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 | -4.11% | 2.08% | 2024-10-18 | -7.12% |
| buy & hold | participation factor overlay | 6 months | complete | -4.76% | 2.08% | 2024-10-18 | -8.61% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.97% | 2.92% | 2024-12-02 | -6.78% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.30% | 2.92% | 2024-12-02 | -9.04% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.67% | 2.93% | 2024-12-02 | -6.82% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.34% | 3.29% | 2025-01-23 | -10.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.06% | 3.45% | 2024-12-02 | -7.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.14% | 3.87% | 2025-01-23 | -9.66% |
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 | 2024-09-30 | 127.32 | 0.6580 | 0.4541 | no |
| ABT | 2024-09-30 | 107.95 | 0.2026 | 0.4476 | no |
| AIG | 2024-09-30 | 70.03 | 0.2287 | 0.4746 | no |
| AKAM | 2024-09-30 | 101.43 | 0.2922 | 0.4545 | no |
| AMAT | 2024-09-30 | 197.84 | 0.2468 | 0.5606 | no |
| APD | 2024-09-30 | 285.13 | 0.2671 | 0.4335 | no |
| AWK | 2024-09-30 | 138.09 | 0.1963 | 0.4485 | no |
| BA | 2024-09-30 | 154.79 | 0.4557 | 0.4985 | no |
| BALL | 2024-09-30 | 65.22 | 0.2683 | 0.4371 | no |
| BBY | 2024-09-30 | 92.63 | 0.3341 | 0.4942 | no |
| BEN | 2024-09-30 | 18.49 | 0.2020 | 0.4772 | no |
| BIO | 2024-09-30 | 330.90 | 0.1889 | 0.4153 | no |
| BKNG | 2024-09-30 | 166.08 | 0.4873 | 0.4192 | no |
| BRK.B | 2024-09-30 | 458.40 | 0.2899 | — | no |
| CAT | 2024-09-30 | 379.89 | 0.2238 | 0.4859 | no |
| CME | 2024-09-30 | 201.82 | 0.2131 | 0.5121 | no |
| CRWD | 2024-09-30 | 71.00 | 0.8602 | 0.5638 | no |
| CSGP | 2024-09-30 | 74.95 | 0.2441 | 0.4842 | no |
| DVN | 2024-09-30 | 36.91 | 0.2746 | 0.4445 | no |
| DXCM | 2024-09-30 | 67.77 | 0.1898 | 0.4456 | no |
| EVRG | 2024-09-30 | 57.67 | 0.2862 | 0.4576 | no |
| F | 2024-09-30 | 9.30 | 0.2934 | 0.4409 | no |
| FDS | 2024-09-30 | 446.97 | 0.1805 | 0.5046 | no |
| FFIV | 2024-09-30 | 218.98 | 0.2710 | 0.4755 | no |
| GD | 2024-09-30 | 288.74 | 0.2237 | 0.5021 | no |
| IFF | 2024-09-30 | 101.26 | 0.2468 | 0.4420 | no |
| IT | 2024-09-30 | 508.07 | 0.1733 | 0.4698 | no |
| L | 2024-09-30 | 78.57 | 0.2407 | — | no |
| LLY | 2024-09-30 | 852.58 | 0.2953 | 0.4590 | no |
| LRCX | 2024-09-30 | 81.01 | 0.1876 | 0.5359 | no |
| MCHP | 2024-09-30 | 74.83 | 0.2239 | 0.4970 | no |
| MCO | 2024-09-30 | 465.74 | 0.2527 | 0.4995 | no |
| MPC | 2024-09-30 | 156.97 | 0.2456 | 0.4426 | no |
| MTB | 2024-09-30 | 165.86 | 0.2582 | 0.4243 | no |
| NEM | 2024-09-30 | 51.90 | 0.1695 | 0.4891 | no |
| NSC | 2024-09-30 | 237.51 | 0.4348 | 0.4892 | no |
| NTRS | 2024-09-30 | 85.70 | 0.1948 | 0.4399 | no |
| NVR | 2024-09-30 | 9729.76 | 0.2071 | — | no |
| OXY | 2024-09-30 | 49.14 | 0.1776 | 0.4531 | no |
| PFE | 2024-09-30 | 25.42 | 0.2860 | 0.5231 | no |
| QCOM | 2024-09-30 | 164.18 | 0.3181 | 0.5144 | no |
| QRVO | 2024-09-30 | 102.53 | 0.4499 | — | no |
| ROST | 2024-09-30 | 148.88 | 0.2634 | 0.4183 | no |
| SLB | 2024-09-30 | 39.77 | 0.3086 | 0.4149 | no |
| SNA | 2024-09-30 | 273.34 | 0.1923 | 0.4612 | no |
| SWKS | 2024-09-30 | 91.26 | 0.3325 | 0.4819 | no |
| TAP | 2024-09-30 | 52.75 | 0.1935 | 0.4156 | no |
| TEL | 2024-09-30 | 147.14 | 0.2663 | — | no |
| TXN | 2024-09-30 | 195.03 | 0.2191 | 0.5359 | no |
| WY | 2024-09-30 | 31.46 | 0.2700 | 0.4871 | no |