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 | -5.35% | 2.74% | 2025-01-30 | -9.78% |
| buy & hold | participation factor overlay | 6 months | complete | -0.91% | 2.74% | 2025-01-30 | -17.97% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -8.02% | 1.98% | 2025-01-30 | -11.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.68% | 1.98% | 2025-01-30 | -20.38% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.28% | 3.19% | 2025-01-23 | -10.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.23% | 5.87% | 2025-05-16 | -20.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.01% | 2.76% | 2025-01-23 | -8.22% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.19% | 7.72% | 2025-06-10 | -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 |
|---|---|---|---|---|---|
| AEP | 2024-12-16 | 87.58 | 0.3351 | 0.4561 | no |
| AIZ | 2024-12-16 | 212.49 | 0.3501 | 0.4249 | no |
| AMP | 2024-12-16 | 537.84 | 0.2916 | 0.4604 | no |
| AMT | 2024-12-16 | 184.55 | 0.3580 | 0.4514 | no |
| BAX | 2024-12-16 | 29.45 | 0.3310 | 0.4543 | no |
| BF.B | 2024-12-16 | 41.96 | 0.3126 | — | no |
| BG | 2024-12-16 | 78.02 | 0.2503 | 0.4120 | no |
| BLDR | 2024-12-16 | 166.43 | 0.3035 | 0.4935 | no |
| BLK | 2024-12-16 | 1021.33 | 0.2647 | 0.4886 | no |
| BR | 2024-12-16 | 226.04 | 0.2464 | 0.4279 | no |
| CME | 2024-12-16 | 220.25 | 0.1917 | 0.5079 | no |
| COO | 2024-12-16 | 94.76 | 0.2038 | 0.4114 | no |
| CZR | 2024-12-16 | 36.79 | 0.5060 | 0.4396 | no |
| DAL | 2024-12-16 | 60.22 | 0.2928 | 0.4753 | no |
| DXCM | 2024-12-16 | 76.87 | 0.3677 | 0.4378 | no |
| EL | 2024-12-16 | 76.30 | 0.9038 | 0.4224 | no |
| EQT | 2024-12-16 | 44.66 | 0.3335 | 0.4730 | no |
| EXC | 2024-12-16 | 34.64 | 0.2292 | 0.4773 | no |
| EXR | 2024-12-16 | 144.82 | 0.1967 | 0.4261 | no |
| FANG | 2024-12-16 | 155.51 | 0.1933 | 0.4562 | no |
| FICO | 2024-12-16 | 2163.53 | 0.2561 | 0.4948 | no |
| FMC | 2024-12-16 | 49.38 | 0.4455 | 0.4435 | no |
| GOOG | 2024-12-16 | 193.23 | 0.2818 | — | no |
| IRM | 2024-12-16 | 105.26 | 0.1934 | 0.4493 | no |
| KR | 2024-12-16 | 59.77 | 0.1866 | 0.5102 | no |
| LKQ | 2024-12-16 | 35.31 | 0.1887 | 0.4793 | no |
| MCHP | 2024-12-16 | 55.23 | 0.4587 | 0.5468 | no |
| MDT | 2024-12-16 | 77.47 | 0.1863 | 0.4429 | no |
| META | 2024-12-16 | 626.88 | 0.3760 | 0.4988 | no |
| MKTX | 2024-12-16 | 228.27 | 0.2102 | 0.5277 | no |
| MMM | 2024-12-16 | 125.72 | 0.3221 | 0.5237 | no |
| MRNA | 2024-12-16 | 42.16 | 0.2156 | 0.4468 | no |
| NRG | 2024-12-16 | 92.92 | 0.2028 | 0.4957 | no |
| NVR | 2024-12-16 | 8602.11 | 0.1854 | — | no |
| OXY | 2024-12-16 | 45.64 | 0.2995 | 0.4410 | no |
| PHM | 2024-12-16 | 116.35 | 0.3375 | 0.5320 | no |
| RL | 2024-12-16 | 222.56 | 0.3121 | 0.4362 | no |
| ROP | 2024-12-16 | 535.89 | 0.3070 | 0.4787 | no |
| SOLV | 2024-12-16 | 69.26 | 0.2263 | 0.4408 | no |
| TER | 2024-12-16 | 127.22 | 0.2502 | 0.5578 | no |
| TXT | 2024-12-16 | 81.00 | 0.2845 | 0.5168 | no |
| TYL | 2024-12-16 | 611.00 | 0.2179 | 0.4378 | no |
| UAL | 2024-12-16 | 94.53 | 0.4812 | 0.5072 | no |
| UBER | 2024-12-16 | 60.31 | 0.1892 | 0.5074 | no |
| UHS | 2024-12-16 | 183.59 | 0.2906 | 0.4422 | no |
| URI | 2024-12-16 | 768.50 | 0.1942 | 0.4612 | no |
| VST | 2024-12-16 | 143.29 | 0.6367 | 0.4189 | no |
| WMB | 2024-12-16 | 51.45 | 0.4008 | 0.4754 | no |
| WMT | 2024-12-16 | 92.93 | 0.2775 | 0.5294 | no |
| WTW | 2024-12-16 | 306.54 | 0.2008 | 0.4503 | no |