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 | 5.68% | 15.58% | 2022-08-16 | -9.50% |
| buy & hold | participation factor overlay | 6 months | complete | 11.25% | 15.58% | 2022-08-16 | -16.62% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.74% | 16.95% | 2022-08-16 | -9.90% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.60% | 16.95% | 2022-08-16 | -17.70% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.25% | 12.49% | 2022-08-12 | -8.87% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.81% | 12.81% | 2022-12-13 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.52% | 12.96% | 2022-08-12 | -9.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.43% | 12.96% | 2022-08-12 | -17.44% |
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 | 2022-06-13 | 14.12 | 1.3780 | 0.4682 | no |
| AAPL | 2022-06-13 | 130.14 | 1.6770 | 0.5644 | no |
| ADSK | 2022-06-13 | 179.61 | 1.0280 | 0.4823 | no |
| AJG | 2022-06-13 | 143.46 | 0.9828 | 0.4575 | no |
| AMAT | 2022-06-13 | 94.83 | 1.0879 | 0.5780 | no |
| ANET | 2022-06-13 | 22.81 | 1.2350 | 0.5062 | no |
| AXP | 2022-06-13 | 142.13 | 1.0943 | 0.4622 | no |
| BRO | 2022-06-13 | 52.95 | 1.4152 | 0.4631 | no |
| CF | 2022-06-13 | 78.55 | 1.1150 | 0.5678 | no |
| CME | 2022-06-13 | 163.30 | 1.0222 | 0.4778 | no |
| COF | 2022-06-13 | 101.12 | 1.4290 | 0.4747 | no |
| CRL | 2022-06-13 | 211.54 | 1.6011 | 0.4669 | no |
| DAL | 2022-06-13 | 32.82 | 1.1436 | 0.5072 | no |
| DHI | 2022-06-13 | 65.08 | 1.1521 | 0.4353 | no |
| EQIX | 2022-06-13 | 584.59 | 1.0917 | 0.4654 | no |
| EXR | 2022-06-13 | 134.39 | 1.0804 | 0.5334 | no |
| FDS | 2022-06-13 | 337.84 | 1.1221 | 0.4659 | no |
| FRT | 2022-06-13 | 83.44 | 1.1377 | 0.5138 | no |
| GOOG | 2022-06-13 | 106.44 | 1.4520 | — | no |
| GOOGL | 2022-06-13 | 105.78 | 1.4255 | 0.4530 | no |
| GRMN | 2022-06-13 | 88.19 | 1.2160 | 0.5199 | no |
| HLT | 2022-06-13 | 122.09 | 1.9049 | 0.5023 | no |
| HPE | 2022-06-13 | 12.41 | 0.9836 | 0.5233 | no |
| IQV | 2022-06-13 | 200.22 | 0.9861 | 0.4524 | no |
| KIM | 2022-06-13 | 16.48 | 1.0766 | 0.5022 | no |
| LOW | 2022-06-13 | 167.32 | 1.1963 | 0.5793 | no |
| MOS | 2022-06-13 | 45.78 | 1.6236 | 0.5513 | no |
| MU | 2022-06-13 | 58.75 | 1.3690 | 0.5676 | no |
| NDAQ | 2022-06-13 | 46.12 | 1.1827 | 0.4802 | no |
| NKE | 2022-06-13 | 101.39 | 1.5304 | 0.4538 | no |
| NTAP | 2022-06-13 | 59.26 | 1.0224 | 0.5157 | no |
| NUE | 2022-06-13 | 108.81 | 1.9835 | 0.8058 | no |
| ORCL | 2022-06-13 | 62.18 | 1.1811 | 0.5450 | no |
| PENN | 2022-06-13 | 30.81 | 1.3868 | 0.4988 | no |
| PSA | 2022-06-13 | 243.57 | 1.1443 | 0.5326 | no |
| QCOM | 2022-06-13 | 118.69 | 1.2243 | 0.5339 | no |
| QRVO | 2022-06-13 | 98.13 | 1.0220 | — | no |
| REGN | 2022-06-13 | 549.47 | 1.1442 | 0.5397 | no |
| RJF | 2022-06-13 | 81.30 | 1.2845 | 0.4664 | no |
| ROP | 2022-06-13 | 372.83 | 1.0992 | 0.4567 | no |
| SYF | 2022-06-13 | 27.82 | 1.3173 | 0.4403 | no |
| TDY | 2022-06-13 | 374.16 | 1.3077 | 0.4938 | no |
| TER | 2022-06-13 | 92.08 | 1.1125 | 0.5574 | no |
| TROW | 2022-06-13 | 89.43 | 1.0570 | — | no |
| UAL | 2022-06-13 | 39.84 | 1.0634 | 0.5034 | no |
| URI | 2022-06-13 | 259.52 | 1.7127 | 0.5150 | no |
| VRSK | 2022-06-13 | 155.63 | 1.2435 | 0.4407 | no |
| WTW | 2022-06-13 | 184.75 | 1.1379 | 0.4617 | no |
| WYNN | 2022-06-13 | 57.24 | 1.0178 | 0.5104 | no |
| ZTS | 2022-06-13 | 149.77 | 1.0789 | 0.4721 | no |