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 | 4.89% | 10.48% | 2022-08-16 | -13.43% |
| buy & hold | participation factor overlay | 6 months | complete | 8.41% | 10.48% | 2022-08-16 | -16.63% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.40% | 10.18% | 2022-08-15 | -13.86% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.30% | 10.18% | 2022-08-15 | -16.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.35% | 6.93% | 2022-08-12 | -13.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.82% | 6.93% | 2022-08-12 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.19% | 8.83% | 2022-08-12 | -14.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.33% | 8.83% | 2022-08-12 | -17.15% |
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 |
|---|---|---|---|---|---|
| AES | 2022-05-23 | 17.43 | 1.9471 | — | no |
| ALK | 2022-05-23 | 46.98 | 2.0465 | 0.4863 | no |
| AMAT | 2022-05-23 | 103.10 | 1.3068 | 0.5773 | no |
| ANET | 2022-05-23 | 25.50 | 1.5276 | 0.5056 | no |
| AOS | 2022-05-23 | 53.91 | 1.4561 | 0.4658 | no |
| AXP | 2022-05-23 | 148.53 | 1.1190 | 0.4622 | no |
| BIO | 2022-05-23 | 529.83 | 1.6301 | 0.4926 | no |
| CARR | 2022-05-23 | 36.21 | 1.2677 | 0.4377 | no |
| CBRE | 2022-05-23 | 80.05 | 1.3673 | 0.4568 | no |
| CEG | 2022-05-23 | 55.67 | 1.3929 | 0.4978 | no |
| COF | 2022-05-23 | 108.13 | 1.2723 | 0.4743 | no |
| COO | 2022-05-23 | 85.89 | 1.7507 | 0.5216 | no |
| CPRT | 2022-05-23 | 28.29 | 1.1146 | 0.4888 | no |
| CRL | 2022-05-23 | 234.49 | 1.3535 | 0.4684 | no |
| CRM | 2022-05-23 | 156.85 | 1.2651 | 0.5665 | no |
| DD | 2022-05-23 | 74.48 | 1.2624 | 0.5302 | no |
| DHR | 2022-05-23 | 220.62 | 1.7319 | 0.4380 | no |
| DXC | 2022-05-23 | 30.17 | 1.3036 | 0.4338 | no |
| EMR | 2022-05-23 | 77.49 | 1.2737 | 0.4578 | no |
| EQIX | 2022-05-23 | 603.61 | 1.1114 | 0.4654 | no |
| FOX | 2022-05-23 | 29.53 | 1.1947 | — | no |
| FTNT | 2022-05-23 | 57.29 | 1.4865 | 0.5411 | no |
| GOOG | 2022-05-23 | 109.07 | 1.2905 | — | no |
| GOOGL | 2022-05-23 | 108.55 | 1.3369 | 0.4565 | no |
| GRMN | 2022-05-23 | 92.48 | 1.3723 | 0.5177 | no |
| HLT | 2022-05-23 | 129.68 | 1.2267 | 0.5057 | no |
| INTU | 2022-05-23 | 359.21 | 1.2779 | 0.4511 | no |
| IQV | 2022-05-23 | 203.90 | 1.1817 | 0.4533 | no |
| IT | 2022-05-23 | 252.81 | 1.8092 | 0.4399 | no |
| IVZ | 2022-05-23 | 15.76 | 1.9092 | 0.4559 | no |
| LNC | 2022-05-23 | 42.58 | 1.7060 | 0.4376 | no |
| LOW | 2022-05-23 | 171.15 | 1.5196 | 0.5815 | no |
| LVS | 2022-05-23 | 31.75 | 1.3381 | 0.5337 | no |
| MLM | 2022-05-23 | 323.14 | 1.4324 | 0.5311 | no |
| MOS | 2022-05-23 | 51.52 | 1.1711 | 0.5502 | no |
| MRNA | 2022-05-23 | 137.60 | 1.2817 | 0.4544 | no |
| MSCI | 2022-05-23 | 398.77 | 1.1957 | 0.4547 | no |
| NDAQ | 2022-05-23 | 46.15 | 1.1870 | 0.4792 | no |
| NKE | 2022-05-23 | 98.46 | 1.7397 | 0.4547 | no |
| NSC | 2022-05-23 | 210.58 | 1.3067 | 0.5204 | no |
| NTAP | 2022-05-23 | 60.79 | 1.8761 | 0.5038 | no |
| RJF | 2022-05-23 | 87.76 | 1.5092 | 0.4658 | no |
| SPGI | 2022-05-23 | 312.68 | 1.3216 | 0.4676 | no |
| SYF | 2022-05-23 | 30.25 | 1.4258 | 0.4400 | no |
| TROW | 2022-05-23 | 99.95 | 1.3507 | — | no |
| TT | 2022-05-23 | 125.82 | 1.3002 | 0.4640 | no |
| TXT | 2022-05-23 | 63.27 | 1.7950 | 0.5551 | no |
| UNP | 2022-05-23 | 194.39 | 1.3189 | 0.5128 | no |
| URI | 2022-05-23 | 262.49 | 1.7932 | 0.5133 | no |
| WYNN | 2022-05-23 | 61.21 | 1.2387 | 0.5159 | no |