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 | -8.52% | 10.29% | 2022-08-12 | -17.53% |
| buy & hold | participation factor overlay | 6 months | complete | 2.49% | 10.29% | 2022-08-12 | -17.53% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -9.71% | 8.99% | 2022-08-12 | -17.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.85% | 8.99% | 2022-08-12 | -17.41% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.91% | 9.68% | 2022-08-12 | -16.08% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.09% | 11.07% | 2022-12-13 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.86% | 11.67% | 2022-08-12 | -16.64% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.60% | 11.67% | 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 | 2022-06-27 | 13.96 | 1.4333 | 0.4365 | no |
| ADBE | 2022-06-27 | 388.80 | 1.3772 | 0.4947 | no |
| ADM | 2022-06-27 | 66.17 | 1.4249 | 0.5476 | no |
| AES | 2022-06-27 | 17.79 | 1.0961 | — | no |
| AFL | 2022-06-27 | 50.95 | 1.0788 | 0.4391 | no |
| ALB | 2022-06-27 | 209.60 | 1.0249 | 0.6008 | no |
| ALLE | 2022-06-27 | 94.57 | 1.1963 | 0.4617 | no |
| AMAT | 2022-06-27 | 94.55 | 1.0520 | 0.5796 | no |
| AMD | 2022-06-27 | 87.36 | 1.0613 | 0.5410 | no |
| APA | 2022-06-27 | 32.24 | 1.3708 | 0.7380 | no |
| AXP | 2022-06-27 | 140.36 | 0.9989 | 0.4565 | no |
| BIO | 2022-06-27 | 512.82 | 1.1785 | 0.4984 | no |
| BKR | 2022-06-27 | 26.51 | 1.4780 | 0.6018 | no |
| BLK | 2022-06-27 | 586.43 | 1.1178 | — | no |
| BSX | 2022-06-27 | 37.98 | 1.6231 | 0.4419 | no |
| CE | 2022-06-27 | 119.31 | 1.1321 | 0.5324 | no |
| CF | 2022-06-27 | 77.06 | 1.4419 | 0.5634 | no |
| COF | 2022-06-27 | 103.20 | 1.4911 | 0.4632 | no |
| DAL | 2022-06-27 | 30.24 | 1.7069 | 0.4727 | no |
| DVN | 2022-06-27 | 45.27 | 1.0427 | 0.7395 | no |
| EXR | 2022-06-27 | 143.56 | 1.3089 | 0.5192 | no |
| FMC | 2022-06-27 | 93.96 | 1.5271 | 0.5481 | no |
| FRT | 2022-06-27 | 83.82 | 1.0215 | 0.5031 | no |
| HAL | 2022-06-27 | 28.77 | 1.7110 | 0.5846 | no |
| HLT | 2022-06-27 | 115.21 | 1.3605 | 0.5019 | no |
| HPE | 2022-06-27 | 12.66 | 1.1313 | 0.5280 | no |
| HST | 2022-06-27 | 12.68 | 1.8146 | 0.5008 | no |
| J | 2022-06-27 | 100.62 | 1.1053 | 0.4940 | no |
| LRCX | 2022-06-27 | 43.79 | 1.3103 | 0.5702 | no |
| LUV | 2022-06-27 | 34.73 | 1.5818 | 0.4979 | no |
| LYB | 2022-06-27 | 68.09 | 1.4933 | 0.5336 | no |
| MAR | 2022-06-27 | 134.08 | 1.8169 | 0.5039 | no |
| MCHP | 2022-06-27 | 55.59 | 1.5496 | 0.5537 | no |
| MPWR | 2022-06-27 | 414.71 | 1.0291 | 0.5673 | no |
| NUE | 2022-06-27 | 105.62 | 1.0262 | 0.7467 | no |
| OXY | 2022-06-27 | 54.40 | 1.4043 | 0.6113 | no |
| QCOM | 2022-06-27 | 114.70 | 1.0429 | 0.5349 | no |
| QRVO | 2022-06-27 | 99.29 | 1.0970 | — | no |
| REGN | 2022-06-27 | 603.07 | 1.1241 | 0.5397 | no |
| RJF | 2022-06-27 | 87.34 | 1.0534 | 0.4733 | no |
| ROP | 2022-06-27 | 395.24 | 1.5347 | 0.4567 | no |
| SLB | 2022-06-27 | 32.39 | 1.4650 | 0.6542 | no |
| STE | 2022-06-27 | 199.77 | 1.5420 | 0.4386 | no |
| STX | 2022-06-27 | 66.56 | 1.5174 | 0.5366 | no |
| TER | 2022-06-27 | 96.50 | 1.4157 | 0.5589 | no |
| TRMB | 2022-06-27 | 60.97 | 1.4103 | 0.5082 | no |
| UAL | 2022-06-27 | 38.82 | 1.7162 | 0.4712 | no |
| WHR | 2022-06-27 | 134.20 | 1.2430 | 0.4826 | no |
| WMB | 2022-06-27 | 25.34 | 1.0048 | 0.4966 | no |
| WY | 2022-06-27 | 29.57 | 1.2643 | 0.5019 | no |