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 | -4.46% | 2.85% | 2024-11-29 | -7.82% |
| buy & hold | participation factor overlay | 6 months | complete | -5.89% | 2.85% | 2024-11-29 | -10.76% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.45% | 2.66% | 2024-11-25 | -6.81% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.37% | 2.66% | 2024-11-25 | -9.46% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.32% | 1.70% | 2024-12-02 | -7.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | -10.55% | 1.70% | 2024-12-02 | -12.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.24% | 1.79% | 2024-12-02 | -7.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -8.78% | 1.79% | 2024-12-02 | -11.68% |
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 | 0.6170 | 0.4541 | no |
| ALB | 2024-09-30 | 93.08 | 0.2841 | 0.4618 | no |
| APD | 2024-09-30 | 285.13 | 0.2016 | 0.4335 | no |
| AWK | 2024-09-30 | 138.09 | 0.3134 | 0.4485 | no |
| BA | 2024-09-30 | 154.79 | 0.3881 | 0.4985 | no |
| BALL | 2024-09-30 | 65.22 | 0.1795 | 0.4371 | no |
| BBY | 2024-09-30 | 92.63 | 0.2258 | 0.4942 | no |
| BEN | 2024-09-30 | 18.49 | 0.2228 | 0.4772 | no |
| BIO | 2024-09-30 | 330.90 | 0.2083 | 0.4153 | no |
| BKNG | 2024-09-30 | 166.08 | 0.4165 | 0.4192 | no |
| BRK.B | 2024-09-30 | 458.40 | 0.2636 | — | no |
| BXP | 2024-09-30 | 73.04 | 0.1994 | 0.4036 | no |
| COST | 2024-09-30 | 881.67 | 0.2018 | 0.5388 | no |
| CRWD | 2024-09-30 | 71.00 | 0.7064 | 0.5638 | no |
| CSGP | 2024-09-30 | 74.95 | 0.2133 | 0.4842 | no |
| CTAS | 2024-09-30 | 199.94 | 0.1970 | 0.4790 | no |
| DAL | 2024-09-30 | 50.30 | 0.2759 | 0.4294 | no |
| DVN | 2024-09-30 | 36.91 | 0.2777 | 0.4445 | no |
| DXCM | 2024-09-30 | 67.77 | 0.4203 | 0.4456 | no |
| EVRG | 2024-09-30 | 57.67 | 0.2648 | 0.4576 | no |
| FFIV | 2024-09-30 | 218.98 | 0.2250 | 0.4755 | no |
| HII | 2024-09-30 | 252.24 | 0.1869 | 0.5162 | no |
| IFF | 2024-09-30 | 101.26 | 0.2539 | 0.4420 | no |
| INTU | 2024-09-30 | 607.41 | 0.1871 | 0.4614 | no |
| L | 2024-09-30 | 78.57 | 0.2713 | — | no |
| LIN | 2024-09-30 | 466.91 | 0.2832 | 0.4368 | no |
| LLY | 2024-09-30 | 852.58 | 0.3842 | 0.4590 | no |
| LW | 2024-09-30 | 63.12 | 0.1906 | 0.4166 | no |
| MCHP | 2024-09-30 | 74.83 | 0.3421 | 0.4970 | no |
| MCO | 2024-09-30 | 465.74 | 0.1949 | 0.4995 | no |
| MPC | 2024-09-30 | 156.97 | 0.2245 | 0.4426 | no |
| MTB | 2024-09-30 | 165.86 | 0.3177 | 0.4243 | no |
| NEM | 2024-09-30 | 51.90 | 0.3245 | 0.4891 | no |
| NSC | 2024-09-30 | 237.51 | 0.3034 | 0.4892 | no |
| NVR | 2024-09-30 | 9729.76 | 0.1806 | — | no |
| ORCL | 2024-09-30 | 165.85 | 0.3381 | 0.5029 | no |
| PFE | 2024-09-30 | 25.42 | 0.2595 | 0.5231 | no |
| PGR | 2024-09-30 | 232.71 | 0.2394 | 0.4655 | no |
| QCOM | 2024-09-30 | 164.18 | 0.4389 | 0.5144 | no |
| QRVO | 2024-09-30 | 102.53 | 0.4136 | — | no |
| ROST | 2024-09-30 | 148.88 | 0.2786 | 0.4183 | no |
| SLB | 2024-09-30 | 39.77 | 0.2237 | 0.4149 | no |
| SNA | 2024-09-30 | 273.34 | 0.2161 | 0.4612 | no |
| SO | 2024-09-30 | 84.35 | 0.2802 | 0.4529 | no |
| SWKS | 2024-09-30 | 91.26 | 0.3531 | 0.4819 | no |
| TAP | 2024-09-30 | 52.75 | 0.2022 | 0.4156 | no |
| TEL | 2024-09-30 | 147.14 | 0.2572 | — | no |
| TXT | 2024-09-30 | 87.32 | 0.1982 | 0.5124 | no |
| USB | 2024-09-30 | 42.11 | 0.1947 | 0.4361 | no |
| WY | 2024-09-30 | 31.46 | 0.2774 | 0.4871 | no |