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 | 8.16% | 9.11% | 2024-09-30 | -5.69% |
| buy & hold | participation factor overlay | 6 months | complete | 3.71% | 10.57% | 2024-10-16 | -8.15% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.72% | 8.96% | 2024-09-30 | -5.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.99% | 9.96% | 2024-10-14 | -8.30% |
| weekly rebalance | participation factor overlay | 3 months | complete | 11.06% | 12.47% | 2024-09-27 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.80% | 16.95% | 2024-12-04 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.76% | 11.46% | 2024-09-27 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.17% | 15.20% | 2024-12-04 | -6.86% |
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 |
|---|---|---|---|---|---|
| ADBE | 2024-07-08 | 573.18 | 0.2512 | 0.5117 | no |
| APTV | 2024-07-08 | 70.94 | 0.2126 | 0.4218 | no |
| BDX | 2024-07-08 | 170.41 | 0.1909 | 0.4368 | no |
| BEN | 2024-07-08 | 19.80 | 0.1928 | 0.4722 | no |
| BRK.B | 2024-07-08 | 411.27 | 0.1711 | — | no |
| CI | 2024-07-08 | 305.95 | 0.3382 | 0.4119 | no |
| CMI | 2024-07-08 | 257.36 | 0.2256 | 0.4965 | no |
| CNC | 2024-07-08 | 66.59 | 0.2054 | 0.4516 | no |
| CZR | 2024-07-08 | 37.39 | 0.1834 | 0.4476 | no |
| DG | 2024-07-08 | 122.83 | 0.1979 | 0.5526 | no |
| DVA | 2024-07-08 | 136.97 | 0.3228 | 0.4337 | no |
| EFX | 2024-07-08 | 238.25 | 0.2361 | 0.4825 | no |
| ETN | 2024-07-08 | 311.55 | 0.2479 | 0.5073 | no |
| ETR | 2024-07-08 | 49.41 | 0.2156 | 0.4663 | no |
| ETSY | 2024-07-08 | 58.47 | 0.2985 | 0.5022 | no |
| EXC | 2024-07-08 | 31.60 | 0.1723 | 0.4534 | no |
| FTV | 2024-07-08 | 55.72 | 0.1690 | 0.5061 | no |
| GEHC | 2024-07-08 | 76.69 | 0.1852 | 0.5020 | no |
| HSIC | 2024-07-08 | 65.23 | 0.2813 | 0.4456 | no |
| HUBB | 2024-07-08 | 365.47 | 0.2726 | 0.5108 | no |
| IR | 2024-07-08 | 91.43 | 0.1647 | 0.5185 | no |
| JBL | 2024-07-08 | 108.55 | 0.3399 | 0.4971 | no |
| KEYS | 2024-07-08 | 137.78 | 0.1799 | 0.5007 | no |
| KHC | 2024-07-08 | 28.11 | 0.2917 | 0.4310 | no |
| L | 2024-07-08 | 73.71 | 0.2736 | — | no |
| LVS | 2024-07-08 | 40.18 | 0.1748 | 0.4289 | no |
| MDT | 2024-07-08 | 72.58 | 0.2962 | 0.4369 | no |
| META | 2024-07-08 | 538.73 | 0.3432 | 0.5069 | no |
| MOH | 2024-07-08 | 293.24 | 0.2556 | 0.4281 | no |
| MSCI | 2024-07-08 | 480.88 | 0.2307 | 0.5032 | no |
| MTCH | 2024-07-08 | 28.37 | 0.1892 | 0.4265 | no |
| NFLX | 2024-07-08 | 68.70 | 0.2502 | — | no |
| NUE | 2024-07-08 | 149.15 | 0.2735 | 0.4448 | no |
| NVR | 2024-07-08 | 7465.56 | 0.2488 | — | no |
| OMC | 2024-07-08 | 83.05 | 0.2472 | 0.4147 | no |
| PWR | 2024-07-08 | 253.67 | 0.1925 | 0.4585 | no |
| QRVO | 2024-07-08 | 118.75 | 0.5247 | — | no |
| REGN | 2024-07-08 | 1029.79 | 0.2173 | 0.4830 | no |
| RTX | 2024-07-08 | 96.71 | 0.3348 | 0.5092 | no |
| SMCI | 2024-07-08 | 86.40 | 0.1984 | 0.4526 | no |
| SOLV | 2024-07-08 | 50.00 | 0.1811 | — | no |
| SPGI | 2024-07-08 | 422.15 | 0.2326 | 0.4899 | no |
| SWK | 2024-07-08 | 73.10 | 0.5627 | 0.5085 | no |
| TXT | 2024-07-08 | 85.09 | 0.2007 | 0.5060 | no |
| UBER | 2024-07-08 | 71.31 | 0.2045 | 0.4836 | no |
| VLO | 2024-07-08 | 143.16 | 0.3256 | 0.4604 | no |
| VST | 2024-07-08 | 88.86 | 0.2803 | 0.4437 | no |
| WFC | 2024-07-08 | 56.98 | 0.2916 | 0.4224 | no |
| WY | 2024-07-08 | 25.56 | 0.2989 | 0.4978 | no |
| XYL | 2024-07-08 | 131.03 | 0.1703 | 0.4872 | no |