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 | 4.34% | 10.12% | 2022-08-16 | -14.05% |
| buy & hold | participation factor overlay | 6 months | complete | 7.76% | 10.12% | 2022-08-16 | -16.86% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.22% | 11.06% | 2022-08-16 | -14.06% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.96% | 11.06% | 2022-08-16 | -17.01% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.23% | 7.50% | 2022-08-12 | -13.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.61% | 7.50% | 2022-08-12 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.87% | 7.09% | 2022-08-12 | -14.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.51% | 7.09% | 2022-08-12 | -17.44% |
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 | 2022-05-23 | 182.95 | 1.1400 | 0.5292 | no |
| AES | 2022-05-23 | 17.43 | 1.8991 | — | no |
| ALK | 2022-05-23 | 46.98 | 1.9539 | 0.4863 | no |
| AMAT | 2022-05-23 | 103.10 | 1.2019 | 0.5773 | no |
| ANET | 2022-05-23 | 25.50 | 1.3397 | 0.5056 | no |
| AOS | 2022-05-23 | 53.91 | 1.4821 | 0.4658 | no |
| BIO | 2022-05-23 | 529.83 | 1.6059 | 0.4926 | no |
| CARR | 2022-05-23 | 36.21 | 1.2403 | 0.4377 | no |
| CBRE | 2022-05-23 | 80.05 | 1.4406 | 0.4568 | no |
| CEG | 2022-05-23 | 55.67 | 1.5460 | 0.4978 | no |
| COF | 2022-05-23 | 108.13 | 1.4555 | 0.4743 | no |
| COO | 2022-05-23 | 85.89 | 1.5678 | 0.5216 | no |
| CRL | 2022-05-23 | 234.49 | 1.5030 | 0.4684 | no |
| CRM | 2022-05-23 | 156.85 | 1.2380 | 0.5665 | no |
| DD | 2022-05-23 | 74.48 | 1.2913 | 0.5302 | no |
| DHR | 2022-05-23 | 220.62 | 1.5597 | 0.4380 | no |
| DXC | 2022-05-23 | 30.17 | 1.2210 | 0.4338 | no |
| EMR | 2022-05-23 | 77.49 | 1.1636 | 0.4578 | no |
| EQIX | 2022-05-23 | 603.61 | 1.3740 | 0.4654 | no |
| FTNT | 2022-05-23 | 57.29 | 1.6773 | 0.5411 | no |
| GOOG | 2022-05-23 | 109.07 | 1.5382 | — | no |
| GOOGL | 2022-05-23 | 108.55 | 1.4354 | 0.4565 | no |
| GRMN | 2022-05-23 | 92.48 | 1.6561 | 0.5177 | no |
| HLT | 2022-05-23 | 129.68 | 1.1888 | 0.5057 | no |
| INTU | 2022-05-23 | 359.21 | 1.2487 | 0.4511 | no |
| IT | 2022-05-23 | 252.81 | 1.8955 | 0.4399 | no |
| IVZ | 2022-05-23 | 15.76 | 2.1042 | 0.4559 | no |
| LNC | 2022-05-23 | 42.58 | 1.4800 | 0.4376 | no |
| LOW | 2022-05-23 | 171.15 | 1.5357 | 0.5815 | no |
| LVS | 2022-05-23 | 31.75 | 1.1945 | 0.5337 | no |
| MLM | 2022-05-23 | 323.14 | 1.4030 | 0.5311 | no |
| MOS | 2022-05-23 | 51.52 | 1.4849 | 0.5502 | no |
| MRNA | 2022-05-23 | 137.60 | 1.4776 | 0.4544 | no |
| MSCI | 2022-05-23 | 398.77 | 1.2825 | 0.4547 | no |
| NKE | 2022-05-23 | 98.46 | 1.8612 | 0.4547 | no |
| NOW | 2022-05-23 | 86.18 | 1.1615 | 0.4931 | no |
| NSC | 2022-05-23 | 210.58 | 1.2673 | 0.5204 | no |
| NTAP | 2022-05-23 | 60.79 | 1.9680 | 0.5038 | no |
| RF | 2022-05-23 | 17.03 | 1.1629 | 0.4993 | no |
| RJF | 2022-05-23 | 87.76 | 1.5427 | 0.4658 | no |
| SPG | 2022-05-23 | 86.16 | 1.1286 | 0.5426 | no |
| SPGI | 2022-05-23 | 312.68 | 1.2057 | 0.4676 | no |
| SYF | 2022-05-23 | 30.25 | 1.6312 | 0.4400 | no |
| TER | 2022-05-23 | 100.69 | 1.1224 | 0.5552 | no |
| TROW | 2022-05-23 | 99.95 | 1.3503 | — | no |
| TT | 2022-05-23 | 125.82 | 1.2258 | 0.4640 | no |
| TXT | 2022-05-23 | 63.27 | 1.4379 | 0.5551 | no |
| UNP | 2022-05-23 | 194.39 | 1.3686 | 0.5128 | no |
| URI | 2022-05-23 | 262.49 | 1.9317 | 0.5133 | no |
| WYNN | 2022-05-23 | 61.21 | 1.4290 | 0.5159 | no |