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 | -6.23% | 3.27% | 2022-08-16 | -13.58% |
| buy & hold | participation factor overlay | 6 months | complete | -2.31% | 3.27% | 2022-08-16 | -17.11% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -5.41% | 4.68% | 2022-08-16 | -13.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.15% | 4.68% | 2022-08-16 | -18.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.36% | 1.13% | 2022-08-12 | -13.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.18% | 2.26% | 2022-11-30 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.08% | 3.28% | 2022-08-12 | -13.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.87% | 3.28% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-06-06 | 144.01 | 1.3637 | 0.5644 | no |
| AES | 2022-06-06 | 19.35 | 1.0160 | — | no |
| ALK | 2022-06-06 | 49.70 | 1.6115 | 0.4869 | no |
| AMAT | 2022-06-06 | 113.05 | 1.1085 | 0.5777 | no |
| ANET | 2022-06-06 | 26.31 | 1.1196 | 0.5062 | no |
| BAC | 2022-06-06 | 32.98 | 1.1269 | 0.4748 | no |
| BRO | 2022-06-06 | 57.55 | 1.3381 | 0.4631 | no |
| BXP | 2022-06-06 | 84.46 | 1.0919 | 0.4753 | no |
| CFG | 2022-06-06 | 34.18 | 0.9161 | 0.5023 | no |
| CME | 2022-06-06 | 168.29 | 1.6905 | 0.4778 | no |
| COF | 2022-06-06 | 116.19 | 0.9225 | 0.4747 | no |
| COO | 2022-06-06 | 86.60 | 1.3288 | 0.4941 | no |
| CRL | 2022-06-06 | 246.63 | 1.7378 | 0.4669 | no |
| DAL | 2022-06-06 | 37.64 | 1.2434 | 0.5072 | no |
| DLR | 2022-06-06 | 115.28 | 1.0358 | 0.4806 | no |
| EQIX | 2022-06-06 | 630.62 | 1.0766 | 0.4654 | no |
| FDS | 2022-06-06 | 364.70 | 0.9059 | 0.4659 | no |
| FOX | 2022-06-06 | 29.93 | 1.3876 | — | no |
| GOOG | 2022-06-06 | 115.65 | 1.0892 | — | no |
| GRMN | 2022-06-06 | 95.62 | 0.9018 | 0.5199 | no |
| IQV | 2022-06-06 | 221.31 | 0.9900 | 0.4524 | no |
| IT | 2022-06-06 | 269.00 | 1.3137 | 0.4403 | no |
| IVZ | 2022-06-06 | 15.65 | 1.3818 | 0.4572 | no |
| KEY | 2022-06-06 | 15.98 | 0.9136 | 0.4988 | no |
| LNC | 2022-06-06 | 44.23 | 1.8014 | 0.4376 | no |
| LOW | 2022-06-06 | 179.87 | 1.0924 | 0.5793 | no |
| LYV | 2022-06-06 | 96.57 | 1.1381 | 0.4478 | no |
| MOS | 2022-06-06 | 53.61 | 1.1761 | 0.5510 | no |
| MSCI | 2022-06-06 | 421.22 | 0.9250 | 0.4556 | no |
| NCLH | 2022-06-06 | 15.81 | 1.0326 | 0.4621 | no |
| NDAQ | 2022-06-06 | 48.59 | 1.1802 | 0.4802 | no |
| NKE | 2022-06-06 | 111.59 | 1.3069 | 0.4528 | no |
| NSC | 2022-06-06 | 224.06 | 0.9616 | 0.5200 | no |
| NTAP | 2022-06-06 | 65.34 | 1.3821 | 0.5154 | no |
| NUE | 2022-06-06 | 122.53 | 1.4095 | 0.8058 | no |
| PENN | 2022-06-06 | 33.40 | 1.0130 | 0.4988 | no |
| QRVO | 2022-06-06 | 111.44 | 0.9045 | — | no |
| RJF | 2022-06-06 | 92.17 | 1.2547 | 0.4664 | no |
| SPG | 2022-06-06 | 86.90 | 1.3671 | 0.5426 | no |
| TDY | 2022-06-06 | 407.86 | 1.4296 | 0.4938 | no |
| TER | 2022-06-06 | 107.30 | 1.0200 | 0.5558 | no |
| TROW | 2022-06-06 | 102.58 | 1.2002 | — | no |
| UAL | 2022-06-06 | 45.02 | 1.0750 | 0.5034 | no |
| UNP | 2022-06-06 | 204.48 | 1.2483 | 0.5125 | no |
| URI | 2022-06-06 | 293.59 | 1.1729 | 0.5150 | no |
| VRSK | 2022-06-06 | 169.41 | 1.7123 | 0.4407 | no |
| WST | 2022-06-06 | 309.02 | 1.2190 | 0.4761 | no |
| WTW | 2022-06-06 | 196.75 | 1.3582 | 0.4617 | no |
| WYNN | 2022-06-06 | 64.43 | 1.1049 | 0.5104 | no |
| ZTS | 2022-06-06 | 161.91 | 0.9633 | 0.4721 | no |