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 | 11.84% | 12.36% | 2024-12-02 | -4.05% |
| buy & hold | participation factor overlay | 6 months | complete | 3.07% | 12.38% | 2025-02-19 | -8.54% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.21% | 10.38% | 2024-12-02 | -4.10% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.21% | 10.38% | 2024-12-02 | -8.31% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.95% | 10.18% | 2024-12-04 | -4.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.36% | 10.68% | 2025-01-23 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.37% | 8.34% | 2024-12-04 | -4.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.20% | 8.65% | 2025-01-23 | -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 |
|---|---|---|---|---|---|
| ALB | 2024-09-09 | 75.13 | 0.5131 | 0.4589 | no |
| AMAT | 2024-09-09 | 174.31 | 0.4051 | 0.5691 | no |
| APA | 2024-09-09 | 23.25 | 0.3249 | 0.5395 | no |
| AVGO | 2024-09-09 | 136.54 | 0.2361 | 0.5381 | no |
| AVY | 2024-09-09 | 208.51 | 0.2684 | 0.4896 | no |
| AWK | 2024-09-09 | 136.96 | 0.2845 | 0.4510 | no |
| BA | 2024-09-09 | 162.30 | 0.5180 | 0.4930 | no |
| BBWI | 2024-09-09 | 26.84 | 0.4934 | 0.4260 | no |
| BX | 2024-09-09 | 129.81 | 0.3629 | 0.4607 | no |
| CFG | 2024-09-09 | 38.34 | 0.3254 | 0.4091 | no |
| CHRW | 2024-09-09 | 97.03 | 0.8669 | 0.4834 | no |
| CME | 2024-09-09 | 202.74 | 0.2202 | 0.5078 | no |
| CMG | 2024-09-09 | 54.04 | 0.2493 | 0.4085 | no |
| CMI | 2024-09-09 | 284.27 | 0.2738 | 0.4746 | no |
| COST | 2024-09-09 | 875.12 | 0.2826 | 0.5167 | no |
| CRWD | 2024-09-09 | 62.28 | 0.2467 | 0.5658 | no |
| DAL | 2024-09-09 | 41.60 | 0.3883 | 0.4235 | no |
| DD | 2024-09-09 | 96.17 | 0.3889 | 0.4601 | no |
| FAST | 2024-09-09 | 31.62 | 0.2719 | 0.4929 | no |
| FCX | 2024-09-09 | 39.60 | 0.3464 | 0.4903 | no |
| FFIV | 2024-09-09 | 199.48 | 0.3406 | 0.4753 | no |
| GEHC | 2024-09-09 | 85.05 | 0.2401 | 0.4428 | no |
| GWW | 2024-09-09 | 939.37 | 0.2221 | 0.5139 | no |
| HIG | 2024-09-09 | 111.46 | 0.2405 | 0.4447 | no |
| HPE | 2024-09-09 | 16.71 | 0.2950 | 0.4764 | no |
| ISRG | 2024-09-09 | 475.00 | 0.2632 | 0.4448 | no |
| ITW | 2024-09-09 | 233.50 | 0.2385 | 0.4901 | no |
| KHC | 2024-09-09 | 31.77 | 0.2798 | 0.4147 | no |
| LIN | 2024-09-09 | 448.17 | 0.2966 | 0.4325 | no |
| LRCX | 2024-09-09 | 73.03 | 0.5561 | 0.5412 | no |
| LVS | 2024-09-09 | 38.11 | 0.2295 | 0.4311 | no |
| MCHP | 2024-09-09 | 70.95 | 0.4845 | 0.5035 | no |
| MRK | 2024-09-09 | 105.29 | 0.2997 | 0.4691 | no |
| MU | 2024-09-09 | 87.30 | 0.8573 | 0.5557 | no |
| NSC | 2024-09-09 | 241.12 | 0.3511 | 0.4923 | no |
| OKE | 2024-09-09 | 82.94 | 0.2507 | 0.4573 | no |
| ON | 2024-09-09 | 68.80 | 0.3775 | 0.5275 | no |
| PPG | 2024-09-09 | 119.46 | 0.2269 | 0.4465 | no |
| PSX | 2024-09-09 | 120.09 | 0.2188 | 0.4496 | no |
| QCOM | 2024-09-09 | 154.33 | 0.4086 | 0.5172 | no |
| ROST | 2024-09-09 | 147.09 | 0.2380 | 0.4182 | no |
| RTX | 2024-09-09 | 115.57 | 0.3441 | 0.4932 | no |
| SMCI | 2024-09-09 | 39.27 | 0.6293 | 0.4561 | no |
| SNPS | 2024-09-09 | 466.53 | 0.3044 | 0.5772 | no |
| TER | 2024-09-09 | 123.06 | 0.2852 | 0.5555 | no |
| TRV | 2024-09-09 | 228.57 | 0.3448 | 0.4597 | no |
| TSLA | 2024-09-09 | 216.20 | 0.6102 | 0.4385 | no |
| WDC | 2024-09-09 | 46.57 | 0.2996 | 0.5521 | no |
| WMB | 2024-09-09 | 41.20 | 0.2170 | 0.4675 | no |
| WRB | 2024-09-09 | 56.08 | 0.2436 | 0.4416 | no |