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 | 4.64% | 10.00% | 2022-08-16 | -13.28% |
| buy & hold | participation factor overlay | 6 months | complete | 6.99% | 10.00% | 2022-08-16 | -16.94% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.24% | 10.94% | 2022-08-16 | -13.39% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.44% | 10.94% | 2022-08-16 | -17.35% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.98% | 6.18% | 2022-06-02 | -14.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.93% | 6.18% | 2022-06-02 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.12% | 6.49% | 2022-08-12 | -15.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.18% | 6.49% | 2022-08-12 | -17.63% |
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 | 1.9321 | — | no |
| ALK | 2022-05-23 | 46.98 | 1.7588 | 0.4863 | no |
| ANET | 2022-05-23 | 25.50 | 1.3157 | 0.5056 | no |
| AOS | 2022-05-23 | 53.91 | 1.4333 | 0.4658 | no |
| BIO | 2022-05-23 | 529.83 | 1.5399 | 0.4926 | no |
| BSX | 2022-05-23 | 39.62 | 1.1550 | 0.4456 | no |
| CARR | 2022-05-23 | 36.21 | 1.3266 | 0.4377 | no |
| CBRE | 2022-05-23 | 80.05 | 1.3057 | 0.4568 | no |
| CEG | 2022-05-23 | 55.67 | 1.4182 | 0.4978 | no |
| COF | 2022-05-23 | 108.13 | 1.3831 | 0.4743 | no |
| COO | 2022-05-23 | 85.89 | 1.6090 | 0.5216 | no |
| CRL | 2022-05-23 | 234.49 | 1.3144 | 0.4684 | no |
| CRM | 2022-05-23 | 156.85 | 1.3061 | 0.5665 | no |
| DAL | 2022-05-23 | 38.01 | 1.1916 | 0.5064 | no |
| DD | 2022-05-23 | 74.48 | 1.2723 | 0.5302 | no |
| DHR | 2022-05-23 | 220.62 | 1.6414 | 0.4380 | no |
| DXC | 2022-05-23 | 30.17 | 1.1539 | 0.4338 | no |
| EMR | 2022-05-23 | 77.49 | 1.3030 | 0.4578 | no |
| EQIX | 2022-05-23 | 603.61 | 1.3907 | 0.4654 | no |
| FOX | 2022-05-23 | 29.53 | 1.1621 | — | no |
| FTNT | 2022-05-23 | 57.29 | 1.3801 | 0.5411 | no |
| GOOG | 2022-05-23 | 109.07 | 1.3323 | — | no |
| GOOGL | 2022-05-23 | 108.55 | 1.4060 | 0.4565 | no |
| GRMN | 2022-05-23 | 92.48 | 1.4536 | 0.5177 | no |
| HLT | 2022-05-23 | 129.68 | 1.3256 | 0.5057 | no |
| INTU | 2022-05-23 | 359.21 | 1.1993 | 0.4511 | no |
| IT | 2022-05-23 | 252.81 | 1.8071 | 0.4399 | no |
| IVZ | 2022-05-23 | 15.76 | 1.9058 | 0.4559 | no |
| LNC | 2022-05-23 | 42.58 | 1.3628 | 0.4376 | no |
| LOW | 2022-05-23 | 171.15 | 1.3563 | 0.5815 | no |
| LRCX | 2022-05-23 | 45.57 | 1.1508 | 0.5698 | no |
| MLM | 2022-05-23 | 323.14 | 1.6174 | 0.5311 | no |
| MOS | 2022-05-23 | 51.52 | 1.1721 | 0.5502 | no |
| MSCI | 2022-05-23 | 398.77 | 1.3782 | 0.4547 | no |
| NDAQ | 2022-05-23 | 46.15 | 1.2961 | 0.4792 | no |
| NEE | 2022-05-23 | 63.41 | 1.2153 | 0.4461 | no |
| NKE | 2022-05-23 | 98.46 | 1.7584 | 0.4547 | no |
| NOW | 2022-05-23 | 86.18 | 1.2654 | 0.4931 | no |
| NSC | 2022-05-23 | 210.58 | 1.2586 | 0.5204 | no |
| NTAP | 2022-05-23 | 60.79 | 1.9861 | 0.5038 | no |
| ORCL | 2022-05-23 | 65.51 | 1.2219 | 0.5469 | no |
| RJF | 2022-05-23 | 87.76 | 1.5643 | 0.4658 | no |
| SPGI | 2022-05-23 | 312.68 | 1.3808 | 0.4676 | no |
| SYF | 2022-05-23 | 30.25 | 1.4838 | 0.4400 | no |
| TER | 2022-05-23 | 100.69 | 1.2027 | 0.5552 | no |
| TROW | 2022-05-23 | 99.95 | 1.3681 | — | no |
| TT | 2022-05-23 | 125.82 | 1.2721 | 0.4640 | no |
| TXT | 2022-05-23 | 63.27 | 1.5208 | 0.5551 | no |
| UNP | 2022-05-23 | 194.39 | 1.3522 | 0.5128 | no |
| URI | 2022-05-23 | 262.49 | 1.7545 | 0.5133 | no |