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 | -2.60% | 3.28% | 2024-12-04 | -6.49% |
| buy & hold | participation factor overlay | 6 months | complete | -10.83% | 3.28% | 2024-12-04 | -19.95% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.89% | 4.33% | 2024-12-04 | -6.76% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -11.00% | 4.33% | 2024-12-04 | -20.76% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.75% | 1.02% | 2024-12-02 | -7.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | -13.99% | 1.02% | 2024-12-02 | -22.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.48% | 1.37% | 2024-12-02 | -7.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -12.55% | 1.37% | 2024-12-02 | -21.46% |
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 | 2024-10-14 | 133.97 | 0.7465 | 0.4739 | no |
| ALB | 2024-10-14 | 97.90 | 0.2146 | 0.4582 | no |
| AMAT | 2024-10-14 | 203.70 | 0.2437 | 0.5515 | no |
| AMP | 2024-10-14 | 490.93 | 0.2957 | 0.4703 | no |
| ANET | 2024-10-14 | 104.79 | 0.2714 | 0.4932 | no |
| BA | 2024-10-14 | 148.00 | 0.3037 | 0.5099 | no |
| BAX | 2024-10-14 | 35.71 | 0.1957 | 0.4525 | no |
| BMY | 2024-10-14 | 48.05 | 0.2166 | 0.4997 | no |
| CCL | 2024-10-14 | 20.01 | 0.2187 | 0.4042 | no |
| CRWD | 2024-10-14 | 80.39 | 0.4455 | 0.5612 | no |
| CSCO | 2024-10-14 | 52.18 | 0.2407 | 0.5315 | no |
| DE | 2024-10-14 | 398.78 | 0.3243 | 0.4584 | no |
| DELL | 2024-10-14 | 125.10 | 0.5484 | 0.4877 | no |
| ED | 2024-10-14 | 95.17 | 0.2729 | — | no |
| EIX | 2024-10-14 | 76.13 | 0.2390 | 0.4551 | no |
| ETN | 2024-10-14 | 334.89 | 0.4126 | 0.5198 | no |
| FE | 2024-10-14 | 39.43 | 0.1977 | 0.4370 | no |
| FFIV | 2024-10-14 | 221.00 | 0.2582 | 0.4901 | no |
| GD | 2024-10-14 | 289.74 | 0.2113 | 0.5071 | no |
| GILD | 2024-10-14 | 80.47 | 0.2027 | 0.5140 | no |
| HWM | 2024-10-14 | 103.32 | 0.2995 | 0.5122 | no |
| IFF | 2024-10-14 | 98.77 | 0.3646 | 0.4398 | no |
| INTU | 2024-10-14 | 610.51 | 0.2553 | 0.4669 | no |
| IT | 2024-10-14 | 524.57 | 0.2734 | 0.4694 | no |
| JBHT | 2024-10-14 | 166.74 | 0.2599 | 0.4656 | no |
| KEYS | 2024-10-14 | 159.00 | 0.2207 | 0.5021 | no |
| KKR | 2024-10-14 | 134.52 | 0.2254 | 0.4880 | no |
| LKQ | 2024-10-14 | 36.17 | 0.2752 | 0.4816 | no |
| LLY | 2024-10-14 | 923.07 | 0.2008 | 0.4377 | no |
| MSFT | 2024-10-14 | 411.27 | 0.3069 | 0.4891 | no |
| NCLH | 2024-10-14 | 23.36 | 0.3820 | 0.4270 | no |
| NDSN | 2024-10-14 | 249.40 | 0.2309 | 0.4195 | no |
| NOW | 2024-10-14 | 189.48 | 0.2419 | 0.4921 | no |
| ON | 2024-10-14 | 71.00 | 0.2546 | 0.5198 | no |
| ORCL | 2024-10-14 | 173.14 | 0.2270 | 0.5061 | no |
| PAYX | 2024-10-14 | 129.57 | 0.1924 | 0.4631 | no |
| PGR | 2024-10-14 | 234.42 | 0.2699 | 0.4637 | no |
| PODD | 2024-10-14 | 233.73 | 0.5554 | 0.4437 | no |
| QCOM | 2024-10-14 | 164.15 | 0.2019 | 0.5155 | no |
| QRVO | 2024-10-14 | 102.50 | 0.2073 | — | no |
| REGN | 2024-10-14 | 1008.96 | 0.2245 | 0.4808 | no |
| ROK | 2024-10-14 | 263.77 | 0.2619 | 0.5175 | no |
| SMCI | 2024-10-14 | 48.18 | 0.7855 | 0.4575 | no |
| SWKS | 2024-10-14 | 91.04 | 0.3459 | 0.4822 | no |
| UNH | 2024-10-14 | 571.18 | 0.2078 | 0.4346 | no |
| WAB | 2024-10-14 | 185.56 | 0.2268 | 0.4940 | no |
| WMT | 2024-10-14 | 78.62 | 0.2445 | 0.5021 | no |
| WTW | 2024-10-14 | 284.76 | 0.2581 | 0.4532 | no |
| ZBH | 2024-10-14 | 101.97 | 0.2106 | 0.4701 | no |
| ZBRA | 2024-10-14 | 374.76 | 0.1982 | 0.4573 | no |