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 | -9.47% | 8.98% | 2022-08-12 | -17.30% |
| buy & hold | participation factor overlay | 6 months | complete | 2.56% | 10.04% | 2022-11-11 | -17.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -8.94% | 9.84% | 2022-08-12 | -17.41% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.69% | 9.84% | 2022-08-12 | -17.41% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.40% | 9.96% | 2022-08-12 | -16.71% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.86% | 10.27% | 2022-12-13 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.76% | 10.30% | 2022-08-12 | -16.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.55% | 10.30% | 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 | 2022-06-27 | 13.96 | 1.3864 | 0.4365 | no |
| AAPL | 2022-06-27 | 139.77 | 1.0966 | 0.5690 | no |
| ADBE | 2022-06-27 | 388.80 | 1.3444 | 0.4947 | no |
| ADM | 2022-06-27 | 66.17 | 1.1513 | 0.5476 | no |
| ADSK | 2022-06-27 | 191.48 | 0.9916 | 0.4823 | no |
| AES | 2022-06-27 | 17.79 | 1.0219 | — | no |
| AFL | 2022-06-27 | 50.95 | 1.3193 | 0.4391 | no |
| ALLE | 2022-06-27 | 94.57 | 1.2840 | 0.4617 | no |
| AMD | 2022-06-27 | 87.36 | 1.0986 | 0.5410 | no |
| AOS | 2022-06-27 | 51.64 | 0.9908 | 0.4642 | no |
| APA | 2022-06-27 | 32.24 | 1.4555 | 0.7380 | no |
| BIO | 2022-06-27 | 512.82 | 1.3079 | 0.4984 | no |
| BKR | 2022-06-27 | 26.51 | 1.3498 | 0.6018 | no |
| BLK | 2022-06-27 | 586.43 | 1.0441 | — | no |
| BSX | 2022-06-27 | 37.98 | 1.6353 | 0.4419 | no |
| CE | 2022-06-27 | 119.31 | 1.1842 | 0.5324 | no |
| CF | 2022-06-27 | 77.06 | 1.5436 | 0.5634 | no |
| COF | 2022-06-27 | 103.20 | 1.3193 | 0.4632 | no |
| COP | 2022-06-27 | 78.95 | 1.0753 | 0.6491 | no |
| CRL | 2022-06-27 | 226.84 | 1.0269 | 0.4671 | no |
| DAL | 2022-06-27 | 30.24 | 1.4976 | 0.4727 | no |
| DVN | 2022-06-27 | 45.27 | 1.1399 | 0.7395 | no |
| EOG | 2022-06-27 | 94.76 | 0.9970 | 0.7336 | no |
| EXR | 2022-06-27 | 143.56 | 1.3389 | 0.5192 | no |
| FMC | 2022-06-27 | 93.96 | 1.3499 | 0.5481 | no |
| FRT | 2022-06-27 | 83.82 | 1.0787 | 0.5031 | no |
| HAL | 2022-06-27 | 28.77 | 1.8331 | 0.5846 | no |
| HLT | 2022-06-27 | 115.21 | 1.4612 | 0.5019 | no |
| HPE | 2022-06-27 | 12.66 | 1.2758 | 0.5280 | no |
| HST | 2022-06-27 | 12.68 | 1.8846 | 0.5008 | no |
| LRCX | 2022-06-27 | 43.79 | 1.2765 | 0.5702 | no |
| LUV | 2022-06-27 | 34.73 | 1.3931 | 0.4979 | no |
| LYB | 2022-06-27 | 68.09 | 1.4521 | 0.5336 | no |
| MAR | 2022-06-27 | 134.08 | 1.6937 | 0.5039 | no |
| MCHP | 2022-06-27 | 55.59 | 1.3618 | 0.5537 | no |
| NEM | 2022-06-27 | 57.27 | 1.0288 | 0.4486 | no |
| OXY | 2022-06-27 | 54.40 | 1.1396 | 0.6113 | no |
| QCOM | 2022-06-27 | 114.70 | 0.9814 | 0.5349 | no |
| QRVO | 2022-06-27 | 99.29 | 1.2663 | — | no |
| REG | 2022-06-27 | 51.37 | 1.0658 | 0.5246 | no |
| RJF | 2022-06-27 | 87.34 | 1.0095 | 0.4733 | no |
| ROP | 2022-06-27 | 395.24 | 1.4875 | 0.4567 | no |
| SLB | 2022-06-27 | 32.39 | 1.4084 | 0.6542 | no |
| STE | 2022-06-27 | 199.77 | 1.5927 | 0.4386 | no |
| STX | 2022-06-27 | 66.56 | 1.2238 | 0.5366 | no |
| TER | 2022-06-27 | 96.50 | 1.1814 | 0.5589 | no |
| TRMB | 2022-06-27 | 60.97 | 1.5588 | 0.5082 | no |
| UAL | 2022-06-27 | 38.82 | 1.6870 | 0.4712 | no |
| WHR | 2022-06-27 | 134.20 | 1.0070 | 0.4826 | no |
| WY | 2022-06-27 | 29.57 | 1.3327 | 0.5019 | no |