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 | -4.55% | 1.49% | 2024-10-14 | -7.16% |
| buy & hold | participation factor overlay | 6 months | complete | -16.60% | 1.49% | 2024-10-14 | -17.82% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.92% | 2.80% | 2024-12-02 | -6.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -16.30% | 2.80% | 2024-12-02 | -18.59% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.24% | 3.05% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -16.63% | 3.05% | 2024-11-25 | -19.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.48% | 2.93% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -14.37% | 2.93% | 2024-11-25 | -17.59% |
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 | 0.2661 | 0.4621 | no |
| AFL | 2024-10-07 | 110.27 | 0.2486 | 0.4761 | no |
| AIG | 2024-10-07 | 71.99 | 0.2523 | 0.4750 | no |
| ALGN | 2024-10-07 | 239.98 | 0.3263 | 0.4223 | no |
| ALL | 2024-10-07 | 182.81 | 0.2119 | 0.4705 | no |
| AMD | 2024-10-07 | 171.08 | 0.3907 | 0.5213 | no |
| ANET | 2024-10-07 | 98.50 | 0.2469 | 0.4869 | no |
| BA | 2024-10-07 | 155.00 | 0.3622 | 0.4997 | no |
| BLDR | 2024-10-07 | 190.08 | 0.2441 | 0.4762 | no |
| BRK.B | 2024-10-07 | 462.34 | 0.3282 | — | no |
| CB | 2024-10-07 | 283.96 | 0.2459 | 0.4674 | no |
| CRWD | 2024-10-07 | 72.75 | 0.5685 | 0.5611 | no |
| CSCO | 2024-10-07 | 50.52 | 0.2654 | 0.5196 | no |
| CTAS | 2024-10-07 | 199.47 | 0.2549 | 0.4769 | no |
| DAL | 2024-10-07 | 47.97 | 0.3970 | 0.4355 | no |
| EFX | 2024-10-07 | 278.81 | 0.2070 | 0.4733 | no |
| F | 2024-10-07 | 9.37 | 0.3673 | 0.4378 | no |
| FDX | 2024-10-07 | 200.81 | 0.3294 | 0.4647 | no |
| GD | 2024-10-07 | 288.07 | 0.2482 | 0.5000 | no |
| GEN | 2024-10-07 | 26.47 | 0.3022 | 0.5046 | no |
| GIS | 2024-10-07 | 66.45 | 0.2652 | 0.4099 | no |
| HIG | 2024-10-07 | 113.77 | 0.2944 | 0.4537 | no |
| IT | 2024-10-07 | 511.51 | 0.2471 | 0.4682 | no |
| ITW | 2024-10-07 | 245.61 | 0.2614 | 0.4961 | no |
| KHC | 2024-10-07 | 30.68 | 0.2653 | 0.4142 | no |
| KKR | 2024-10-07 | 131.24 | 0.2627 | 0.4784 | no |
| LKQ | 2024-10-07 | 36.43 | 0.2643 | 0.4733 | no |
| LLY | 2024-10-07 | 878.21 | 0.3022 | 0.4398 | no |
| LRCX | 2024-10-07 | 79.45 | 0.4176 | 0.5322 | no |
| MAS | 2024-10-07 | 78.81 | 0.2673 | 0.5150 | no |
| MPC | 2024-10-07 | 164.63 | 0.2391 | 0.4302 | no |
| MSFT | 2024-10-07 | 409.53 | 0.2763 | 0.4877 | no |
| NDSN | 2024-10-07 | 244.87 | 0.3171 | 0.4209 | no |
| NEM | 2024-10-07 | 51.41 | 0.2181 | 0.4928 | no |
| ON | 2024-10-07 | 70.62 | 0.2492 | 0.5203 | no |
| ORCL | 2024-10-07 | 166.75 | 0.2184 | 0.5043 | no |
| OXY | 2024-10-07 | 53.77 | 0.2442 | 0.4547 | no |
| PCG | 2024-10-07 | 19.31 | 0.2530 | 0.4386 | no |
| PGR | 2024-10-07 | 234.61 | 0.3681 | 0.4650 | no |
| PNC | 2024-10-07 | 170.03 | 0.2133 | 0.4306 | no |
| PSX | 2024-10-07 | 129.26 | 0.4146 | 0.4118 | no |
| QCOM | 2024-10-07 | 160.61 | 0.2534 | 0.5106 | no |
| QRVO | 2024-10-07 | 101.10 | 0.4968 | — | no |
| SWKS | 2024-10-07 | 89.40 | 0.5541 | 0.4750 | no |
| TXT | 2024-10-07 | 86.07 | 0.2323 | 0.5104 | no |
| UPS | 2024-10-07 | 115.63 | 0.2809 | 0.4578 | no |
| VLO | 2024-10-07 | 134.64 | 0.3311 | 0.4085 | no |
| VRSN | 2024-10-07 | 183.55 | 0.2401 | 0.4301 | no |
| VZ | 2024-10-07 | 38.66 | 0.2659 | 0.4179 | no |
| WMT | 2024-10-07 | 79.24 | 0.2394 | 0.5084 | no |