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 | -3.63% | 3.40% | 2025-02-19 | -8.76% |
| buy & hold | participation factor overlay | 6 months | complete | 0.05% | 3.40% | 2025-02-19 | -17.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.29% | 1.74% | 2025-01-30 | -9.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.86% | 1.74% | 2025-01-30 | -18.22% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.74% | 1.85% | 2025-01-23 | -11.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.01% | 3.01% | 2025-06-16 | -21.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.55% | 1.51% | 2025-01-23 | -10.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.41% | 3.48% | 2025-05-16 | -20.40% |
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 | 2024-12-16 | 108.59 | 0.2428 | 0.4360 | no |
| ADP | 2024-12-16 | 285.15 | 0.2561 | 0.4414 | no |
| AIZ | 2024-12-16 | 212.49 | 0.2331 | 0.4249 | no |
| AMP | 2024-12-16 | 537.84 | 0.3744 | 0.4604 | no |
| AMT | 2024-12-16 | 184.55 | 0.4487 | 0.4514 | no |
| AWK | 2024-12-16 | 123.80 | 0.3536 | 0.4736 | no |
| BAX | 2024-12-16 | 29.45 | 0.2239 | 0.4543 | no |
| BF.B | 2024-12-16 | 41.96 | 0.2279 | — | no |
| BLDR | 2024-12-16 | 166.43 | 0.3352 | 0.4935 | no |
| CRM | 2024-12-16 | 345.74 | 0.2341 | 0.4996 | no |
| CSCO | 2024-12-16 | 56.18 | 0.2780 | 0.5283 | no |
| CTAS | 2024-12-16 | 208.10 | 0.2336 | 0.4798 | no |
| CZR | 2024-12-16 | 36.79 | 0.4221 | 0.4396 | no |
| DD | 2024-12-16 | 97.70 | 0.2771 | 0.4594 | no |
| DG | 2024-12-16 | 73.40 | 0.2353 | 0.5373 | no |
| DXCM | 2024-12-16 | 76.87 | 0.3056 | 0.4378 | no |
| EL | 2024-12-16 | 76.30 | 0.8790 | 0.4224 | no |
| EQT | 2024-12-16 | 44.66 | 0.3175 | 0.4730 | no |
| EXR | 2024-12-16 | 144.82 | 0.2968 | 0.4261 | no |
| FFIV | 2024-12-16 | 261.59 | 0.2493 | 0.5045 | no |
| FICO | 2024-12-16 | 2163.53 | 0.3351 | 0.4948 | no |
| FMC | 2024-12-16 | 49.38 | 0.4444 | 0.4435 | no |
| FTNT | 2024-12-16 | 98.21 | 0.3462 | 0.5149 | no |
| GPC | 2024-12-16 | 114.17 | 0.2367 | 0.5045 | no |
| HUBB | 2024-12-16 | 442.11 | 0.2107 | 0.5277 | no |
| ISRG | 2024-12-16 | 539.98 | 0.2263 | 0.4408 | no |
| KDP | 2024-12-16 | 31.77 | 0.3380 | 0.4111 | no |
| KLAC | 2024-12-16 | 64.18 | 0.2749 | 0.5397 | no |
| KR | 2024-12-16 | 59.77 | 0.2898 | 0.5102 | no |
| LRCX | 2024-12-16 | 75.43 | 0.2105 | 0.5416 | no |
| LYB | 2024-12-16 | 66.08 | 0.3430 | 0.4559 | no |
| MAR | 2024-12-16 | 283.12 | 0.2362 | 0.4188 | no |
| MCHP | 2024-12-16 | 55.23 | 0.2640 | 0.5468 | no |
| MMM | 2024-12-16 | 125.72 | 0.4097 | 0.5237 | no |
| MRNA | 2024-12-16 | 42.16 | 0.2254 | 0.4468 | no |
| OXY | 2024-12-16 | 45.64 | 0.2706 | 0.4410 | no |
| PCAR | 2024-12-16 | 106.46 | 0.2631 | 0.4944 | no |
| PGR | 2024-12-16 | 233.55 | 0.2274 | 0.4659 | no |
| PHM | 2024-12-16 | 116.35 | 0.3771 | 0.5320 | no |
| QCOM | 2024-12-16 | 152.32 | 0.2907 | 0.5439 | no |
| SMCI | 2024-12-16 | 31.51 | 0.2112 | 0.4861 | no |
| SO | 2024-12-16 | 78.54 | 0.2354 | 0.4382 | no |
| TXT | 2024-12-16 | 81.00 | 0.3930 | 0.5168 | no |
| UAL | 2024-12-16 | 94.53 | 0.6688 | 0.5072 | no |
| URI | 2024-12-16 | 768.50 | 0.2324 | 0.4612 | no |
| VST | 2024-12-16 | 143.29 | 0.5805 | 0.4189 | no |
| WMB | 2024-12-16 | 51.45 | 0.2255 | 0.4754 | no |
| WMT | 2024-12-16 | 92.93 | 0.2544 | 0.5294 | no |
| WTW | 2024-12-16 | 306.54 | 0.2348 | 0.4503 | no |
| WY | 2024-12-16 | 28.39 | 0.2490 | 0.4747 | no |