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 | -5.01% | 2.07% | 2024-10-18 | -7.72% |
| buy & hold | participation factor overlay | 6 months | complete | -5.59% | 2.07% | 2024-10-18 | -9.13% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.77% | 4.80% | 2024-11-29 | -7.02% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.28% | 4.80% | 2024-11-29 | -9.61% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.06% | 4.49% | 2024-12-04 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.56% | 4.96% | 2025-01-23 | -10.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.49% | 3.85% | 2024-12-04 | -6.86% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.28% | 4.15% | 2025-01-23 | -8.22% |
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 | 0.4536 | 0.4541 | no |
| AIG | 2024-09-30 | 70.03 | 0.2695 | 0.4746 | no |
| ALB | 2024-09-30 | 93.08 | 0.2457 | 0.4618 | no |
| AWK | 2024-09-30 | 138.09 | 0.3658 | 0.4485 | no |
| BA | 2024-09-30 | 154.79 | 0.2658 | 0.4985 | no |
| BAC | 2024-09-30 | 37.53 | 0.2549 | 0.4453 | no |
| BALL | 2024-09-30 | 65.22 | 0.2275 | 0.4371 | no |
| BEN | 2024-09-30 | 18.49 | 0.3587 | 0.4772 | no |
| BIO | 2024-09-30 | 330.90 | 0.2200 | 0.4153 | no |
| BKNG | 2024-09-30 | 166.08 | 0.3340 | 0.4192 | no |
| BLDR | 2024-09-30 | 192.28 | 0.2407 | 0.4738 | no |
| BMY | 2024-09-30 | 46.94 | 0.1860 | 0.5419 | no |
| BRK.B | 2024-09-30 | 458.40 | 0.3863 | — | no |
| CCI | 2024-09-30 | 105.37 | 0.2037 | 0.4347 | no |
| CE | 2024-09-30 | 137.46 | 0.2297 | 0.4451 | no |
| CRWD | 2024-09-30 | 71.00 | 0.7961 | 0.5638 | no |
| CSGP | 2024-09-30 | 74.95 | 0.2956 | 0.4842 | no |
| DOW | 2024-09-30 | 48.84 | 0.1849 | 0.4691 | no |
| DVN | 2024-09-30 | 36.91 | 0.3829 | 0.4445 | no |
| DXCM | 2024-09-30 | 67.77 | 0.2175 | 0.4456 | no |
| EVRG | 2024-09-30 | 57.67 | 0.2511 | 0.4576 | no |
| GD | 2024-09-30 | 288.74 | 0.1925 | 0.5021 | no |
| GEHC | 2024-09-30 | 92.18 | 0.2013 | 0.4447 | no |
| GEN | 2024-09-30 | 26.48 | 0.2515 | 0.5037 | no |
| GILD | 2024-09-30 | 78.80 | 0.2881 | 0.5314 | no |
| HPE | 2024-09-30 | 19.21 | 0.2841 | 0.4772 | no |
| IFF | 2024-09-30 | 101.26 | 0.2961 | 0.4420 | no |
| IT | 2024-09-30 | 508.07 | 0.2570 | 0.4698 | no |
| LIN | 2024-09-30 | 466.91 | 0.2440 | 0.4368 | no |
| LKQ | 2024-09-30 | 37.35 | 0.1912 | 0.4830 | no |
| LRCX | 2024-09-30 | 81.01 | 0.2158 | 0.5359 | no |
| MCO | 2024-09-30 | 465.74 | 0.2426 | 0.4995 | no |
| MTB | 2024-09-30 | 165.86 | 0.2047 | 0.4243 | no |
| NEM | 2024-09-30 | 51.90 | 0.2511 | 0.4891 | no |
| NSC | 2024-09-30 | 237.51 | 0.4765 | 0.4892 | no |
| ORCL | 2024-09-30 | 165.85 | 0.2771 | 0.5029 | no |
| PAYX | 2024-09-30 | 123.92 | 0.2310 | 0.4387 | no |
| PFE | 2024-09-30 | 25.42 | 0.2370 | 0.5231 | no |
| PSX | 2024-09-30 | 122.46 | 0.2367 | 0.4366 | no |
| QCOM | 2024-09-30 | 164.18 | 0.3610 | 0.5144 | no |
| QRVO | 2024-09-30 | 102.53 | 0.6125 | — | no |
| ROST | 2024-09-30 | 148.88 | 0.2689 | 0.4183 | no |
| SLB | 2024-09-30 | 39.77 | 0.2955 | 0.4149 | no |
| SNA | 2024-09-30 | 273.34 | 0.2737 | 0.4612 | no |
| SO | 2024-09-30 | 84.35 | 0.2723 | 0.4529 | no |
| SPG | 2024-09-30 | 152.09 | 0.2177 | 0.4118 | no |
| SWKS | 2024-09-30 | 91.26 | 0.3159 | 0.4819 | no |
| UPS | 2024-09-30 | 118.91 | 0.2637 | 0.4681 | no |
| WMT | 2024-09-30 | 78.46 | 0.2525 | 0.5074 | no |
| WY | 2024-09-30 | 31.46 | 0.2487 | 0.4871 | no |