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 | -3.19% | 2.55% | 2024-12-02 | -7.04% |
| buy & hold | participation factor overlay | 6 months | complete | -15.02% | 2.55% | 2024-12-02 | -17.13% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.49% | 3.35% | 2024-12-02 | -6.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -15.20% | 3.35% | 2024-12-02 | -17.94% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.94% | 3.06% | 2024-12-02 | -6.82% |
| weekly rebalance | participation factor overlay | 6 months | complete | -15.43% | 3.42% | 2025-01-23 | -18.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.78% | 4.07% | 2024-12-02 | -7.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -12.88% | 4.49% | 2025-01-23 | -17.18% |
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 | 2024-10-07 | 129.09 | 0.4853 | 0.4621 | no |
| AMD | 2024-10-07 | 171.08 | 0.2884 | 0.5213 | no |
| ANET | 2024-10-07 | 98.50 | 0.4122 | 0.4869 | no |
| APA | 2024-10-07 | 24.88 | 0.2475 | 0.5017 | no |
| BA | 2024-10-07 | 155.00 | 0.4055 | 0.4997 | no |
| BALL | 2024-10-07 | 63.53 | 0.2403 | 0.4356 | no |
| BIIB | 2024-10-07 | 184.76 | 0.2398 | 0.4598 | no |
| BKNG | 2024-10-07 | 164.34 | 0.2249 | 0.4246 | no |
| BRK.B | 2024-10-07 | 462.34 | 0.1999 | — | no |
| CB | 2024-10-07 | 283.96 | 0.2284 | 0.4674 | no |
| CCI | 2024-10-07 | 99.58 | 0.1993 | 0.4495 | no |
| COST | 2024-10-07 | 872.01 | 0.1960 | 0.5403 | no |
| CRWD | 2024-10-07 | 72.75 | 0.7337 | 0.5611 | no |
| CSCO | 2024-10-07 | 50.52 | 0.3199 | 0.5196 | no |
| DAL | 2024-10-07 | 47.97 | 0.3956 | 0.4355 | no |
| EG | 2024-10-07 | 386.55 | 0.2576 | 0.4790 | no |
| FDS | 2024-10-07 | 443.27 | 0.2231 | 0.5042 | no |
| FITB | 2024-10-07 | 39.44 | 0.1956 | 0.4085 | no |
| GD | 2024-10-07 | 288.07 | 0.2073 | 0.5000 | no |
| GEN | 2024-10-07 | 26.47 | 0.3602 | 0.5046 | no |
| HIG | 2024-10-07 | 113.77 | 0.2924 | 0.4537 | no |
| HWM | 2024-10-07 | 101.26 | 0.1985 | 0.5083 | no |
| IFF | 2024-10-07 | 96.30 | 0.2078 | 0.4405 | no |
| IT | 2024-10-07 | 511.51 | 0.2425 | 0.4682 | no |
| ITW | 2024-10-07 | 245.61 | 0.2161 | 0.4961 | no |
| LKQ | 2024-10-07 | 36.43 | 0.4308 | 0.4733 | no |
| LLY | 2024-10-07 | 878.21 | 0.3136 | 0.4398 | no |
| LRCX | 2024-10-07 | 79.45 | 0.3615 | 0.5322 | no |
| MAS | 2024-10-07 | 78.81 | 0.2531 | 0.5150 | no |
| MOH | 2024-10-07 | 329.62 | 0.2889 | 0.4169 | no |
| MTB | 2024-10-07 | 168.11 | 0.3094 | 0.4243 | no |
| NDSN | 2024-10-07 | 244.87 | 0.3766 | 0.4209 | no |
| NSC | 2024-10-07 | 236.11 | 0.2123 | 0.4764 | no |
| NTRS | 2024-10-07 | 86.07 | 0.2282 | 0.4417 | no |
| ON | 2024-10-07 | 70.62 | 0.2549 | 0.5203 | no |
| OXY | 2024-10-07 | 53.77 | 0.2716 | 0.4547 | no |
| PAYX | 2024-10-07 | 128.43 | 0.3245 | 0.4622 | no |
| PCG | 2024-10-07 | 19.31 | 0.3204 | 0.4386 | no |
| PFE | 2024-10-07 | 25.65 | 0.1975 | 0.5089 | no |
| PGR | 2024-10-07 | 234.61 | 0.2202 | 0.4650 | no |
| PNC | 2024-10-07 | 170.03 | 0.2883 | 0.4306 | no |
| PSX | 2024-10-07 | 129.26 | 0.2093 | 0.4118 | no |
| QRVO | 2024-10-07 | 101.10 | 0.6363 | — | no |
| ROST | 2024-10-07 | 142.28 | 0.2370 | 0.4200 | no |
| SLB | 2024-10-07 | 43.21 | 0.2085 | 0.4117 | no |
| SWKS | 2024-10-07 | 89.40 | 0.4733 | 0.4750 | no |
| TEL | 2024-10-07 | 140.36 | 0.2451 | — | no |
| VLO | 2024-10-07 | 134.64 | 0.4256 | 0.4085 | no |
| VZ | 2024-10-07 | 38.66 | 0.2671 | 0.4179 | no |
| WRB | 2024-10-07 | 55.33 | 0.1988 | 0.4493 | no |