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 | -1.43% | 2.31% | 2025-02-20 | -13.65% |
| buy & hold | participation factor overlay | 6 months | complete | 6.06% | 9.28% | 2025-07-25 | -13.65% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.30% | 3.17% | 2025-02-25 | -11.96% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.40% | 8.45% | 2025-07-25 | -11.96% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.10% | 1.12% | 2025-02-05 | -19.36% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.87% | 11.75% | 2025-07-25 | -19.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.32% | 1.28% | 2025-02-19 | -18.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.57% | 11.20% | 2025-07-23 | -18.62% |
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 | 2025-02-03 | 92.57 | 0.2289 | 0.4486 | no |
| ADSK | 2025-02-03 | 309.11 | 0.4142 | 0.4537 | no |
| AES | 2025-02-03 | 9.98 | 0.4070 | — | no |
| AJG | 2025-02-03 | 294.47 | 0.3641 | 0.4630 | no |
| AMD | 2025-02-03 | 113.88 | 0.4201 | 0.5316 | no |
| AME | 2025-02-03 | 178.59 | 0.2149 | 0.5035 | no |
| AOS | 2025-02-03 | 64.61 | 0.2863 | 0.4598 | no |
| AWK | 2025-02-03 | 118.89 | 0.3959 | 0.4640 | no |
| BLDR | 2025-02-03 | 162.90 | 0.3627 | 0.4691 | no |
| CARR | 2025-02-03 | 62.23 | 0.2381 | 0.5021 | no |
| CPAY | 2025-02-03 | 374.80 | 0.2314 | 0.4153 | no |
| CSGP | 2025-02-03 | 76.52 | 0.2807 | 0.4324 | no |
| CVS | 2025-02-03 | 53.22 | 0.3335 | 0.4245 | no |
| DG | 2025-02-03 | 67.91 | 0.4151 | 0.5403 | no |
| DLR | 2025-02-03 | 153.66 | 0.2337 | 0.4115 | no |
| DVN | 2025-02-03 | 32.64 | 0.3436 | 0.4713 | no |
| ECL | 2025-02-03 | 243.11 | 0.2601 | 0.4154 | no |
| ED | 2025-02-03 | 88.43 | 0.4064 | — | no |
| ESS | 2025-02-03 | 265.66 | 0.2340 | 0.4101 | no |
| F | 2025-02-03 | 8.75 | 0.2193 | 0.4396 | no |
| FANG | 2025-02-03 | 157.92 | 0.2855 | 0.4719 | no |
| FCX | 2025-02-03 | 34.72 | 0.2933 | 0.4536 | no |
| FICO | 2025-02-03 | 1832.42 | 0.2432 | 0.4774 | no |
| GL | 2025-02-03 | 119.68 | 0.2572 | 0.4527 | no |
| ICE | 2025-02-03 | 155.46 | 0.3050 | 0.5233 | no |
| IR | 2025-02-03 | 91.24 | 0.2730 | 0.5104 | no |
| IRM | 2025-02-03 | 93.95 | 0.2289 | 0.4248 | no |
| IVZ | 2025-02-03 | 17.55 | 0.2078 | 0.4932 | no |
| JPM | 2025-02-03 | 254.12 | 0.2325 | 0.4296 | no |
| LHX | 2025-02-03 | 204.62 | 0.5743 | 0.5198 | no |
| MCD | 2025-02-03 | 275.09 | 0.3254 | 0.4065 | no |
| MCHP | 2025-02-03 | 50.52 | 0.2646 | 0.5347 | no |
| MDLZ | 2025-02-03 | 55.27 | 0.3309 | 0.4103 | no |
| MGM | 2025-02-03 | 32.76 | 0.4154 | 0.4323 | no |
| MHK | 2025-02-03 | 119.64 | 0.5570 | 0.4614 | no |
| MOS | 2025-02-03 | 25.45 | 0.5527 | 0.4033 | no |
| NI | 2025-02-03 | 35.26 | 0.2255 | 0.4610 | no |
| NKE | 2025-02-03 | 71.30 | 0.4429 | 0.4190 | no |
| PCAR | 2025-02-03 | 106.02 | 0.2113 | 0.4827 | no |
| PHM | 2025-02-03 | 109.92 | 0.2330 | 0.4522 | no |
| POOL | 2025-02-03 | 326.24 | 0.3077 | 0.4174 | no |
| PPL | 2025-02-03 | 31.57 | 0.2673 | 0.4538 | no |
| ROP | 2025-02-03 | 568.58 | 0.4393 | 0.4620 | no |
| RTX | 2025-02-03 | 124.79 | 0.2868 | 0.4984 | no |
| SBUX | 2025-02-03 | 101.15 | 0.2398 | 0.4202 | no |
| TECH | 2025-02-03 | 71.39 | 0.2744 | 0.4495 | no |
| TER | 2025-02-03 | 111.96 | 0.3674 | 0.5431 | no |
| V | 2025-02-03 | 335.59 | 0.2562 | 0.4096 | no |
| VRSK | 2025-02-03 | 283.29 | 0.5235 | 0.4903 | no |
| WYNN | 2025-02-03 | 82.90 | 0.4926 | 0.4299 | no |