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 | -2.29% | 2.37% | 2025-02-19 | -6.43% |
| buy & hold | participation factor overlay | 6 months | complete | -1.84% | 2.37% | 2025-02-19 | -18.60% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.69% | 2.08% | 2025-02-19 | -6.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.37% | 2.08% | 2025-02-19 | -16.85% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.26% | 0.97% | 2025-01-23 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.15% | 3.60% | 2025-05-16 | -20.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.80% | 0.75% | 2025-01-23 | -6.86% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.65% | 5.25% | 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 |
|---|---|---|---|---|---|
| ACGL | 2024-12-02 | 100.59 | 0.2069 | 0.4549 | no |
| ADI | 2024-12-02 | 211.79 | 0.2374 | 0.5340 | no |
| ALGN | 2024-12-02 | 231.22 | 0.2255 | 0.4106 | no |
| AMD | 2024-12-02 | 137.92 | 0.3866 | 0.5424 | no |
| AVGO | 2024-12-02 | 160.47 | 0.5467 | 0.5384 | no |
| BBWI | 2024-12-02 | 34.78 | 0.2118 | 0.4140 | no |
| BLK | 2024-12-02 | 984.80 | 0.2458 | 0.4884 | no |
| CDNS | 2024-12-02 | 306.19 | 0.2422 | 0.5225 | no |
| CME | 2024-12-02 | 219.50 | 0.2468 | 0.5075 | no |
| CRM | 2024-12-02 | 327.23 | 0.2831 | 0.4765 | no |
| CSCO | 2024-12-02 | 56.93 | 0.2197 | 0.5283 | no |
| DG | 2024-12-02 | 74.02 | 0.2947 | 0.5139 | no |
| DLTR | 2024-12-02 | 71.78 | 0.2795 | 0.5176 | no |
| EL | 2024-12-02 | 70.52 | 0.3170 | 0.4247 | no |
| EQT | 2024-12-02 | 44.08 | 0.4054 | 0.4730 | no |
| ES | 2024-12-02 | 59.45 | 0.2232 | 0.4487 | no |
| FCX | 2024-12-02 | 43.22 | 0.2068 | 0.4655 | no |
| FDS | 2024-12-02 | 476.94 | 0.2170 | 0.5061 | no |
| FDX | 2024-12-02 | 233.49 | 0.2561 | 0.4652 | no |
| FFIV | 2024-12-02 | 250.00 | 0.4465 | 0.5045 | no |
| GS | 2024-12-02 | 587.24 | 0.3278 | 0.4558 | no |
| HIG | 2024-12-02 | 119.81 | 0.2299 | 0.4453 | no |
| INTC | 2024-12-02 | 24.84 | 0.2813 | 0.5454 | no |
| IT | 2024-12-02 | 517.86 | 0.3930 | 0.4929 | no |
| ITW | 2024-12-02 | 266.40 | 0.3067 | 0.5125 | no |
| LKQ | 2024-12-02 | 36.71 | 0.2996 | 0.4793 | no |
| MCO | 2024-12-02 | 492.44 | 0.3994 | 0.4958 | no |
| MMM | 2024-12-02 | 129.23 | 0.3282 | 0.5237 | no |
| MOS | 2024-12-02 | 24.86 | 0.3343 | 0.4206 | no |
| MU | 2024-12-02 | 97.10 | 0.1987 | 0.5623 | no |
| NVR | 2024-12-02 | 9229.61 | 0.3295 | — | no |
| NXPI | 2024-12-02 | 220.87 | 0.3605 | 0.5328 | no |
| PFE | 2024-12-02 | 23.12 | 0.3137 | 0.5119 | no |
| PFG | 2024-12-02 | 81.30 | 0.2807 | 0.4697 | no |
| PGR | 2024-12-02 | 246.99 | 0.3671 | 0.4659 | no |
| PSA | 2024-12-02 | 320.16 | 0.3072 | 0.4273 | no |
| QCOM | 2024-12-02 | 151.73 | 0.2681 | 0.5439 | no |
| RCL | 2024-12-02 | 239.21 | 0.2811 | 0.4552 | no |
| ROP | 2024-12-02 | 558.99 | 0.3223 | 0.4787 | no |
| SMCI | 2024-12-02 | 37.78 | 0.3881 | 0.4861 | no |
| SPGI | 2024-12-02 | 487.25 | 0.3331 | 0.5035 | no |
| TER | 2024-12-02 | 109.43 | 0.4172 | 0.5578 | no |
| TFX | 2024-12-02 | 188.09 | 0.2315 | 0.4496 | no |
| TRMB | 2024-12-02 | 72.91 | 0.2958 | 0.5214 | no |
| TROW | 2024-12-02 | 112.16 | 0.3224 | 0.5017 | no |
| UNH | 2024-12-02 | 585.38 | 0.2842 | 0.4237 | no |
| VRSN | 2024-12-02 | 183.67 | 0.3164 | 0.4801 | no |
| VRTX | 2024-12-02 | 467.48 | 0.2425 | 0.5183 | no |
| VST | 2024-12-02 | 160.02 | 0.2002 | 0.4189 | no |
| WTW | 2024-12-02 | 313.85 | 0.2277 | 0.4504 | no |