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 | -4.01% | 2.50% | 2024-10-18 | -7.32% |
| buy & hold | participation factor overlay | 6 months | complete | -3.99% | 2.50% | 2024-10-18 | -8.22% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.97% | 2.27% | 2024-11-25 | -7.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.78% | 2.27% | 2024-11-25 | -9.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.02% | 3.37% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -8.39% | 3.37% | 2024-11-25 | -12.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.12% | 2.63% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.74% | 2.63% | 2024-11-25 | -10.64% |
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 | 0.4337 | 0.4541 | no |
| AKAM | 2024-09-30 | 101.43 | 0.1855 | 0.4545 | no |
| APA | 2024-09-30 | 22.40 | 0.2339 | 0.5289 | no |
| APD | 2024-09-30 | 285.13 | 0.2119 | 0.4335 | no |
| AWK | 2024-09-30 | 138.09 | 0.3003 | 0.4485 | no |
| BA | 2024-09-30 | 154.79 | 0.3636 | 0.4985 | no |
| BALL | 2024-09-30 | 65.22 | 0.2260 | 0.4371 | no |
| BKNG | 2024-09-30 | 166.08 | 0.3258 | 0.4192 | no |
| BLDR | 2024-09-30 | 192.28 | 0.3787 | 0.4738 | no |
| BMY | 2024-09-30 | 46.94 | 0.1774 | 0.5419 | no |
| BRK.B | 2024-09-30 | 458.40 | 0.3303 | — | no |
| CNP | 2024-09-30 | 27.80 | 0.2174 | 0.4503 | no |
| CRWD | 2024-09-30 | 71.00 | 0.5997 | 0.5638 | no |
| CSCO | 2024-09-30 | 50.56 | 0.1734 | 0.5173 | no |
| DVN | 2024-09-30 | 36.91 | 0.2829 | 0.4445 | no |
| DXCM | 2024-09-30 | 67.77 | 0.2072 | 0.4456 | no |
| EVRG | 2024-09-30 | 57.67 | 0.3202 | 0.4576 | no |
| F | 2024-09-30 | 9.30 | 0.2380 | 0.4409 | no |
| FDS | 2024-09-30 | 446.97 | 0.1782 | 0.5046 | no |
| FFIV | 2024-09-30 | 218.98 | 0.1841 | 0.4755 | no |
| GD | 2024-09-30 | 288.74 | 0.1665 | 0.5021 | no |
| IFF | 2024-09-30 | 101.26 | 0.2702 | 0.4420 | no |
| IT | 2024-09-30 | 508.07 | 0.2529 | 0.4698 | no |
| LLY | 2024-09-30 | 852.58 | 0.3836 | 0.4590 | no |
| LRCX | 2024-09-30 | 81.01 | 0.2708 | 0.5359 | no |
| MCHP | 2024-09-30 | 74.83 | 0.3039 | 0.4970 | no |
| MCO | 2024-09-30 | 465.74 | 0.2516 | 0.4995 | no |
| MPC | 2024-09-30 | 156.97 | 0.2537 | 0.4426 | no |
| MTB | 2024-09-30 | 165.86 | 0.2021 | 0.4243 | no |
| NDSN | 2024-09-30 | 254.78 | 0.2166 | 0.4226 | no |
| NEM | 2024-09-30 | 51.90 | 0.3485 | 0.4891 | no |
| NI | 2024-09-30 | 32.71 | 0.1742 | 0.4641 | no |
| NSC | 2024-09-30 | 237.51 | 0.3973 | 0.4892 | no |
| NVR | 2024-09-30 | 9729.76 | 0.2265 | — | no |
| ORCL | 2024-09-30 | 165.85 | 0.3896 | 0.5029 | no |
| OXY | 2024-09-30 | 49.14 | 0.2323 | 0.4531 | no |
| PAYX | 2024-09-30 | 123.92 | 0.2797 | 0.4387 | no |
| PCG | 2024-09-30 | 19.62 | 0.1657 | 0.4344 | no |
| PFE | 2024-09-30 | 25.42 | 0.3836 | 0.5231 | no |
| PGR | 2024-09-30 | 232.71 | 0.1864 | 0.4655 | no |
| PSX | 2024-09-30 | 122.46 | 0.1843 | 0.4366 | no |
| QCOM | 2024-09-30 | 164.18 | 0.4076 | 0.5144 | no |
| QRVO | 2024-09-30 | 102.53 | 0.3057 | — | no |
| SNA | 2024-09-30 | 273.34 | 0.2263 | 0.4612 | no |
| SO | 2024-09-30 | 84.35 | 0.2010 | 0.4529 | no |
| SPG | 2024-09-30 | 152.09 | 0.1719 | 0.4118 | no |
| SWKS | 2024-09-30 | 91.26 | 0.2079 | 0.4819 | no |
| TAP | 2024-09-30 | 52.75 | 0.2366 | 0.4156 | no |
| TEL | 2024-09-30 | 147.14 | 0.1973 | — | no |
| TXT | 2024-09-30 | 87.32 | 0.3219 | 0.5124 | no |