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 | 7.33% | 7.60% | 2024-08-30 | -7.21% |
| buy & hold | participation factor overlay | 6 months | complete | 11.76% | 15.41% | 2024-11-25 | -7.21% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.12% | 7.12% | 2024-09-17 | -6.78% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.76% | 15.16% | 2024-11-25 | -6.78% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.63% | 10.63% | 2024-09-17 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.73% | 16.76% | 2024-11-25 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.73% | 8.73% | 2024-09-17 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.76% | 13.13% | 2024-11-25 | -6.71% |
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 | 0.5372 | 0.4486 | no |
| ABT | 2024-06-17 | 98.17 | 0.2031 | 0.4470 | no |
| AIG | 2024-06-17 | 69.76 | 0.2148 | 0.4840 | no |
| ALL | 2024-06-17 | 150.87 | 0.2653 | 0.4591 | no |
| APA | 2024-06-17 | 25.43 | 0.2001 | 0.6063 | no |
| BF.B | 2024-06-17 | 40.82 | 0.2941 | — | no |
| BKR | 2024-06-17 | 29.69 | 0.1935 | 0.4700 | no |
| BSX | 2024-06-17 | 76.38 | 0.3565 | 0.4568 | no |
| BX | 2024-06-17 | 112.56 | 0.2475 | 0.4818 | no |
| CF | 2024-06-17 | 69.59 | 0.2335 | 0.4355 | no |
| CRM | 2024-06-17 | 226.26 | 0.4866 | 0.4603 | no |
| CTVA | 2024-06-17 | 50.11 | 0.2020 | 0.4904 | no |
| CVX | 2024-06-17 | 138.80 | 0.2259 | 0.5746 | no |
| DOW | 2024-06-17 | 48.08 | 0.2126 | 0.5046 | no |
| ES | 2024-06-17 | 53.33 | 0.3234 | 0.4679 | no |
| FAST | 2024-06-17 | 30.04 | 0.3159 | 0.5160 | no |
| FDS | 2024-06-17 | 387.99 | 0.3071 | 0.5061 | no |
| GE | 2024-06-17 | 154.10 | 0.4149 | 0.5265 | no |
| GOOG | 2024-06-17 | 175.52 | 0.2471 | — | no |
| GOOGL | 2024-06-17 | 174.01 | 0.3047 | 0.5188 | no |
| HAL | 2024-06-17 | 31.20 | 0.4416 | 0.4852 | no |
| IR | 2024-06-17 | 90.92 | 0.2429 | 0.5418 | no |
| IT | 2024-06-17 | 432.00 | 0.2066 | 0.4940 | no |
| LIN | 2024-06-17 | 423.83 | 0.2386 | 0.4850 | no |
| LNT | 2024-06-17 | 46.13 | 0.2134 | 0.4282 | no |
| MDLZ | 2024-06-17 | 61.37 | 0.2023 | 0.4506 | no |
| MS | 2024-06-17 | 89.41 | 0.3323 | 0.4645 | no |
| NCLH | 2024-06-17 | 16.44 | 0.3469 | 0.4259 | no |
| NOW | 2024-06-17 | 144.68 | 0.2551 | 0.4829 | no |
| OTIS | 2024-06-17 | 93.06 | 0.2492 | 0.5609 | no |
| PANW | 2024-06-17 | 158.01 | 0.2921 | 0.5732 | no |
| PAYC | 2024-06-17 | 140.54 | 0.2054 | 0.4412 | no |
| PH | 2024-06-17 | 489.13 | 0.2391 | 0.5280 | no |
| PNR | 2024-06-17 | 75.30 | 0.2264 | 0.5024 | no |
| POOL | 2024-06-17 | 324.36 | 0.2059 | 0.4546 | no |
| QRVO | 2024-06-17 | 112.36 | 0.7807 | — | no |
| RF | 2024-06-17 | 17.03 | 0.2074 | 0.4343 | no |
| ROK | 2024-06-17 | 245.79 | 0.4099 | 0.5273 | no |
| SLB | 2024-06-17 | 40.58 | 0.3859 | 0.5120 | no |
| SWK | 2024-06-17 | 75.80 | 0.3018 | 0.5300 | no |
| SWKS | 2024-06-17 | 96.65 | 0.5520 | 0.5435 | no |
| TDY | 2024-06-17 | 389.10 | 0.3221 | 0.4728 | no |
| TER | 2024-06-17 | 143.48 | 0.2447 | 0.5476 | no |
| TGT | 2024-06-17 | 129.79 | 0.2743 | 0.5406 | no |
| TXN | 2024-06-17 | 181.61 | 0.1943 | 0.5325 | no |
| TXT | 2024-06-17 | 84.76 | 0.2430 | 0.5232 | no |
| UNP | 2024-06-17 | 208.89 | 0.2987 | 0.5002 | no |
| VRSK | 2024-06-17 | 257.75 | 0.2816 | 0.4872 | no |
| VTRS | 2024-06-17 | 9.27 | 0.4814 | 0.4481 | no |
| WYNN | 2024-06-17 | 86.24 | 0.2266 | 0.4348 | no |