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 | 3.40% | 4.06% | 2024-11-29 | -7.58% |
| buy & hold | participation factor overlay | 6 months | complete | 0.36% | 4.06% | 2024-11-29 | -16.75% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.23% | 3.92% | 2024-12-02 | -7.84% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.21% | 3.92% | 2024-12-02 | -18.01% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.15% | 5.16% | 2025-01-23 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.89% | 7.89% | 2025-05-16 | -20.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.65% | 4.74% | 2025-01-23 | -6.86% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.42% | 9.42% | 2025-05-16 | -17.98% |
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 | 0.2477 | 0.4360 | no |
| ADBE | 2024-11-18 | 505.00 | 0.3553 | 0.4731 | no |
| AEP | 2024-11-18 | 90.98 | 0.2163 | 0.4561 | no |
| AKAM | 2024-11-18 | 87.43 | 0.2287 | 0.4528 | no |
| AMD | 2024-11-18 | 138.19 | 0.3708 | 0.5431 | no |
| AVY | 2024-11-18 | 189.27 | 0.2583 | 0.4786 | no |
| AZO | 2024-11-18 | 3093.01 | 0.2204 | 0.4724 | no |
| BBWI | 2024-11-18 | 29.64 | 0.3804 | 0.4159 | no |
| BLDR | 2024-11-18 | 175.00 | 0.5607 | 0.4939 | no |
| BLK | 2024-11-18 | 996.34 | 0.3368 | 0.4884 | no |
| CCI | 2024-11-18 | 92.76 | 0.4905 | 0.4538 | no |
| CEG | 2024-11-18 | 223.74 | 0.2307 | 0.4619 | no |
| CME | 2024-11-18 | 207.78 | 0.2591 | 0.5075 | no |
| COST | 2024-11-18 | 901.93 | 0.3170 | 0.5327 | no |
| CRM | 2024-11-18 | 322.30 | 0.2773 | 0.4765 | no |
| CSCO | 2024-11-18 | 55.30 | 0.3785 | 0.5283 | no |
| CZR | 2024-11-18 | 36.88 | 0.3260 | 0.4371 | no |
| DD | 2024-11-18 | 99.14 | 0.2685 | 0.4594 | no |
| DLR | 2024-11-18 | 169.43 | 0.2296 | 0.4478 | no |
| EQIX | 2024-11-18 | 857.94 | 0.2772 | 0.4434 | no |
| EQT | 2024-11-18 | 42.11 | 0.3617 | 0.4730 | no |
| ETR | 2024-11-18 | 71.01 | 0.3816 | 0.4579 | no |
| EXPE | 2024-11-18 | 177.71 | 0.2920 | 0.4623 | no |
| EXR | 2024-11-18 | 149.46 | 0.3667 | 0.4261 | no |
| FFIV | 2024-11-18 | 239.32 | 0.2235 | 0.5045 | no |
| FMC | 2024-11-18 | 50.81 | 0.4748 | 0.4440 | no |
| GEN | 2024-11-18 | 28.64 | 0.2282 | 0.5400 | no |
| HUM | 2024-11-18 | 268.27 | 0.2134 | 0.4446 | no |
| INTC | 2024-11-18 | 24.33 | 0.5496 | 0.5465 | no |
| ITW | 2024-11-18 | 258.70 | 0.3100 | 0.5125 | no |
| KLAC | 2024-11-18 | 60.68 | 0.2422 | 0.5406 | no |
| LEN | 2024-11-18 | 156.63 | 0.4808 | 0.5209 | no |
| LNT | 2024-11-18 | 57.52 | 0.2776 | 0.4302 | no |
| LOW | 2024-11-18 | 259.13 | 0.2542 | 0.4696 | no |
| MCO | 2024-11-18 | 463.35 | 0.2199 | 0.4955 | no |
| MDLZ | 2024-11-18 | 61.15 | 0.6056 | 0.4261 | no |
| MET | 2024-11-18 | 79.31 | 0.2297 | 0.4561 | no |
| MMM | 2024-11-18 | 125.60 | 0.2924 | 0.5237 | no |
| MRNA | 2024-11-18 | 38.31 | 0.2599 | 0.4468 | no |
| MS | 2024-11-18 | 128.90 | 0.2752 | 0.4635 | no |
| NFLX | 2024-11-18 | 81.55 | 0.3860 | — | no |
| NOC | 2024-11-18 | 478.52 | 0.2334 | 0.5092 | no |
| NVDA | 2024-11-18 | 139.13 | 0.2197 | 0.5470 | no |
| PSA | 2024-11-18 | 308.08 | 0.2501 | 0.4273 | no |
| ROP | 2024-11-18 | 540.42 | 0.3883 | 0.4787 | no |
| SPGI | 2024-11-18 | 467.04 | 0.2256 | 0.5034 | no |
| TRMB | 2024-11-18 | 70.69 | 0.2842 | 0.5214 | no |
| TRV | 2024-11-18 | 251.69 | 0.3012 | 0.4801 | no |
| WTW | 2024-11-18 | 305.59 | 0.2847 | 0.4504 | no |
| WY | 2024-11-18 | 28.87 | 0.2224 | 0.4752 | no |