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 | -6.54% | 14.37% | 2022-08-16 | -18.54% |
| buy & hold | participation factor overlay | 6 months | complete | 8.00% | 14.37% | 2022-08-16 | -19.11% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.84% | 13.87% | 2022-08-16 | -18.93% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.18% | 13.87% | 2022-08-16 | -18.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.41% | 13.82% | 2022-08-12 | -16.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 16.59% | 16.59% | 2023-01-11 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.80% | 13.99% | 2022-08-12 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 15.16% | 15.16% | 2023-01-11 | -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 |
|---|---|---|---|---|---|
| AFL | 2022-07-11 | 51.10 | 1.2563 | 0.4419 | no |
| AIG | 2022-07-11 | 46.29 | 1.2787 | 0.4405 | no |
| ALB | 2022-07-11 | 190.72 | 1.2216 | 0.5682 | no |
| ALLE | 2022-07-11 | 91.63 | 1.5853 | 0.4644 | no |
| AMD | 2022-07-11 | 77.85 | 1.2263 | 0.5307 | no |
| AMP | 2022-07-11 | 220.45 | 1.2684 | 0.4358 | no |
| ANET | 2022-07-11 | 25.53 | 1.3488 | 0.4992 | no |
| CCI | 2022-07-11 | 136.77 | 1.3292 | 0.5043 | no |
| CFG | 2022-07-11 | 30.02 | 1.5832 | 0.4978 | no |
| CSX | 2022-07-11 | 27.10 | 1.1795 | 0.5198 | no |
| ETN | 2022-07-11 | 119.18 | 1.1980 | 0.4595 | no |
| FITB | 2022-07-11 | 28.65 | 1.3263 | 0.4913 | no |
| GNRC | 2022-07-11 | 227.06 | 1.2584 | 0.4759 | no |
| HPQ | 2022-07-11 | 26.67 | 1.3948 | 0.5589 | no |
| HSIC | 2022-07-11 | 76.26 | 1.3187 | 0.5233 | no |
| HST | 2022-07-11 | 12.40 | 1.5691 | 0.4501 | no |
| INTC | 2022-07-11 | 35.47 | 1.3634 | 0.5477 | no |
| IR | 2022-07-11 | 41.90 | 1.1464 | 0.4803 | no |
| IRM | 2022-07-11 | 41.68 | 1.1855 | 0.4862 | no |
| KEY | 2022-07-11 | 13.94 | 1.2239 | 0.4992 | no |
| KIM | 2022-07-11 | 16.07 | 1.5525 | 0.4658 | no |
| LRCX | 2022-07-11 | 39.27 | 1.1848 | 0.5561 | no |
| LUV | 2022-07-11 | 33.44 | 1.6604 | 0.4895 | no |
| LYB | 2022-07-11 | 66.36 | 1.3057 | 0.5059 | no |
| MAR | 2022-07-11 | 131.68 | 1.2621 | 0.4597 | no |
| MCHP | 2022-07-11 | 53.06 | 1.3588 | 0.5386 | no |
| MLM | 2022-07-11 | 295.37 | 1.2098 | 0.5069 | no |
| MOH | 2022-07-11 | 282.35 | 1.4180 | 0.4710 | no |
| MPWR | 2022-07-11 | 378.87 | 1.3188 | 0.5487 | no |
| MU | 2022-07-11 | 56.99 | 1.4666 | 0.5721 | no |
| NVDA | 2022-07-11 | 15.47 | 1.2337 | 0.5483 | no |
| OGN | 2022-07-11 | 27.42 | 1.3672 | 0.5674 | no |
| OXY | 2022-07-11 | 55.68 | 1.6012 | 0.5760 | no |
| PKG | 2022-07-11 | 122.25 | 1.2834 | 0.5442 | no |
| PRU | 2022-07-11 | 77.74 | 1.3002 | 0.4448 | no |
| QRVO | 2022-07-11 | 96.25 | 1.6145 | — | no |
| REG | 2022-07-11 | 50.33 | 1.8865 | 0.5013 | no |
| RJF | 2022-07-11 | 84.43 | 1.4169 | 0.4777 | no |
| ROP | 2022-07-11 | 387.97 | 1.3626 | 0.4524 | no |
| SBAC | 2022-07-11 | 299.64 | 1.1844 | 0.5004 | no |
| STE | 2022-07-11 | 198.74 | 1.4268 | 0.4688 | no |
| SWKS | 2022-07-11 | 84.74 | 1.5997 | 0.5800 | no |
| TRMB | 2022-07-11 | 59.27 | 1.9706 | 0.4967 | no |
| TROW | 2022-07-11 | 93.25 | 1.3353 | — | no |
| URI | 2022-07-11 | 236.55 | 1.4266 | 0.4932 | no |
| VTR | 2022-07-11 | 44.14 | 1.2035 | 0.4426 | no |
| VTRS | 2022-07-11 | 8.51 | 1.4243 | 0.5004 | no |
| WHR | 2022-07-11 | 128.84 | 1.2639 | 0.4713 | no |
| WMB | 2022-07-11 | 25.93 | 1.3660 | 0.4834 | no |
| WY | 2022-07-11 | 29.93 | 1.3252 | 0.4936 | no |