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 | -10.33% | 8.49% | 2022-08-12 | -17.78% |
| buy & hold | participation factor overlay | 6 months | complete | 0.91% | 8.49% | 2022-08-12 | -17.78% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.51% | 9.23% | 2022-08-12 | -18.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.60% | 9.23% | 2022-08-12 | -18.42% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.79% | 9.96% | 2022-08-12 | -17.09% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.84% | 9.96% | 2022-08-12 | -17.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.60% | 10.89% | 2022-08-12 | -16.87% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.71% | 10.89% | 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 | 2022-06-27 | 13.96 | 1.2826 | 0.4365 | no |
| ADBE | 2022-06-27 | 388.80 | 1.1375 | 0.4947 | no |
| ADM | 2022-06-27 | 66.17 | 1.0743 | 0.5476 | no |
| AFL | 2022-06-27 | 50.95 | 0.9699 | 0.4391 | no |
| ALLE | 2022-06-27 | 94.57 | 1.3303 | 0.4617 | no |
| AMD | 2022-06-27 | 87.36 | 1.1802 | 0.5410 | no |
| AOS | 2022-06-27 | 51.64 | 1.2272 | 0.4642 | no |
| APA | 2022-06-27 | 32.24 | 1.2838 | 0.7380 | no |
| BKR | 2022-06-27 | 26.51 | 1.1069 | 0.6018 | no |
| BLK | 2022-06-27 | 586.43 | 1.0405 | — | no |
| BSX | 2022-06-27 | 37.98 | 1.5868 | 0.4419 | no |
| CE | 2022-06-27 | 119.31 | 1.1948 | 0.5324 | no |
| CF | 2022-06-27 | 77.06 | 1.6166 | 0.5634 | no |
| COF | 2022-06-27 | 103.20 | 1.0961 | 0.4632 | no |
| CRL | 2022-06-27 | 226.84 | 1.1733 | 0.4671 | no |
| CVX | 2022-06-27 | 123.02 | 1.0014 | 0.5773 | no |
| DAL | 2022-06-27 | 30.24 | 1.6705 | 0.4727 | no |
| EXR | 2022-06-27 | 143.56 | 1.1399 | 0.5192 | no |
| FMC | 2022-06-27 | 93.96 | 1.3519 | 0.5481 | no |
| HAL | 2022-06-27 | 28.77 | 1.5125 | 0.5846 | no |
| HLT | 2022-06-27 | 115.21 | 1.2374 | 0.5019 | no |
| HPE | 2022-06-27 | 12.66 | 1.1321 | 0.5280 | no |
| HST | 2022-06-27 | 12.68 | 1.7847 | 0.5008 | no |
| IRM | 2022-06-27 | 42.51 | 0.9364 | 0.4813 | no |
| J | 2022-06-27 | 100.62 | 0.9357 | 0.4940 | no |
| KIM | 2022-06-27 | 16.44 | 0.9354 | 0.4916 | no |
| KMI | 2022-06-27 | 13.29 | 1.0170 | 0.4758 | no |
| LRCX | 2022-06-27 | 43.79 | 1.3004 | 0.5702 | no |
| LUV | 2022-06-27 | 34.73 | 1.5357 | 0.4979 | no |
| LYB | 2022-06-27 | 68.09 | 1.2740 | 0.5336 | no |
| MAR | 2022-06-27 | 134.08 | 1.5663 | 0.5039 | no |
| MCHP | 2022-06-27 | 55.59 | 1.3975 | 0.5537 | no |
| MPWR | 2022-06-27 | 414.71 | 1.0189 | 0.5673 | no |
| NEM | 2022-06-27 | 57.27 | 0.9297 | 0.4486 | no |
| NXPI | 2022-06-27 | 149.01 | 1.0443 | 0.5772 | no |
| OXY | 2022-06-27 | 54.40 | 1.0208 | 0.6113 | no |
| POOL | 2022-06-27 | 334.36 | 1.0373 | 0.4820 | no |
| QCOM | 2022-06-27 | 114.70 | 1.0932 | 0.5349 | no |
| QRVO | 2022-06-27 | 99.29 | 1.1939 | — | no |
| REGN | 2022-06-27 | 603.07 | 1.0083 | 0.5397 | no |
| ROP | 2022-06-27 | 395.24 | 1.4018 | 0.4567 | no |
| SLB | 2022-06-27 | 32.39 | 1.4477 | 0.6542 | no |
| STE | 2022-06-27 | 199.77 | 1.3071 | 0.4386 | no |
| STX | 2022-06-27 | 66.56 | 1.4234 | 0.5366 | no |
| TER | 2022-06-27 | 96.50 | 1.0978 | 0.5589 | no |
| TRMB | 2022-06-27 | 60.97 | 1.3083 | 0.5082 | no |
| TROW | 2022-06-27 | 99.84 | 1.0546 | — | no |
| UAL | 2022-06-27 | 38.82 | 1.6863 | 0.4712 | no |
| WHR | 2022-06-27 | 134.20 | 1.1205 | 0.4826 | no |
| WY | 2022-06-27 | 29.57 | 1.2074 | 0.5019 | no |