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 | -9.91% | 9.79% | 2022-08-12 | -18.28% |
| buy & hold | participation factor overlay | 6 months | complete | 2.94% | 9.79% | 2022-08-12 | -18.28% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.16% | 10.07% | 2022-08-12 | -18.69% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.20% | 10.07% | 2022-08-12 | -18.69% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.40% | 10.58% | 2022-08-12 | -17.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.22% | 10.58% | 2022-08-12 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.99% | 11.24% | 2022-08-12 | -18.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.11% | 11.24% | 2022-08-12 | -19.34% |
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 | 1.8611 | 0.4365 | no |
| ADBE | 2022-06-27 | 388.80 | 1.3354 | 0.4947 | no |
| ADM | 2022-06-27 | 66.17 | 1.2570 | 0.5476 | no |
| AFL | 2022-06-27 | 50.95 | 1.4429 | 0.4391 | no |
| ALLE | 2022-06-27 | 94.57 | 1.1851 | 0.4617 | no |
| AMD | 2022-06-27 | 87.36 | 1.0947 | 0.5410 | no |
| AOS | 2022-06-27 | 51.64 | 1.1248 | 0.4642 | no |
| APA | 2022-06-27 | 32.24 | 1.3588 | 0.7380 | no |
| BIO | 2022-06-27 | 512.82 | 1.1445 | 0.4984 | no |
| BKR | 2022-06-27 | 26.51 | 1.3964 | 0.6018 | no |
| BLK | 2022-06-27 | 586.43 | 1.1552 | — | no |
| BSX | 2022-06-27 | 37.98 | 1.4406 | 0.4419 | no |
| CE | 2022-06-27 | 119.31 | 1.0061 | 0.5324 | no |
| CF | 2022-06-27 | 77.06 | 1.5077 | 0.5634 | no |
| COF | 2022-06-27 | 103.20 | 1.0854 | 0.4632 | no |
| COP | 2022-06-27 | 78.95 | 1.0634 | 0.6491 | no |
| DAL | 2022-06-27 | 30.24 | 1.7547 | 0.4727 | no |
| EXR | 2022-06-27 | 143.56 | 1.2184 | 0.5192 | no |
| FMC | 2022-06-27 | 93.96 | 1.5883 | 0.5481 | no |
| FRT | 2022-06-27 | 83.82 | 1.1323 | 0.5031 | no |
| HAL | 2022-06-27 | 28.77 | 1.5107 | 0.5846 | no |
| HLT | 2022-06-27 | 115.21 | 1.5958 | 0.5019 | no |
| HPE | 2022-06-27 | 12.66 | 1.2458 | 0.5280 | no |
| HST | 2022-06-27 | 12.68 | 1.9304 | 0.5008 | no |
| IR | 2022-06-27 | 43.43 | 1.0464 | 0.4880 | no |
| IRM | 2022-06-27 | 42.51 | 1.0518 | 0.4813 | no |
| J | 2022-06-27 | 100.62 | 1.1357 | 0.4940 | no |
| KIM | 2022-06-27 | 16.44 | 1.0756 | 0.4916 | no |
| LRCX | 2022-06-27 | 43.79 | 1.3223 | 0.5702 | no |
| LUV | 2022-06-27 | 34.73 | 1.5358 | 0.4979 | no |
| LYB | 2022-06-27 | 68.09 | 1.3072 | 0.5336 | no |
| MAR | 2022-06-27 | 134.08 | 1.8536 | 0.5039 | no |
| MCHP | 2022-06-27 | 55.59 | 1.5509 | 0.5537 | no |
| MPWR | 2022-06-27 | 414.71 | 1.0867 | 0.5673 | no |
| NKE | 2022-06-27 | 103.09 | 1.0108 | 0.4554 | no |
| NUE | 2022-06-27 | 105.62 | 1.0867 | 0.7467 | no |
| OXY | 2022-06-27 | 54.40 | 1.1705 | 0.6113 | no |
| QRVO | 2022-06-27 | 99.29 | 1.2147 | — | no |
| REG | 2022-06-27 | 51.37 | 1.0235 | 0.5246 | no |
| RJF | 2022-06-27 | 87.34 | 1.0270 | 0.4733 | no |
| ROP | 2022-06-27 | 395.24 | 1.2999 | 0.4567 | no |
| SLB | 2022-06-27 | 32.39 | 1.2339 | 0.6542 | no |
| STE | 2022-06-27 | 199.77 | 1.4666 | 0.4386 | no |
| STX | 2022-06-27 | 66.56 | 1.4675 | 0.5366 | no |
| TER | 2022-06-27 | 96.50 | 1.3425 | 0.5589 | no |
| TRMB | 2022-06-27 | 60.97 | 1.6114 | 0.5082 | no |
| UAL | 2022-06-27 | 38.82 | 1.8651 | 0.4712 | no |
| WHR | 2022-06-27 | 134.20 | 1.1204 | 0.4826 | no |
| WMB | 2022-06-27 | 25.34 | 1.1888 | 0.4966 | no |
| WY | 2022-06-27 | 29.57 | 1.4281 | 0.5019 | no |