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 | -6.26% | 3.07% | 2022-08-16 | -13.81% |
| buy & hold | participation factor overlay | 6 months | complete | -2.18% | 3.07% | 2022-08-16 | -16.89% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.41% | 3.52% | 2022-08-16 | -13.94% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.73% | 3.52% | 2022-08-16 | -18.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.70% | 0.42% | 2022-06-07 | -14.68% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.66% | 0.42% | 2022-06-07 | -17.41% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.32% | 0.84% | 2022-08-12 | -14.61% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.79% | 0.84% | 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 |
|---|---|---|---|---|---|
| AAL | 2022-06-06 | 16.53 | 1.3107 | 0.4682 | no |
| AAPL | 2022-06-06 | 144.01 | 1.7106 | 0.5644 | no |
| AES | 2022-06-06 | 19.35 | 0.9295 | — | no |
| AJG | 2022-06-06 | 156.95 | 0.9581 | 0.4575 | no |
| ALK | 2022-06-06 | 49.70 | 1.5236 | 0.4869 | no |
| ANET | 2022-06-06 | 26.31 | 1.2002 | 0.5062 | no |
| BAC | 2022-06-06 | 32.98 | 1.0761 | 0.4748 | no |
| BRO | 2022-06-06 | 57.55 | 1.1514 | 0.4631 | no |
| BXP | 2022-06-06 | 84.46 | 1.2335 | 0.4753 | no |
| CFG | 2022-06-06 | 34.18 | 0.8856 | 0.5023 | no |
| CME | 2022-06-06 | 168.29 | 1.5963 | 0.4778 | no |
| COF | 2022-06-06 | 116.19 | 0.9130 | 0.4747 | no |
| COO | 2022-06-06 | 86.60 | 1.3330 | 0.4941 | no |
| CRL | 2022-06-06 | 246.63 | 1.7694 | 0.4669 | no |
| DAL | 2022-06-06 | 37.64 | 1.2095 | 0.5072 | no |
| DLR | 2022-06-06 | 115.28 | 1.0499 | 0.4806 | no |
| EQIX | 2022-06-06 | 630.62 | 1.1912 | 0.4654 | no |
| FCX | 2022-06-06 | 39.39 | 0.9320 | 0.7781 | no |
| FDS | 2022-06-06 | 364.70 | 0.9062 | 0.4659 | no |
| FOX | 2022-06-06 | 29.93 | 1.4708 | — | no |
| GOOG | 2022-06-06 | 115.65 | 1.1110 | — | no |
| GOOGL | 2022-06-06 | 115.60 | 0.9267 | 0.4530 | no |
| IQV | 2022-06-06 | 221.31 | 0.9863 | 0.4524 | no |
| IT | 2022-06-06 | 269.00 | 1.3057 | 0.4403 | no |
| IVZ | 2022-06-06 | 15.65 | 1.4827 | 0.4572 | no |
| LNC | 2022-06-06 | 44.23 | 1.7132 | 0.4376 | no |
| LYV | 2022-06-06 | 96.57 | 1.1869 | 0.4478 | no |
| MOS | 2022-06-06 | 53.61 | 1.1418 | 0.5510 | no |
| MSCI | 2022-06-06 | 421.22 | 1.0459 | 0.4556 | no |
| NCLH | 2022-06-06 | 15.81 | 1.0706 | 0.4621 | no |
| NDAQ | 2022-06-06 | 48.59 | 1.0003 | 0.4802 | no |
| NKE | 2022-06-06 | 111.59 | 1.1334 | 0.4528 | no |
| NTAP | 2022-06-06 | 65.34 | 1.2329 | 0.5154 | no |
| NUE | 2022-06-06 | 122.53 | 1.1686 | 0.8058 | no |
| PENN | 2022-06-06 | 33.40 | 0.9860 | 0.4988 | no |
| QRVO | 2022-06-06 | 111.44 | 0.8860 | — | no |
| RJF | 2022-06-06 | 92.17 | 1.4808 | 0.4664 | no |
| SPG | 2022-06-06 | 86.90 | 1.4013 | 0.5426 | no |
| TDY | 2022-06-06 | 407.86 | 1.3793 | 0.4938 | no |
| TER | 2022-06-06 | 107.30 | 1.1294 | 0.5558 | no |
| TROW | 2022-06-06 | 102.58 | 1.0840 | — | no |
| UAL | 2022-06-06 | 45.02 | 1.3272 | 0.5034 | no |
| UNP | 2022-06-06 | 204.48 | 1.0550 | 0.5125 | no |
| URI | 2022-06-06 | 293.59 | 0.9679 | 0.5150 | no |
| VRSK | 2022-06-06 | 169.41 | 1.8903 | 0.4407 | no |
| WFC | 2022-06-06 | 40.70 | 0.9456 | 0.4780 | no |
| WST | 2022-06-06 | 309.02 | 1.1180 | 0.4761 | no |
| WTW | 2022-06-06 | 196.75 | 1.5442 | 0.4617 | no |
| WYNN | 2022-06-06 | 64.43 | 1.0736 | 0.5104 | no |
| ZTS | 2022-06-06 | 161.91 | 1.0282 | 0.4721 | no |