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 | 1.09% | 3.00% | 2024-12-02 | -8.11% |
| buy & hold | participation factor overlay | 6 months | complete | -3.85% | 3.00% | 2024-12-02 | -19.39% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.08% | 3.06% | 2024-12-02 | -8.61% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.05% | 3.06% | 2024-12-02 | -19.18% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.36% | 2.68% | 2024-12-02 | -7.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.43% | 2.68% | 2024-12-02 | -22.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.00% | 2.88% | 2024-12-02 | -7.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.48% | 3.48% | 2025-05-16 | -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 |
|---|---|---|---|---|---|
| ABT | 2024-11-18 | 111.36 | 0.2811 | 0.4360 | no |
| AEE | 2024-11-18 | 85.93 | 0.2794 | 0.4820 | no |
| AKAM | 2024-11-18 | 87.43 | 0.2313 | 0.4528 | no |
| ALB | 2024-11-18 | 99.80 | 0.2182 | 0.4382 | no |
| AMCR | 2024-11-18 | 45.71 | 0.2282 | 0.4400 | no |
| AMD | 2024-11-18 | 138.19 | 0.3672 | 0.5431 | no |
| AVY | 2024-11-18 | 189.27 | 0.4744 | 0.4786 | no |
| AZO | 2024-11-18 | 3093.01 | 0.3215 | 0.4724 | no |
| BBY | 2024-11-18 | 83.93 | 0.2164 | 0.4930 | no |
| BLDR | 2024-11-18 | 175.00 | 0.3883 | 0.4939 | no |
| BLK | 2024-11-18 | 996.34 | 0.3074 | 0.4884 | no |
| BXP | 2024-11-18 | 71.89 | 0.2164 | 0.4276 | no |
| CCI | 2024-11-18 | 92.76 | 0.3606 | 0.4538 | no |
| COST | 2024-11-18 | 901.93 | 0.3423 | 0.5327 | no |
| CRM | 2024-11-18 | 322.30 | 0.2657 | 0.4765 | no |
| CSCO | 2024-11-18 | 55.30 | 0.4556 | 0.5283 | no |
| CZR | 2024-11-18 | 36.88 | 0.6021 | 0.4371 | no |
| DD | 2024-11-18 | 99.14 | 0.2757 | 0.4594 | no |
| EFX | 2024-11-18 | 243.11 | 0.2477 | 0.4753 | no |
| ETR | 2024-11-18 | 71.01 | 0.2983 | 0.4579 | no |
| EXPE | 2024-11-18 | 177.71 | 0.3478 | 0.4623 | no |
| EXR | 2024-11-18 | 149.46 | 0.3571 | 0.4261 | no |
| FDS | 2024-11-18 | 469.80 | 0.2114 | 0.5057 | no |
| FDX | 2024-11-18 | 227.31 | 0.2432 | 0.4651 | no |
| FFIV | 2024-11-18 | 239.32 | 0.2835 | 0.5045 | no |
| FMC | 2024-11-18 | 50.81 | 0.4517 | 0.4440 | no |
| GEN | 2024-11-18 | 28.64 | 0.2218 | 0.5400 | no |
| GL | 2024-11-18 | 111.25 | 0.2107 | 0.4693 | no |
| INTC | 2024-11-18 | 24.33 | 0.6947 | 0.5465 | no |
| IRM | 2024-11-18 | 106.52 | 0.2608 | 0.4491 | no |
| ITW | 2024-11-18 | 258.70 | 0.2567 | 0.5125 | no |
| KLAC | 2024-11-18 | 60.68 | 0.2295 | 0.5406 | no |
| LEN | 2024-11-18 | 156.63 | 0.3035 | 0.5209 | no |
| LLY | 2024-11-18 | 724.26 | 0.3080 | 0.4449 | no |
| MCO | 2024-11-18 | 463.35 | 0.2399 | 0.4955 | no |
| MDLZ | 2024-11-18 | 61.15 | 0.3611 | 0.4261 | no |
| MS | 2024-11-18 | 128.90 | 0.2373 | 0.4635 | no |
| NCLH | 2024-11-18 | 26.40 | 0.4145 | 0.4404 | no |
| NFLX | 2024-11-18 | 81.55 | 0.4434 | — | no |
| NOW | 2024-11-18 | 203.31 | 0.3062 | 0.4692 | no |
| NVDA | 2024-11-18 | 139.13 | 0.2388 | 0.5470 | no |
| PFE | 2024-11-18 | 22.14 | 0.2261 | 0.5119 | no |
| QCOM | 2024-11-18 | 155.78 | 0.2739 | 0.5446 | no |
| RCL | 2024-11-18 | 223.83 | 0.3230 | 0.4472 | no |
| ROP | 2024-11-18 | 540.42 | 0.3334 | 0.4787 | no |
| TGT | 2024-11-18 | 141.58 | 0.2730 | 0.5257 | no |
| TRV | 2024-11-18 | 251.69 | 0.2449 | 0.4801 | no |
| UNH | 2024-11-18 | 561.96 | 0.2044 | 0.4237 | no |
| WTW | 2024-11-18 | 305.59 | 0.2199 | 0.4504 | no |
| WY | 2024-11-18 | 28.87 | 0.2567 | 0.4752 | no |