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 | -3.72% | 2.71% | 2024-11-25 | -7.24% |
| buy & hold | participation factor overlay | 6 months | complete | -12.31% | 2.71% | 2024-11-25 | -21.20% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.45% | 3.79% | 2024-11-25 | -7.17% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.55% | 3.79% | 2024-11-25 | -17.84% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.19% | 2.15% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -11.30% | 2.15% | 2024-11-25 | -20.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.23% | 1.93% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.11% | 1.93% | 2024-11-25 | -18.88% |
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 |
|---|---|---|---|---|---|
| AAPL | 2024-10-14 | 226.80 | 0.2038 | 0.4878 | no |
| ABNB | 2024-10-14 | 133.97 | 0.6186 | 0.4739 | no |
| ALB | 2024-10-14 | 97.90 | 0.2081 | 0.4582 | no |
| AME | 2024-10-14 | 168.60 | 0.2258 | 0.5114 | no |
| AMP | 2024-10-14 | 490.93 | 0.3724 | 0.4703 | no |
| ANET | 2024-10-14 | 104.79 | 0.2134 | 0.4932 | no |
| BA | 2024-10-14 | 148.00 | 0.2933 | 0.5099 | no |
| BEN | 2024-10-14 | 18.12 | 0.1870 | 0.4930 | no |
| BKNG | 2024-10-14 | 169.12 | 0.2021 | 0.4408 | no |
| BLDR | 2024-10-14 | 193.64 | 0.3076 | 0.4750 | no |
| BX | 2024-10-14 | 144.05 | 0.2427 | 0.4715 | no |
| CCL | 2024-10-14 | 20.01 | 0.2026 | 0.4042 | no |
| CHRW | 2024-10-14 | 106.39 | 0.2176 | 0.4660 | no |
| CMI | 2024-10-14 | 323.73 | 0.1904 | 0.4803 | no |
| CRWD | 2024-10-14 | 80.39 | 0.2204 | 0.5612 | no |
| CSCO | 2024-10-14 | 52.18 | 0.3466 | 0.5315 | no |
| DELL | 2024-10-14 | 125.10 | 0.3612 | 0.4877 | no |
| EIX | 2024-10-14 | 76.13 | 0.2420 | 0.4551 | no |
| ETN | 2024-10-14 | 334.89 | 0.3367 | 0.5198 | no |
| EXC | 2024-10-14 | 36.94 | 0.2377 | 0.4620 | no |
| FDX | 2024-10-14 | 204.65 | 0.2899 | 0.4653 | no |
| FE | 2024-10-14 | 39.43 | 0.3928 | 0.4370 | no |
| FFIV | 2024-10-14 | 221.00 | 0.2980 | 0.4901 | no |
| GD | 2024-10-14 | 289.74 | 0.3125 | 0.5071 | no |
| GILD | 2024-10-14 | 80.47 | 0.2142 | 0.5140 | no |
| HWM | 2024-10-14 | 103.32 | 0.2745 | 0.5122 | no |
| IFF | 2024-10-14 | 98.77 | 0.2099 | 0.4398 | no |
| JBHT | 2024-10-14 | 166.74 | 0.3954 | 0.4656 | no |
| KEYS | 2024-10-14 | 159.00 | 0.2375 | 0.5021 | no |
| MCHP | 2024-10-14 | 74.41 | 0.2050 | 0.4915 | no |
| MPWR | 2024-10-14 | 934.08 | 0.1903 | 0.5366 | no |
| MSFT | 2024-10-14 | 411.27 | 0.1977 | 0.4891 | no |
| NCLH | 2024-10-14 | 23.36 | 0.2328 | 0.4270 | no |
| NEM | 2024-10-14 | 52.46 | 0.1963 | 0.4958 | no |
| ON | 2024-10-14 | 71.00 | 0.2778 | 0.5198 | no |
| ORCL | 2024-10-14 | 173.14 | 0.2440 | 0.5061 | no |
| PNW | 2024-10-14 | 79.67 | 0.1913 | 0.4399 | no |
| PODD | 2024-10-14 | 233.73 | 0.4113 | 0.4437 | no |
| QRVO | 2024-10-14 | 102.50 | 0.4756 | — | no |
| ROK | 2024-10-14 | 263.77 | 0.2751 | 0.5175 | no |
| RTX | 2024-10-14 | 119.54 | 0.2023 | 0.5068 | no |
| SMCI | 2024-10-14 | 48.18 | 0.3977 | 0.4575 | no |
| SPGI | 2024-10-14 | 486.53 | 0.1965 | 0.4965 | no |
| SWKS | 2024-10-14 | 91.04 | 0.3066 | 0.4822 | no |
| TFX | 2024-10-14 | 231.34 | 0.2137 | 0.4791 | no |
| TT | 2024-10-14 | 395.08 | 0.3093 | 0.5092 | no |
| UPS | 2024-10-14 | 118.24 | 0.2618 | 0.4628 | no |
| VLTO | 2024-10-14 | 112.50 | 0.2241 | 0.4879 | no |
| VZ | 2024-10-14 | 38.31 | 0.2209 | 0.4113 | no |
| WTW | 2024-10-14 | 284.76 | 0.2700 | 0.4532 | no |