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 | 3.64% | 3.95% | 2024-07-16 | -7.56% |
| buy & hold | participation factor overlay | 6 months | complete | 2.24% | 7.70% | 2024-11-25 | -7.56% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.38% | 4.38% | 2024-09-24 | -6.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.70% | 7.50% | 2024-11-25 | -6.81% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.56% | 9.56% | 2024-09-24 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.06% | 14.38% | 2024-11-25 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.62% | 7.62% | 2024-09-24 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.66% | 11.13% | 2024-11-25 | -7.55% |
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 | 2024-06-24 | 149.15 | 0.1766 | 0.4474 | no |
| ACGL | 2024-06-24 | 96.89 | 0.2319 | 0.4470 | no |
| ADM | 2024-06-24 | 56.60 | 0.3163 | 0.4678 | no |
| AEE | 2024-06-24 | 65.83 | 0.2022 | 0.4792 | no |
| ALGN | 2024-06-24 | 241.45 | 0.2401 | 0.4753 | no |
| ALL | 2024-06-24 | 153.87 | 0.2973 | 0.4574 | no |
| ANET | 2024-06-24 | 83.66 | 0.3040 | 0.4771 | no |
| APA | 2024-06-24 | 25.75 | 0.3278 | 0.6051 | no |
| BG | 2024-06-24 | 98.62 | 0.3163 | 0.4803 | no |
| BSX | 2024-06-24 | 77.70 | 0.1889 | 0.4557 | no |
| CME | 2024-06-24 | 179.33 | 0.2634 | 0.5139 | no |
| CVX | 2024-06-24 | 142.23 | 0.2538 | 0.5736 | no |
| CZR | 2024-06-24 | 38.93 | 0.3236 | 0.4508 | no |
| DAL | 2024-06-24 | 48.14 | 0.3210 | 0.4511 | no |
| DLTR | 2024-06-24 | 107.00 | 0.3069 | 0.5519 | no |
| DVN | 2024-06-24 | 43.21 | 0.2197 | 0.5880 | no |
| ECL | 2024-06-24 | 238.57 | 0.2197 | 0.4836 | no |
| EMR | 2024-06-24 | 105.03 | 0.2168 | 0.5267 | no |
| ETR | 2024-06-24 | 49.74 | 0.2073 | 0.4886 | no |
| FANG | 2024-06-24 | 180.59 | 0.1915 | 0.5727 | no |
| FCX | 2024-06-24 | 48.09 | 0.2249 | 0.5535 | no |
| FMC | 2024-06-24 | 51.92 | 0.2317 | 0.4671 | no |
| GE | 2024-06-24 | 161.95 | 0.2788 | 0.5264 | no |
| GOOGL | 2024-06-24 | 178.67 | 0.3137 | 0.5188 | no |
| GS | 2024-06-24 | 431.15 | 0.1995 | 0.4571 | no |
| HPQ | 2024-06-24 | 32.96 | 0.3521 | 0.4736 | no |
| HSIC | 2024-06-24 | 67.44 | 0.2843 | 0.4720 | no |
| IP | 2024-06-24 | 42.31 | 0.2603 | 0.4931 | no |
| KR | 2024-06-24 | 47.76 | 0.2443 | 0.5518 | no |
| LNT | 2024-06-24 | 47.45 | 0.2373 | 0.4282 | no |
| MCD | 2024-06-24 | 245.32 | 0.2965 | 0.4426 | no |
| MLM | 2024-06-24 | 536.26 | 0.2936 | 0.5291 | no |
| MS | 2024-06-24 | 91.02 | 0.2382 | 0.4601 | no |
| MU | 2024-06-24 | 141.43 | 0.2021 | 0.5775 | no |
| PH | 2024-06-24 | 497.01 | 0.2284 | 0.5279 | no |
| QCOM | 2024-06-24 | 197.21 | 0.2272 | 0.5492 | no |
| QRVO | 2024-06-24 | 112.18 | 0.4855 | — | no |
| RF | 2024-06-24 | 17.38 | 0.1873 | 0.4262 | no |
| RMD | 2024-06-24 | 185.90 | 0.2448 | 0.4278 | no |
| SBAC | 2024-06-24 | 185.55 | 0.2356 | 0.4412 | no |
| SWKS | 2024-06-24 | 97.73 | 0.6639 | 0.5435 | no |
| TGT | 2024-06-24 | 134.98 | 0.5828 | 0.5406 | no |
| UBER | 2024-06-24 | 69.83 | 0.2969 | 0.4896 | no |
| UNP | 2024-06-24 | 215.68 | 0.2516 | 0.4934 | no |
| VLO | 2024-06-24 | 141.33 | 0.2181 | 0.4946 | no |
| VMC | 2024-06-24 | 243.62 | 0.1856 | 0.5302 | no |
| VTRS | 2024-06-24 | 9.54 | 0.2111 | 0.4472 | no |
| WST | 2024-06-24 | 329.50 | 0.1811 | 0.4539 | no |
| XOM | 2024-06-24 | 103.87 | 0.2457 | — | no |
| ZBH | 2024-06-24 | 105.92 | 0.1836 | 0.4898 | no |