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 | 0.62% | 2.15% | 2024-11-29 | -6.57% |
| buy & hold | participation factor overlay | 6 months | complete | -1.82% | 2.74% | 2025-02-19 | -13.86% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.34% | 2.16% | 2024-11-29 | -6.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.70% | 2.36% | 2025-02-19 | -13.65% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.67% | 2.00% | 2024-11-25 | -6.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.49% | 2.00% | 2024-11-25 | -20.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.16% | 2.16% | 2024-11-25 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.32% | 2.16% | 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 |
|---|---|---|---|---|---|
| ABT | 2024-11-11 | 112.67 | 0.2749 | 0.4360 | no |
| ACN | 2024-11-11 | 342.94 | 0.2813 | 0.4321 | no |
| ADI | 2024-11-11 | 217.35 | 0.4175 | 0.5502 | no |
| BBWI | 2024-11-11 | 28.45 | 0.3387 | 0.4159 | no |
| BMY | 2024-11-11 | 55.95 | 0.3711 | 0.4985 | no |
| BSX | 2024-11-11 | 88.65 | 0.4131 | 0.4305 | no |
| BXP | 2024-11-11 | 76.47 | 0.2269 | 0.4276 | no |
| CCI | 2024-11-11 | 94.20 | 0.4932 | 0.4538 | no |
| CNP | 2024-11-11 | 28.74 | 0.2783 | 0.4592 | no |
| COST | 2024-11-11 | 934.77 | 0.3325 | 0.5323 | no |
| CTAS | 2024-11-11 | 221.79 | 0.2539 | 0.4796 | no |
| CTSH | 2024-11-11 | 77.57 | 0.2271 | 0.4310 | no |
| DOV | 2024-11-11 | 198.20 | 0.3720 | 0.5170 | no |
| EMR | 2024-11-11 | 122.12 | 0.2831 | 0.5181 | no |
| EQIX | 2024-11-11 | 882.70 | 0.2272 | 0.4434 | no |
| EQT | 2024-11-11 | 41.61 | 0.3241 | 0.4730 | no |
| EXR | 2024-11-11 | 152.53 | 0.2459 | 0.4261 | no |
| FDS | 2024-11-11 | 465.99 | 0.2536 | 0.5057 | no |
| FDX | 2024-11-11 | 223.51 | 0.4138 | 0.4651 | no |
| FICO | 2024-11-11 | 2355.61 | 0.2064 | 0.4965 | no |
| FMC | 2024-11-11 | 55.39 | 0.2537 | 0.4440 | no |
| FOX | 2024-11-11 | 40.74 | 0.2797 | — | no |
| GE | 2024-11-11 | 184.77 | 0.2368 | 0.5114 | no |
| GEN | 2024-11-11 | 28.62 | 0.2377 | 0.5400 | no |
| GL | 2024-11-11 | 109.22 | 0.2990 | 0.4693 | no |
| GRMN | 2024-11-11 | 206.36 | 0.2735 | 0.4485 | no |
| HD | 2024-11-11 | 387.36 | 0.2430 | 0.4992 | no |
| HPE | 2024-11-11 | 21.15 | 0.4550 | 0.4979 | no |
| HWM | 2024-11-11 | 114.77 | 0.2049 | 0.5064 | no |
| LOW | 2024-11-11 | 264.06 | 0.4217 | 0.4694 | no |
| MCD | 2024-11-11 | 286.27 | 0.2135 | 0.4177 | no |
| MCO | 2024-11-11 | 471.20 | 0.2254 | 0.4955 | no |
| MDLZ | 2024-11-11 | 62.12 | 0.3615 | 0.4261 | no |
| MDT | 2024-11-11 | 83.34 | 0.2292 | 0.4481 | no |
| MRNA | 2024-11-11 | 46.83 | 0.4029 | 0.4468 | no |
| NDAQ | 2024-11-11 | 76.89 | 0.2540 | 0.5189 | no |
| NVR | 2024-11-11 | 9275.00 | 0.2444 | — | no |
| ORLY | 2024-11-11 | 81.90 | 0.2348 | 0.4705 | no |
| PGR | 2024-11-11 | 241.74 | 0.2596 | 0.4659 | no |
| RCL | 2024-11-11 | 222.87 | 0.2640 | 0.4472 | no |
| ROP | 2024-11-11 | 560.29 | 0.2615 | 0.4789 | no |
| SBUX | 2024-11-11 | 93.19 | 0.3439 | 0.4236 | no |
| T | 2024-11-11 | 20.58 | 0.2690 | 0.4102 | no |
| TRMB | 2024-11-11 | 73.00 | 0.2350 | 0.5214 | no |
| UNH | 2024-11-11 | 588.14 | 0.2188 | 0.4237 | no |
| VRSN | 2024-11-11 | 180.93 | 0.2983 | 0.4801 | no |
| WTW | 2024-11-11 | 311.39 | 0.4748 | 0.4504 | no |
| WYNN | 2024-11-11 | 83.34 | 0.2331 | 0.4336 | no |
| XEL | 2024-11-11 | 63.11 | 0.2285 | 0.4574 | no |
| ZBH | 2024-11-11 | 106.32 | 0.2557 | 0.4805 | no |