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 | 4.05% | 9.51% | 2022-08-16 | -14.02% |
| buy & hold | participation factor overlay | 6 months | complete | 7.36% | 9.51% | 2022-08-16 | -17.03% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.47% | 9.81% | 2022-08-16 | -14.31% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.03% | 9.81% | 2022-08-16 | -15.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.49% | 7.79% | 2022-08-12 | -13.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.18% | 7.79% | 2022-08-12 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.72% | 7.19% | 2022-08-12 | -14.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.94% | 7.19% | 2022-08-12 | -19.34% |
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 | 1.8530 | — | no |
| ALK | 2022-05-23 | 46.98 | 2.0210 | 0.4863 | no |
| ANET | 2022-05-23 | 25.50 | 1.2246 | 0.5056 | no |
| AOS | 2022-05-23 | 53.91 | 1.3168 | 0.4658 | no |
| AXP | 2022-05-23 | 148.53 | 1.1862 | 0.4622 | no |
| BIO | 2022-05-23 | 529.83 | 1.6970 | 0.4926 | no |
| CARR | 2022-05-23 | 36.21 | 1.1514 | 0.4377 | no |
| CBRE | 2022-05-23 | 80.05 | 1.3581 | 0.4568 | no |
| CEG | 2022-05-23 | 55.67 | 1.4583 | 0.4978 | no |
| COF | 2022-05-23 | 108.13 | 1.4899 | 0.4743 | no |
| COO | 2022-05-23 | 85.89 | 1.3618 | 0.5216 | no |
| CPRT | 2022-05-23 | 28.29 | 1.1974 | 0.4888 | no |
| CRL | 2022-05-23 | 234.49 | 1.3080 | 0.4684 | no |
| CRM | 2022-05-23 | 156.85 | 1.3338 | 0.5665 | no |
| DAL | 2022-05-23 | 38.01 | 1.3098 | 0.5064 | no |
| DD | 2022-05-23 | 74.48 | 1.3676 | 0.5302 | no |
| DHR | 2022-05-23 | 220.62 | 1.4450 | 0.4380 | no |
| DXC | 2022-05-23 | 30.17 | 1.1080 | 0.4338 | no |
| EMR | 2022-05-23 | 77.49 | 1.2250 | 0.4578 | no |
| EQIX | 2022-05-23 | 603.61 | 1.1810 | 0.4654 | no |
| FTNT | 2022-05-23 | 57.29 | 1.3937 | 0.5411 | no |
| GOOG | 2022-05-23 | 109.07 | 1.2071 | — | no |
| GOOGL | 2022-05-23 | 108.55 | 1.3090 | 0.4565 | no |
| GRMN | 2022-05-23 | 92.48 | 1.5062 | 0.5177 | no |
| HLT | 2022-05-23 | 129.68 | 1.5489 | 0.5057 | no |
| INTC | 2022-05-23 | 39.27 | 1.0883 | 0.5639 | no |
| IQV | 2022-05-23 | 203.90 | 1.1448 | 0.4533 | no |
| IT | 2022-05-23 | 252.81 | 1.7839 | 0.4399 | no |
| IVZ | 2022-05-23 | 15.76 | 1.7719 | 0.4559 | no |
| LNC | 2022-05-23 | 42.58 | 1.5254 | 0.4376 | no |
| LOW | 2022-05-23 | 171.15 | 1.3508 | 0.5815 | no |
| LVS | 2022-05-23 | 31.75 | 1.2059 | 0.5337 | no |
| MGM | 2022-05-23 | 34.79 | 1.2803 | 0.5244 | no |
| MLM | 2022-05-23 | 323.14 | 1.4295 | 0.5311 | no |
| MOS | 2022-05-23 | 51.52 | 1.2110 | 0.5502 | no |
| MRNA | 2022-05-23 | 137.60 | 1.1259 | 0.4544 | no |
| MSCI | 2022-05-23 | 398.77 | 1.1617 | 0.4547 | no |
| NEE | 2022-05-23 | 63.41 | 1.1483 | 0.4461 | no |
| NKE | 2022-05-23 | 98.46 | 1.7824 | 0.4547 | no |
| NSC | 2022-05-23 | 210.58 | 1.2382 | 0.5204 | no |
| NTAP | 2022-05-23 | 60.79 | 1.9867 | 0.5038 | no |
| NUE | 2022-05-23 | 115.67 | 1.0980 | 0.8058 | no |
| NVDA | 2022-05-23 | 16.21 | 1.1328 | 0.5594 | no |
| RJF | 2022-05-23 | 87.76 | 1.5786 | 0.4658 | no |
| SYF | 2022-05-23 | 30.25 | 1.5386 | 0.4400 | no |
| TROW | 2022-05-23 | 99.95 | 1.1997 | — | no |
| TT | 2022-05-23 | 125.82 | 1.2822 | 0.4640 | no |
| TXT | 2022-05-23 | 63.27 | 1.6732 | 0.5551 | no |
| UNP | 2022-05-23 | 194.39 | 1.2487 | 0.5128 | no |
| URI | 2022-05-23 | 262.49 | 1.7513 | 0.5133 | no |