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 | -3.10% | 2.52% | 2024-12-04 | -6.61% |
| buy & hold | participation factor overlay | 6 months | complete | -15.66% | 2.52% | 2024-12-04 | -17.73% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.08% | 2.59% | 2024-12-04 | -6.34% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -15.73% | 2.59% | 2024-12-04 | -17.86% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.32% | 4.58% | 2024-12-04 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | -14.57% | 5.05% | 2025-01-23 | -18.99% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.57% | 4.32% | 2024-12-04 | -6.86% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -12.08% | 4.62% | 2025-01-23 | -16.45% |
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 |
|---|---|---|---|---|---|
| ADBE | 2024-10-07 | 503.96 | 0.2506 | 0.4702 | no |
| AIG | 2024-10-07 | 71.99 | 0.1903 | 0.4750 | no |
| ALL | 2024-10-07 | 182.81 | 0.1824 | 0.4705 | no |
| ALLE | 2024-10-07 | 141.34 | 0.2479 | 0.4936 | no |
| AMD | 2024-10-07 | 171.08 | 0.3290 | 0.5213 | no |
| AME | 2024-10-07 | 164.14 | 0.2107 | 0.5103 | no |
| ANET | 2024-10-07 | 98.50 | 0.2382 | 0.4869 | no |
| APD | 2024-10-07 | 292.57 | 0.3903 | 0.4315 | no |
| AWK | 2024-10-07 | 135.06 | 0.2794 | 0.4483 | no |
| BA | 2024-10-07 | 155.00 | 0.4183 | 0.4997 | no |
| BALL | 2024-10-07 | 63.53 | 0.2061 | 0.4356 | no |
| BDX | 2024-10-07 | 178.97 | 0.2024 | 0.4640 | no |
| BEN | 2024-10-07 | 17.98 | 0.2835 | 0.4843 | no |
| BRK.B | 2024-10-07 | 462.34 | 0.2675 | — | no |
| CB | 2024-10-07 | 283.96 | 0.2416 | 0.4674 | no |
| CE | 2024-10-07 | 132.34 | 0.2480 | 0.4426 | no |
| CRM | 2024-10-07 | 282.46 | 0.2443 | 0.4758 | no |
| CRWD | 2024-10-07 | 72.75 | 0.6132 | 0.5611 | no |
| CSCO | 2024-10-07 | 50.52 | 0.3271 | 0.5196 | no |
| DAL | 2024-10-07 | 47.97 | 0.2349 | 0.4355 | no |
| DLTR | 2024-10-07 | 71.45 | 0.3729 | 0.5229 | no |
| EIX | 2024-10-07 | 77.60 | 0.2239 | 0.4608 | no |
| GEN | 2024-10-07 | 26.47 | 0.3200 | 0.5046 | no |
| HIG | 2024-10-07 | 113.77 | 0.2592 | 0.4537 | no |
| HPE | 2024-10-07 | 19.61 | 0.2068 | 0.4787 | no |
| HWM | 2024-10-07 | 101.26 | 0.1858 | 0.5083 | no |
| IT | 2024-10-07 | 511.51 | 0.3797 | 0.4682 | no |
| ITW | 2024-10-07 | 245.61 | 0.2522 | 0.4961 | no |
| LKQ | 2024-10-07 | 36.43 | 0.4417 | 0.4733 | no |
| LLY | 2024-10-07 | 878.21 | 0.4243 | 0.4398 | no |
| LRCX | 2024-10-07 | 79.45 | 0.4395 | 0.5322 | no |
| LUV | 2024-10-07 | 29.93 | 0.2081 | 0.4483 | no |
| MLM | 2024-10-07 | 514.13 | 0.2253 | 0.5027 | no |
| MOS | 2024-10-07 | 25.24 | 0.3488 | 0.4214 | no |
| MU | 2024-10-07 | 101.64 | 0.2140 | 0.5578 | no |
| NDSN | 2024-10-07 | 244.87 | 0.3478 | 0.4209 | no |
| ON | 2024-10-07 | 70.62 | 0.3105 | 0.5203 | no |
| ORCL | 2024-10-07 | 166.75 | 0.3973 | 0.5043 | no |
| PAYX | 2024-10-07 | 128.43 | 0.3677 | 0.4622 | no |
| PGR | 2024-10-07 | 234.61 | 0.3223 | 0.4650 | no |
| PSX | 2024-10-07 | 129.26 | 0.2424 | 0.4118 | no |
| QCOM | 2024-10-07 | 160.61 | 0.3286 | 0.5106 | no |
| QRVO | 2024-10-07 | 101.10 | 0.5841 | — | no |
| ROST | 2024-10-07 | 142.28 | 0.2164 | 0.4200 | no |
| SWKS | 2024-10-07 | 89.40 | 0.5927 | 0.4750 | no |
| TDY | 2024-10-07 | 438.16 | 0.1878 | 0.4662 | no |
| UPS | 2024-10-07 | 115.63 | 0.2590 | 0.4578 | no |
| VLO | 2024-10-07 | 134.64 | 0.4151 | 0.4085 | no |
| VZ | 2024-10-07 | 38.66 | 0.3391 | 0.4179 | no |
| WMT | 2024-10-07 | 79.24 | 0.2462 | 0.5084 | no |