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 | -1.45% | 2.52% | 2025-02-20 | -13.57% |
| buy & hold | participation factor overlay | 6 months | complete | 7.06% | 9.69% | 2025-07-25 | -13.57% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.58% | 2.46% | 2025-02-20 | -12.34% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.75% | 7.67% | 2025-07-25 | -12.34% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.19% | 0.59% | 2025-02-19 | -18.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.35% | 11.54% | 2025-07-03 | -18.22% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.29% | 1.28% | 2025-02-20 | -16.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.52% | 13.79% | 2025-07-03 | -16.72% |
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 |
|---|---|---|---|---|---|
| ADSK | 2025-02-03 | 309.11 | 0.4111 | 0.4537 | no |
| AEP | 2025-02-03 | 92.91 | 0.2499 | 0.4455 | no |
| AES | 2025-02-03 | 9.98 | 0.4011 | — | no |
| AMD | 2025-02-03 | 113.88 | 0.4355 | 0.5316 | no |
| AON | 2025-02-03 | 366.72 | 0.2649 | 0.4380 | no |
| AOS | 2025-02-03 | 64.61 | 0.2428 | 0.4598 | no |
| AWK | 2025-02-03 | 118.89 | 0.3363 | 0.4640 | no |
| AXON | 2025-02-03 | 640.75 | 0.1973 | 0.4853 | no |
| BLDR | 2025-02-03 | 162.90 | 0.3358 | 0.4691 | no |
| BLK | 2025-02-03 | 1016.60 | 0.2740 | 0.4885 | no |
| CAG | 2025-02-03 | 23.07 | 0.2181 | 0.4055 | no |
| CHRW | 2025-02-03 | 95.88 | 0.2830 | 0.4394 | no |
| COP | 2025-02-03 | 93.39 | 0.1892 | 0.4584 | no |
| CSGP | 2025-02-03 | 76.52 | 0.2413 | 0.4324 | no |
| CTAS | 2025-02-03 | 199.26 | 0.2924 | 0.4841 | no |
| CVS | 2025-02-03 | 53.22 | 0.1981 | 0.4245 | no |
| DELL | 2025-02-03 | 97.11 | 0.3142 | 0.4996 | no |
| DG | 2025-02-03 | 67.91 | 0.2385 | 0.5403 | no |
| DOW | 2025-02-03 | 34.37 | 0.2897 | 0.4221 | no |
| DVN | 2025-02-03 | 32.64 | 0.3445 | 0.4713 | no |
| ECL | 2025-02-03 | 243.11 | 0.2268 | 0.4154 | no |
| ED | 2025-02-03 | 88.43 | 0.3308 | — | no |
| FANG | 2025-02-03 | 157.92 | 0.2308 | 0.4719 | no |
| FCX | 2025-02-03 | 34.72 | 0.2199 | 0.4536 | no |
| FICO | 2025-02-03 | 1832.42 | 0.2803 | 0.4774 | no |
| GL | 2025-02-03 | 119.68 | 0.2703 | 0.4527 | no |
| ICE | 2025-02-03 | 155.46 | 0.2970 | 0.5233 | no |
| INTC | 2025-02-03 | 18.97 | 0.3408 | 0.5355 | no |
| IR | 2025-02-03 | 91.24 | 0.2885 | 0.5104 | no |
| LHX | 2025-02-03 | 204.62 | 0.4797 | 0.5198 | no |
| MCHP | 2025-02-03 | 50.52 | 0.2238 | 0.5347 | no |
| MDLZ | 2025-02-03 | 55.27 | 0.3559 | 0.4103 | no |
| MGM | 2025-02-03 | 32.76 | 0.3363 | 0.4323 | no |
| MHK | 2025-02-03 | 119.64 | 0.5525 | 0.4614 | no |
| MKTX | 2025-02-03 | 213.10 | 0.2776 | 0.5273 | no |
| MOS | 2025-02-03 | 25.45 | 0.4018 | 0.4033 | no |
| MRK | 2025-02-03 | 92.66 | 0.2195 | 0.4206 | no |
| NKE | 2025-02-03 | 71.30 | 0.4705 | 0.4190 | no |
| ORCL | 2025-02-03 | 160.44 | 0.2035 | 0.5097 | no |
| PHM | 2025-02-03 | 109.92 | 0.3225 | 0.4522 | no |
| POOL | 2025-02-03 | 326.24 | 0.1915 | 0.4174 | no |
| ROP | 2025-02-03 | 568.58 | 0.3361 | 0.4620 | no |
| RTX | 2025-02-03 | 124.79 | 0.2831 | 0.4984 | no |
| SRE | 2025-02-03 | 78.04 | 0.2628 | 0.4583 | no |
| TJX | 2025-02-03 | 121.32 | 0.2157 | 0.4169 | no |
| UPS | 2025-02-03 | 100.34 | 0.2213 | 0.4396 | no |
| URI | 2025-02-03 | 727.93 | 0.4055 | 0.4263 | no |
| V | 2025-02-03 | 335.59 | 0.2512 | 0.4096 | no |
| VRSK | 2025-02-03 | 283.29 | 0.3580 | 0.4903 | no |
| WYNN | 2025-02-03 | 82.90 | 0.5592 | 0.4299 | no |