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 | 5.94% | 15.30% | 2022-08-16 | -9.36% |
| buy & hold | participation factor overlay | 6 months | complete | 12.25% | 15.30% | 2022-08-16 | -16.48% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.71% | 16.53% | 2022-08-16 | -9.79% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.71% | 16.53% | 2022-08-16 | -17.77% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.77% | 11.10% | 2022-08-12 | -8.87% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.02% | 11.10% | 2022-08-12 | -17.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.19% | 12.28% | 2022-08-12 | -9.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.59% | 12.28% | 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 | 2022-06-13 | 14.12 | 1.3101 | 0.4682 | no |
| AAPL | 2022-06-13 | 130.14 | 1.6049 | 0.5644 | no |
| ADSK | 2022-06-13 | 179.61 | 1.0510 | 0.4823 | no |
| AES | 2022-06-13 | 16.80 | 1.1306 | — | no |
| ALK | 2022-06-13 | 42.70 | 1.2250 | 0.4869 | no |
| AMAT | 2022-06-13 | 94.83 | 1.0613 | 0.5780 | no |
| ANET | 2022-06-13 | 22.81 | 1.2773 | 0.5062 | no |
| AVGO | 2022-06-13 | 48.95 | 0.9863 | 0.5807 | no |
| AXP | 2022-06-13 | 142.13 | 1.0441 | 0.4622 | no |
| BRO | 2022-06-13 | 52.95 | 1.3916 | 0.4631 | no |
| CF | 2022-06-13 | 78.55 | 1.0061 | 0.5678 | no |
| COF | 2022-06-13 | 101.12 | 1.2153 | 0.4747 | no |
| CRL | 2022-06-13 | 211.54 | 1.5640 | 0.4669 | no |
| DAL | 2022-06-13 | 32.82 | 1.1555 | 0.5072 | no |
| DHI | 2022-06-13 | 65.08 | 0.9640 | 0.4353 | no |
| EQIX | 2022-06-13 | 584.59 | 1.3301 | 0.4654 | no |
| FDS | 2022-06-13 | 337.84 | 1.2142 | 0.4659 | no |
| FRT | 2022-06-13 | 83.44 | 1.0594 | 0.5138 | no |
| GOOG | 2022-06-13 | 106.44 | 1.2259 | — | no |
| GOOGL | 2022-06-13 | 105.78 | 1.2738 | 0.4530 | no |
| GRMN | 2022-06-13 | 88.19 | 1.0785 | 0.5199 | no |
| HLT | 2022-06-13 | 122.09 | 1.8030 | 0.5023 | no |
| IPGP | 2022-06-13 | 94.79 | 0.9730 | 0.5394 | no |
| IQV | 2022-06-13 | 200.22 | 1.0584 | 0.4524 | no |
| IT | 2022-06-13 | 241.12 | 0.9875 | 0.4403 | no |
| JPM | 2022-06-13 | 105.13 | 1.0570 | 0.4790 | no |
| KIM | 2022-06-13 | 16.48 | 1.0918 | 0.5022 | no |
| LOW | 2022-06-13 | 167.32 | 1.0537 | 0.5793 | no |
| MOS | 2022-06-13 | 45.78 | 1.5367 | 0.5513 | no |
| MU | 2022-06-13 | 58.75 | 1.1613 | 0.5676 | no |
| NCLH | 2022-06-13 | 12.45 | 0.9534 | 0.4621 | no |
| NDAQ | 2022-06-13 | 46.12 | 1.0023 | 0.4802 | no |
| NKE | 2022-06-13 | 101.39 | 1.5972 | 0.4538 | no |
| NTAP | 2022-06-13 | 59.26 | 1.1747 | 0.5157 | no |
| NUE | 2022-06-13 | 108.81 | 1.8703 | 0.8058 | no |
| PENN | 2022-06-13 | 30.81 | 1.2023 | 0.4988 | no |
| QCOM | 2022-06-13 | 118.69 | 1.3103 | 0.5339 | no |
| QRVO | 2022-06-13 | 98.13 | 1.0071 | — | no |
| REGN | 2022-06-13 | 549.47 | 1.2342 | 0.5397 | no |
| RJF | 2022-06-13 | 81.30 | 1.3361 | 0.4664 | no |
| ROP | 2022-06-13 | 372.83 | 1.0993 | 0.4567 | no |
| SYF | 2022-06-13 | 27.82 | 1.3479 | 0.4403 | no |
| TDY | 2022-06-13 | 374.16 | 1.2684 | 0.4938 | no |
| TROW | 2022-06-13 | 89.43 | 0.9865 | — | no |
| UAL | 2022-06-13 | 39.84 | 1.2807 | 0.5034 | no |
| URI | 2022-06-13 | 259.52 | 1.4372 | 0.5150 | no |
| VMC | 2022-06-13 | 147.02 | 1.0659 | 0.4832 | no |
| VRSK | 2022-06-13 | 155.63 | 1.2338 | 0.4407 | no |
| WTW | 2022-06-13 | 184.75 | 0.9918 | 0.4617 | no |
| ZTS | 2022-06-13 | 149.77 | 1.0444 | 0.4721 | no |