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 | 1.57% | 3.38% | 2024-12-02 | -7.47% |
| buy & hold | participation factor overlay | 6 months | complete | -1.09% | 3.38% | 2024-12-02 | -18.33% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.64% | 3.91% | 2024-12-02 | -8.26% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.85% | 3.91% | 2024-12-02 | -18.56% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.76% | 4.14% | 2025-01-23 | -6.82% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.90% | 8.90% | 2025-05-16 | -20.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.42% | 4.61% | 2025-01-23 | -7.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.53% | 9.53% | 2025-05-16 | -18.66% |
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 | 2024-11-18 | 223.63 | 0.2760 | 0.4988 | no |
| ABT | 2024-11-18 | 111.36 | 0.2582 | 0.4360 | no |
| ACN | 2024-11-18 | 341.55 | 0.2795 | 0.4318 | no |
| AEE | 2024-11-18 | 85.93 | 0.3777 | 0.4820 | no |
| AMD | 2024-11-18 | 138.19 | 0.5516 | 0.5431 | no |
| BBY | 2024-11-18 | 83.93 | 0.2688 | 0.4930 | no |
| BLDR | 2024-11-18 | 175.00 | 0.4454 | 0.4939 | no |
| BR | 2024-11-18 | 218.83 | 0.2317 | 0.4279 | no |
| BXP | 2024-11-18 | 71.89 | 0.2826 | 0.4276 | no |
| CCI | 2024-11-18 | 92.76 | 0.2736 | 0.4538 | no |
| COST | 2024-11-18 | 901.93 | 0.4038 | 0.5327 | no |
| CRM | 2024-11-18 | 322.30 | 0.2404 | 0.4765 | no |
| CSCO | 2024-11-18 | 55.30 | 0.4637 | 0.5283 | no |
| CZR | 2024-11-18 | 36.88 | 0.5043 | 0.4371 | no |
| DD | 2024-11-18 | 99.14 | 0.3608 | 0.4594 | no |
| DLR | 2024-11-18 | 169.43 | 0.2994 | 0.4478 | no |
| DXCM | 2024-11-18 | 75.88 | 0.2765 | 0.4378 | no |
| EFX | 2024-11-18 | 243.11 | 0.2716 | 0.4753 | no |
| EQT | 2024-11-18 | 42.11 | 0.4650 | 0.4730 | no |
| ETR | 2024-11-18 | 71.01 | 0.2800 | 0.4579 | no |
| EXR | 2024-11-18 | 149.46 | 0.3375 | 0.4261 | no |
| FDX | 2024-11-18 | 227.31 | 0.2433 | 0.4651 | no |
| FFIV | 2024-11-18 | 239.32 | 0.3180 | 0.5045 | no |
| FMC | 2024-11-18 | 50.81 | 0.2864 | 0.4440 | no |
| HII | 2024-11-18 | 186.02 | 0.2805 | 0.5206 | no |
| INTC | 2024-11-18 | 24.33 | 0.5679 | 0.5465 | no |
| IT | 2024-11-18 | 520.93 | 0.2646 | 0.4923 | no |
| ITW | 2024-11-18 | 258.70 | 0.3936 | 0.5125 | no |
| LEN | 2024-11-18 | 156.63 | 0.3218 | 0.5209 | no |
| LNT | 2024-11-18 | 57.52 | 0.3550 | 0.4302 | no |
| LVS | 2024-11-18 | 46.19 | 0.4117 | 0.4389 | no |
| MCO | 2024-11-18 | 463.35 | 0.3341 | 0.4955 | no |
| MDLZ | 2024-11-18 | 61.15 | 0.3966 | 0.4261 | no |
| MET | 2024-11-18 | 79.31 | 0.2802 | 0.4561 | no |
| MRNA | 2024-11-18 | 38.31 | 0.3096 | 0.4468 | no |
| NCLH | 2024-11-18 | 26.40 | 0.3785 | 0.4404 | no |
| NFLX | 2024-11-18 | 81.55 | 0.3571 | — | no |
| NOC | 2024-11-18 | 478.52 | 0.2697 | 0.5092 | no |
| NOW | 2024-11-18 | 203.31 | 0.3148 | 0.4692 | no |
| NXPI | 2024-11-18 | 209.48 | 0.3006 | 0.5335 | no |
| PFE | 2024-11-18 | 22.14 | 0.2548 | 0.5119 | no |
| PHM | 2024-11-18 | 125.92 | 0.2568 | 0.5405 | no |
| PNR | 2024-11-18 | 103.47 | 0.3410 | 0.4916 | no |
| RCL | 2024-11-18 | 223.83 | 0.2467 | 0.4472 | no |
| ROP | 2024-11-18 | 540.42 | 0.3169 | 0.4787 | no |
| T | 2024-11-18 | 21.05 | 0.2300 | 0.4102 | no |
| TGT | 2024-11-18 | 141.58 | 0.2531 | 0.5257 | no |
| TRV | 2024-11-18 | 251.69 | 0.3356 | 0.4801 | no |
| VRSN | 2024-11-18 | 176.89 | 0.2642 | 0.4801 | no |
| WTW | 2024-11-18 | 305.59 | 0.4894 | 0.4504 | no |