
| FAST | 2024-06-17 | 30.04 | 0.1913 | 0.5160 | no |
| FDS | 2024-06-17 | 387.99 | 0.2056 | 0.5061 | no |
| GE | 2024-06-17 | 154.10 | 0.2231 | 0.5265 | no |
| GOOGL | 2024-06-17 | 174.01 | 0.2854 | 0.5188 | no |
| HAL | 2024-06-17 | 31.20 | 0.2939 | 0.4852 | no |
| IP | 2024-06-17 | 40.91 | 0.1998 | 0.4931 | no |
| IT | 2024-06-17 | 432.00 | 0.1911 | 0.4940 | no |
| KEYS | 2024-06-17 | 135.89 | 0.2724 | 0.5054 | no |
| LIN | 2024-06-17 | 423.83 | 0.2989 | 0.4850 | no |
| LMT | 2024-06-17 | 431.61 | 0.2539 | 0.5647 | no |
| MSCI | 2024-06-17 | 465.37 | 0.2528 | 0.5041 | no |
| NCLH | 2024-06-17 | 16.44 | 0.4064 | 0.4259 | no |
| PH | 2024-06-17 | 489.13 | 0.3628 | 0.5280 | no |
| QRVO | 2024-06-17 | 112.36 | 0.6706 | — | no |
| RF | 2024-06-17 | 17.03 | 0.3066 | 0.4343 | no |
| ROK | 2024-06-17 | 245.79 | 0.4092 | 0.5273 | no |
| SLB | 2024-06-17 | 40.58 | 0.3420 | 0.5120 | no |
| SWKS | 2024-06-17 | 96.65 | 0.4461 | 0.5435 | no |
| TDY | 2024-06-17 | 389.10 | 0.2931 | 0.4728 | no |
| TER | 2024-06-17 | 143.48 | 0.2467 | 0.5476 | no |
| TFX | 2024-06-17 | 201.60 | 0.2827 | 0.4819 | no |
| TGT | 2024-06-17 | 129.79 | 0.3435 | 0.5406 | no |
| VMC | 2024-06-17 | 247.99 | 0.2413 | 0.5312 | no |
| VRSN | 2024-06-17 | 176.37 | 0.1946 | 0.4631 | no |
| VTRS | 2024-06-17 | 9.27 | 0.3801 | 0.4481 | no |
| WYNN | 2024-06-17 | 86.24 | 0.2933 | 0.4348 | no |