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 | 1.45% | 5.37% | 2024-12-02 | -7.80% |
| buy & hold | participation factor overlay | 6 months | complete | -8.05% | 5.37% | 2024-12-02 | -21.63% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.84% | 5.48% | 2024-12-02 | -7.75% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -9.32% | 5.48% | 2024-12-02 | -21.88% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.66% | 3.22% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.19% | 3.22% | 2024-11-25 | -20.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.46% | 3.26% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.94% | 3.26% | 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 |
|---|---|---|---|---|---|
| ABNB | 2024-10-28 | 136.30 | 0.2539 | 0.4790 | no |
| ALB | 2024-10-28 | 90.87 | 0.2645 | 0.4585 | no |
| ALGN | 2024-10-28 | 219.69 | 0.2879 | 0.4107 | no |
| AMCR | 2024-10-28 | 49.41 | 0.2208 | 0.4452 | no |
| AME | 2024-10-28 | 166.33 | 0.3493 | 0.5110 | no |
| AMZN | 2024-10-28 | 189.57 | 0.1990 | 0.4499 | no |
| AON | 2024-10-28 | 374.73 | 0.2277 | 0.4507 | no |
| AXON | 2024-10-28 | 449.10 | 0.2261 | 0.4632 | no |
| BAC | 2024-10-28 | 40.24 | 0.2223 | 0.4514 | no |
| BBWI | 2024-10-28 | 28.37 | 0.2699 | 0.4212 | no |
| BLDR | 2024-10-28 | 183.17 | 0.2996 | 0.4757 | no |
| BX | 2024-10-28 | 158.67 | 0.5914 | 0.4731 | no |
| CCI | 2024-10-28 | 98.91 | 0.2118 | 0.4538 | no |
| CEG | 2024-10-28 | 263.82 | 0.2594 | 0.4447 | no |
| COF | 2024-10-28 | 157.19 | 0.1956 | 0.4425 | no |
| COST | 2024-10-28 | 886.24 | 0.2908 | 0.5352 | no |
| CRM | 2024-10-28 | 289.38 | 0.2306 | 0.4755 | no |
| D | 2024-10-28 | 54.85 | 0.2518 | 0.4756 | no |
| DHI | 2024-10-28 | 177.18 | 0.2721 | 0.4991 | no |
| DXCM | 2024-10-28 | 73.48 | 0.2706 | 0.4381 | no |
| EXR | 2024-10-28 | 153.54 | 0.3041 | 0.4239 | no |
| FAST | 2024-10-28 | 36.89 | 0.1977 | 0.4798 | no |
| FCX | 2024-10-28 | 45.83 | 0.2959 | 0.4655 | no |
| FDX | 2024-10-28 | 211.06 | 0.2227 | 0.4653 | no |
| FE | 2024-10-28 | 40.27 | 0.2917 | 0.4370 | no |
| GILD | 2024-10-28 | 84.57 | 0.1954 | 0.5133 | no |
| HPE | 2024-10-28 | 18.74 | 0.3028 | 0.4932 | no |
| INTU | 2024-10-28 | 603.15 | 0.1955 | 0.4652 | no |
| JBHT | 2024-10-28 | 172.68 | 0.3402 | 0.4821 | no |
| KLAC | 2024-10-28 | 66.31 | 0.2417 | 0.5401 | no |
| LVS | 2024-10-28 | 50.71 | 0.2650 | 0.4389 | no |
| MCHP | 2024-10-28 | 71.76 | 0.1901 | 0.4900 | no |
| MCO | 2024-10-28 | 459.66 | 0.2461 | 0.4954 | no |
| MDLZ | 2024-10-28 | 65.63 | 0.2387 | 0.4127 | no |
| MPC | 2024-10-28 | 144.23 | 0.2668 | 0.4258 | no |
| MSFT | 2024-10-28 | 424.95 | 0.2116 | 0.4859 | no |
| NCLH | 2024-10-28 | 24.46 | 0.4713 | 0.4283 | no |
| NSC | 2024-10-28 | 242.53 | 0.2451 | 0.4637 | no |
| PCG | 2024-10-28 | 20.13 | 0.2365 | 0.4342 | no |
| PH | 2024-10-28 | 615.89 | 0.2063 | 0.5036 | no |
| PLD | 2024-10-28 | 110.78 | 0.3769 | 0.4080 | no |
| PM | 2024-10-28 | 121.73 | 0.3246 | 0.4233 | no |
| PNC | 2024-10-28 | 176.65 | 0.2369 | 0.4341 | no |
| PSA | 2024-10-28 | 312.33 | 0.2384 | 0.4130 | no |
| RCL | 2024-10-28 | 199.61 | 0.1997 | 0.4686 | no |
| SMCI | 2024-10-28 | 47.80 | 0.3293 | 0.4575 | no |
| SNA | 2024-10-28 | 313.80 | 0.2423 | 0.4105 | no |
| TER | 2024-10-28 | 111.11 | 0.2528 | 0.5545 | no |
| TRV | 2024-10-28 | 245.87 | 0.3343 | 0.4801 | no |
| WTW | 2024-10-28 | 283.71 | 0.3471 | 0.4526 | no |