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 | 1.11% | 4.19% | 2024-11-29 | -6.70% |
| buy & hold | participation factor overlay | 6 months | complete | -6.24% | 4.19% | 2024-11-29 | -18.71% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.64% | 3.91% | 2024-12-02 | -6.67% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -9.04% | 3.91% | 2024-12-02 | -20.54% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.39% | 3.37% | 2024-12-02 | -7.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.53% | 3.37% | 2024-12-02 | -22.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.31% | 3.01% | 2024-12-02 | -7.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.57% | 3.01% | 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 | 2024-10-28 | 136.30 | 0.3393 | 0.4790 | no |
| AKAM | 2024-10-28 | 102.94 | 0.1803 | 0.4629 | no |
| ALB | 2024-10-28 | 90.87 | 0.3675 | 0.4585 | no |
| ALGN | 2024-10-28 | 219.69 | 0.4467 | 0.4107 | no |
| AMCR | 2024-10-28 | 49.41 | 0.2597 | 0.4452 | no |
| AME | 2024-10-28 | 166.33 | 0.2022 | 0.5110 | no |
| AMZN | 2024-10-28 | 189.57 | 0.2052 | 0.4499 | no |
| AXON | 2024-10-28 | 449.10 | 0.2889 | 0.4632 | no |
| BX | 2024-10-28 | 158.67 | 0.4267 | 0.4731 | no |
| CDW | 2024-10-28 | 208.13 | 0.2171 | 0.5051 | no |
| CEG | 2024-10-28 | 263.82 | 0.4016 | 0.4447 | no |
| CINF | 2024-10-28 | 136.56 | 0.2301 | 0.4796 | no |
| CMG | 2024-10-28 | 59.85 | 0.2360 | 0.4139 | no |
| COST | 2024-10-28 | 886.24 | 0.2697 | 0.5352 | no |
| CRM | 2024-10-28 | 289.38 | 0.2989 | 0.4755 | no |
| D | 2024-10-28 | 54.85 | 0.2395 | 0.4756 | no |
| DELL | 2024-10-28 | 119.71 | 0.2818 | 0.4897 | no |
| DXCM | 2024-10-28 | 73.48 | 0.2029 | 0.4381 | no |
| EXC | 2024-10-28 | 37.34 | 0.2079 | 0.4620 | no |
| FAST | 2024-10-28 | 36.89 | 0.2818 | 0.4798 | no |
| FCX | 2024-10-28 | 45.83 | 0.3120 | 0.4655 | no |
| FE | 2024-10-28 | 40.27 | 0.3333 | 0.4370 | no |
| FTNT | 2024-10-28 | 81.16 | 0.2042 | 0.5364 | no |
| GD | 2024-10-28 | 293.08 | 0.2060 | 0.5229 | no |
| JBHT | 2024-10-28 | 172.68 | 0.2916 | 0.4821 | no |
| JBL | 2024-10-28 | 124.86 | 0.2275 | 0.4923 | no |
| KLAC | 2024-10-28 | 66.31 | 0.3035 | 0.5401 | no |
| LVS | 2024-10-28 | 50.71 | 0.2500 | 0.4389 | no |
| MDLZ | 2024-10-28 | 65.63 | 0.2586 | 0.4127 | no |
| MKC | 2024-10-28 | 74.56 | 0.3396 | 0.4194 | no |
| NCLH | 2024-10-28 | 24.46 | 0.4735 | 0.4283 | no |
| NDAQ | 2024-10-28 | 73.49 | 0.1960 | 0.5189 | no |
| NSC | 2024-10-28 | 242.53 | 0.2516 | 0.4637 | no |
| PCG | 2024-10-28 | 20.13 | 0.2527 | 0.4342 | no |
| PFE | 2024-10-28 | 24.97 | 0.2235 | 0.5063 | no |
| PGR | 2024-10-28 | 225.39 | 0.2130 | 0.4628 | no |
| PLD | 2024-10-28 | 110.78 | 0.2707 | 0.4080 | no |
| PM | 2024-10-28 | 121.73 | 0.2662 | 0.4233 | no |
| PNC | 2024-10-28 | 176.65 | 0.2365 | 0.4341 | no |
| POOL | 2024-10-28 | 354.74 | 0.3189 | 0.4350 | no |
| PSA | 2024-10-28 | 312.33 | 0.3597 | 0.4130 | no |
| QCOM | 2024-10-28 | 162.31 | 0.2451 | 0.5163 | no |
| STX | 2024-10-28 | 100.80 | 0.1872 | 0.5345 | no |
| TAP | 2024-10-28 | 51.79 | 0.1750 | 0.4119 | no |
| TER | 2024-10-28 | 111.11 | 0.3984 | 0.5545 | no |
| TRV | 2024-10-28 | 245.87 | 0.1878 | 0.4801 | no |
| TXN | 2024-10-28 | 195.29 | 0.2818 | 0.5291 | no |
| WMT | 2024-10-28 | 81.27 | 0.2281 | 0.4998 | no |
| XEL | 2024-10-28 | 60.49 | 0.1750 | 0.4760 | no |
| YUM | 2024-10-28 | 129.20 | 0.2070 | 0.4219 | no |