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 | 6.70% | 6.90% | 2024-07-16 | -6.37% |
| buy & hold | participation factor overlay | 6 months | complete | 7.71% | 11.76% | 2024-11-25 | -6.37% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.61% | 7.61% | 2024-09-17 | -6.16% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.11% | 14.32% | 2024-11-25 | -6.16% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.95% | 10.95% | 2024-09-17 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.53% | 18.16% | 2024-12-04 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.97% | 9.97% | 2024-09-17 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.53% | 15.77% | 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 |
|---|---|---|---|---|---|
| ABNB | 2024-06-17 | 147.00 | 0.3705 | 0.4486 | no |
| ADI | 2024-06-17 | 222.96 | 0.2520 | 0.5348 | no |
| ALL | 2024-06-17 | 150.87 | 0.3571 | 0.4591 | no |
| BF.B | 2024-06-17 | 40.82 | 0.4655 | — | no |
| BSX | 2024-06-17 | 76.38 | 0.2269 | 0.4568 | no |
| BX | 2024-06-17 | 112.56 | 0.2892 | 0.4818 | no |
| CF | 2024-06-17 | 69.59 | 0.2240 | 0.4355 | no |
| CHRW | 2024-06-17 | 79.94 | 0.2093 | 0.4856 | no |
| CRM | 2024-06-17 | 226.26 | 0.3350 | 0.4603 | no |
| CTVA | 2024-06-17 | 50.11 | 0.3030 | 0.4904 | no |
| CVX | 2024-06-17 | 138.80 | 0.2423 | 0.5746 | no |
| DD | 2024-06-17 | 95.61 | 0.2355 | 0.4759 | no |
| DG | 2024-06-17 | 118.86 | 0.4031 | 0.5595 | no |
| DPZ | 2024-06-17 | 501.71 | 0.2312 | 0.4367 | no |
| EFX | 2024-06-17 | 235.31 | 0.2094 | 0.4822 | no |
| ES | 2024-06-17 | 53.33 | 0.2481 | 0.4679 | no |
| FANG | 2024-06-17 | 175.37 | 0.2618 | 0.5750 | no |
| FAST | 2024-06-17 | 30.04 | 0.2262 | 0.5160 | no |
| FDS | 2024-06-17 | 387.99 | 0.2760 | 0.5061 | no |
| FTV | 2024-06-17 | 54.10 | 0.3622 | 0.5268 | no |
| GE | 2024-06-17 | 154.10 | 0.3357 | 0.5265 | no |
| GEHC | 2024-06-17 | 75.96 | 0.1988 | 0.5122 | no |
| GOOGL | 2024-06-17 | 174.01 | 0.2342 | 0.5188 | no |
| GPC | 2024-06-17 | 126.86 | 0.2715 | 0.5406 | no |
| HAL | 2024-06-17 | 31.20 | 0.3653 | 0.4852 | no |
| IR | 2024-06-17 | 90.92 | 0.2726 | 0.5418 | no |
| IT | 2024-06-17 | 432.00 | 0.2374 | 0.4940 | no |
| KR | 2024-06-17 | 47.99 | 0.2214 | 0.5518 | no |
| LIN | 2024-06-17 | 423.83 | 0.2022 | 0.4850 | no |
| LNT | 2024-06-17 | 46.13 | 0.2307 | 0.4282 | no |
| MDT | 2024-06-17 | 74.57 | 0.2048 | 0.4519 | no |
| MSCI | 2024-06-17 | 465.37 | 0.2389 | 0.5041 | no |
| NCLH | 2024-06-17 | 16.44 | 0.2559 | 0.4259 | no |
| NOW | 2024-06-17 | 144.68 | 0.2993 | 0.4829 | no |
| OTIS | 2024-06-17 | 93.06 | 0.2196 | 0.5609 | no |
| PFE | 2024-06-17 | 23.64 | 0.2499 | 0.5482 | no |
| PHM | 2024-06-17 | 111.56 | 0.2855 | 0.5466 | no |
| QRVO | 2024-06-17 | 112.36 | 0.5995 | — | no |
| RF | 2024-06-17 | 17.03 | 0.3008 | 0.4343 | no |
| ROK | 2024-06-17 | 245.79 | 0.2284 | 0.5273 | no |
| SLB | 2024-06-17 | 40.58 | 0.2261 | 0.5120 | no |
| SWK | 2024-06-17 | 75.80 | 0.2627 | 0.5300 | no |
| SWKS | 2024-06-17 | 96.65 | 0.5979 | 0.5435 | no |
| TER | 2024-06-17 | 143.48 | 0.2185 | 0.5476 | no |
| TFX | 2024-06-17 | 201.60 | 0.2582 | 0.4819 | no |
| UBER | 2024-06-17 | 69.91 | 0.2789 | 0.4896 | no |
| UNP | 2024-06-17 | 208.89 | 0.2680 | 0.5002 | no |
| VMC | 2024-06-17 | 247.99 | 0.2187 | 0.5312 | no |
| VTRS | 2024-06-17 | 9.27 | 0.5350 | 0.4481 | no |
| WYNN | 2024-06-17 | 86.24 | 0.2280 | 0.4348 | no |