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 | 6.05% | 15.21% | 2022-08-16 | -8.98% |
| buy & hold | participation factor overlay | 6 months | complete | 11.71% | 15.21% | 2022-08-16 | -16.63% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.53% | 16.38% | 2022-08-16 | -9.66% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.42% | 16.38% | 2022-08-16 | -17.76% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.23% | 12.09% | 2022-08-12 | -8.39% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.51% | 13.51% | 2022-12-13 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.89% | 14.54% | 2022-08-12 | -9.06% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.16% | 14.54% | 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 |
|---|---|---|---|---|---|
| AAL | 2022-06-13 | 14.12 | 1.6238 | 0.4682 | no |
| AAPL | 2022-06-13 | 130.14 | 1.5368 | 0.5644 | no |
| AES | 2022-06-13 | 16.80 | 0.9772 | — | no |
| AJG | 2022-06-13 | 143.46 | 1.1695 | 0.4575 | no |
| ALK | 2022-06-13 | 42.70 | 1.1874 | 0.4869 | no |
| AMAT | 2022-06-13 | 94.83 | 1.0936 | 0.5780 | no |
| ANET | 2022-06-13 | 22.81 | 1.1732 | 0.5062 | no |
| AXP | 2022-06-13 | 142.13 | 1.1825 | 0.4622 | no |
| BIO | 2022-06-13 | 491.35 | 0.9753 | 0.4926 | no |
| BRO | 2022-06-13 | 52.95 | 1.2711 | 0.4631 | no |
| CF | 2022-06-13 | 78.55 | 1.2220 | 0.5678 | no |
| CME | 2022-06-13 | 163.30 | 1.0545 | 0.4778 | no |
| COF | 2022-06-13 | 101.12 | 1.3136 | 0.4747 | no |
| CRL | 2022-06-13 | 211.54 | 1.5270 | 0.4669 | no |
| DAL | 2022-06-13 | 32.82 | 1.1983 | 0.5072 | no |
| DHI | 2022-06-13 | 65.08 | 1.0332 | 0.4353 | no |
| EQIX | 2022-06-13 | 584.59 | 1.2014 | 0.4654 | no |
| FDS | 2022-06-13 | 337.84 | 1.2588 | 0.4659 | no |
| FRT | 2022-06-13 | 83.44 | 1.2079 | 0.5138 | no |
| GOOG | 2022-06-13 | 106.44 | 1.3516 | — | no |
| GOOGL | 2022-06-13 | 105.78 | 1.3189 | 0.4530 | no |
| GRMN | 2022-06-13 | 88.19 | 1.0890 | 0.5199 | no |
| HLT | 2022-06-13 | 122.09 | 1.8825 | 0.5023 | no |
| IQV | 2022-06-13 | 200.22 | 1.0731 | 0.4524 | no |
| JPM | 2022-06-13 | 105.13 | 0.9768 | 0.4790 | no |
| KIM | 2022-06-13 | 16.48 | 1.2618 | 0.5022 | no |
| MOS | 2022-06-13 | 45.78 | 1.5143 | 0.5513 | no |
| MSCI | 2022-06-13 | 377.00 | 0.9787 | 0.4556 | no |
| MU | 2022-06-13 | 58.75 | 1.1853 | 0.5676 | no |
| NDAQ | 2022-06-13 | 46.12 | 0.9713 | 0.4802 | no |
| NKE | 2022-06-13 | 101.39 | 1.3416 | 0.4538 | no |
| NTAP | 2022-06-13 | 59.26 | 1.2087 | 0.5157 | no |
| NUE | 2022-06-13 | 108.81 | 1.9267 | 0.8058 | no |
| ORCL | 2022-06-13 | 62.18 | 1.0188 | 0.5450 | no |
| PENN | 2022-06-13 | 30.81 | 1.2275 | 0.4988 | no |
| PSA | 2022-06-13 | 243.57 | 1.1410 | 0.5326 | no |
| QRVO | 2022-06-13 | 98.13 | 1.1477 | — | no |
| REGN | 2022-06-13 | 549.47 | 1.1287 | 0.5397 | no |
| RJF | 2022-06-13 | 81.30 | 1.3197 | 0.4664 | no |
| ROP | 2022-06-13 | 372.83 | 1.1563 | 0.4567 | no |
| SPG | 2022-06-13 | 78.31 | 1.0320 | 0.5426 | no |
| SYF | 2022-06-13 | 27.82 | 1.3277 | 0.4403 | no |
| TDY | 2022-06-13 | 374.16 | 1.3806 | 0.4938 | no |
| TER | 2022-06-13 | 92.08 | 0.9895 | 0.5574 | no |
| TROW | 2022-06-13 | 89.43 | 1.0857 | — | no |
| UAL | 2022-06-13 | 39.84 | 0.9448 | 0.5034 | no |
| URI | 2022-06-13 | 259.52 | 1.5239 | 0.5150 | no |
| VRSK | 2022-06-13 | 155.63 | 1.1919 | 0.4407 | no |
| WTW | 2022-06-13 | 184.75 | 1.2933 | 0.4617 | no |
| ZTS | 2022-06-13 | 149.77 | 0.9537 | 0.4721 | no |