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 | -2.07% | 4.00% | 2024-12-02 | -6.83% |
| buy & hold | participation factor overlay | 6 months | complete | -14.62% | 4.00% | 2024-12-02 | -17.90% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.93% | 3.29% | 2024-12-02 | -6.14% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -15.15% | 3.29% | 2024-12-02 | -17.85% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.31% | 2.24% | 2024-12-02 | -7.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | -19.19% | 2.24% | 2024-12-02 | -21.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.03% | 2.57% | 2024-12-02 | -7.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -17.33% | 2.57% | 2024-12-02 | -20.20% |
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 | 0.7396 | 0.4621 | no |
| ADBE | 2024-10-07 | 503.96 | 0.2146 | 0.4702 | no |
| AKAM | 2024-10-07 | 101.25 | 0.2090 | 0.4537 | no |
| AMD | 2024-10-07 | 171.08 | 0.5397 | 0.5213 | no |
| ANET | 2024-10-07 | 98.50 | 0.3335 | 0.4869 | no |
| AON | 2024-10-07 | 342.74 | 0.2350 | 0.4579 | no |
| APD | 2024-10-07 | 292.57 | 0.2791 | 0.4315 | no |
| BA | 2024-10-07 | 155.00 | 0.4788 | 0.4997 | no |
| BMY | 2024-10-07 | 49.76 | 0.1945 | 0.5215 | no |
| BRK.B | 2024-10-07 | 462.34 | 0.3767 | — | no |
| CB | 2024-10-07 | 283.96 | 0.2708 | 0.4674 | no |
| COST | 2024-10-07 | 872.01 | 0.2391 | 0.5403 | no |
| CRWD | 2024-10-07 | 72.75 | 0.8525 | 0.5611 | no |
| CTAS | 2024-10-07 | 199.47 | 0.2118 | 0.4769 | no |
| DAL | 2024-10-07 | 47.97 | 0.2025 | 0.4355 | no |
| ED | 2024-10-07 | 96.06 | 0.2109 | — | no |
| EIX | 2024-10-07 | 77.60 | 0.2359 | 0.4608 | no |
| FDS | 2024-10-07 | 443.27 | 0.1923 | 0.5042 | no |
| HIG | 2024-10-07 | 113.77 | 0.2638 | 0.4537 | no |
| INTC | 2024-10-07 | 22.40 | 0.2002 | 0.5271 | no |
| IT | 2024-10-07 | 511.51 | 0.2953 | 0.4682 | no |
| ITW | 2024-10-07 | 245.61 | 0.2635 | 0.4961 | no |
| JCI | 2024-10-07 | 73.65 | 0.2203 | 0.5125 | no |
| LKQ | 2024-10-07 | 36.43 | 0.2119 | 0.4733 | no |
| LLY | 2024-10-07 | 878.21 | 0.3514 | 0.4398 | no |
| LRCX | 2024-10-07 | 79.45 | 0.2975 | 0.5322 | no |
| MAS | 2024-10-07 | 78.81 | 0.2310 | 0.5150 | no |
| MLM | 2024-10-07 | 514.13 | 0.2964 | 0.5027 | no |
| MPC | 2024-10-07 | 164.63 | 0.2012 | 0.4302 | no |
| MSFT | 2024-10-07 | 409.53 | 0.4033 | 0.4877 | no |
| NDSN | 2024-10-07 | 244.87 | 0.2949 | 0.4209 | no |
| NSC | 2024-10-07 | 236.11 | 0.1864 | 0.4764 | no |
| ON | 2024-10-07 | 70.62 | 0.3340 | 0.5203 | no |
| ORCL | 2024-10-07 | 166.75 | 0.3522 | 0.5043 | no |
| PFE | 2024-10-07 | 25.65 | 0.1896 | 0.5089 | no |
| PGR | 2024-10-07 | 234.61 | 0.2542 | 0.4650 | no |
| PODD | 2024-10-07 | 228.78 | 0.2486 | 0.4469 | no |
| PSX | 2024-10-07 | 129.26 | 0.3411 | 0.4118 | no |
| QCOM | 2024-10-07 | 160.61 | 0.3899 | 0.5106 | no |
| QRVO | 2024-10-07 | 101.10 | 0.6655 | — | no |
| REGN | 2024-10-07 | 1001.77 | 0.2767 | 0.4865 | no |
| ROST | 2024-10-07 | 142.28 | 0.3149 | 0.4200 | no |
| RTX | 2024-10-07 | 120.61 | 0.1852 | 0.4986 | no |
| SWKS | 2024-10-07 | 89.40 | 0.6993 | 0.4750 | no |
| UAL | 2024-10-07 | 59.00 | 0.2115 | 0.4444 | no |
| USB | 2024-10-07 | 41.47 | 0.2963 | 0.4363 | no |
| VLO | 2024-10-07 | 134.64 | 0.4973 | 0.4085 | no |
| VZ | 2024-10-07 | 38.66 | 0.2645 | 0.4179 | no |
| WMT | 2024-10-07 | 79.24 | 0.2492 | 0.5084 | no |
| WTW | 2024-10-07 | 284.66 | 0.2184 | 0.4557 | no |