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 | -5.52% | 15.27% | 2022-08-16 | -18.48% |
| buy & hold | participation factor overlay | 6 months | complete | 8.59% | 15.27% | 2022-08-16 | -18.99% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.56% | 15.14% | 2022-08-16 | -19.57% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.04% | 15.14% | 2022-08-16 | -19.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.93% | 14.10% | 2022-08-12 | -16.40% |
| weekly rebalance | participation factor overlay | 6 months | complete | 17.26% | 17.26% | 2023-01-11 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.68% | 15.40% | 2022-08-12 | -17.15% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 15.36% | 15.40% | 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 |
|---|---|---|---|---|---|
| AFL | 2022-07-11 | 51.10 | 1.3498 | 0.4419 | no |
| AIG | 2022-07-11 | 46.29 | 1.3267 | 0.4405 | no |
| ALB | 2022-07-11 | 190.72 | 1.3795 | 0.5682 | no |
| ALLE | 2022-07-11 | 91.63 | 1.6669 | 0.4644 | no |
| AMAT | 2022-07-11 | 86.38 | 1.2547 | 0.5642 | no |
| AMD | 2022-07-11 | 77.85 | 1.4435 | 0.5307 | no |
| AMP | 2022-07-11 | 220.45 | 1.2218 | 0.4358 | no |
| ANET | 2022-07-11 | 25.53 | 1.4741 | 0.4992 | no |
| CCI | 2022-07-11 | 136.77 | 1.3237 | 0.5043 | no |
| CF | 2022-07-11 | 76.83 | 1.2144 | 0.5309 | no |
| CFG | 2022-07-11 | 30.02 | 1.3149 | 0.4978 | no |
| COF | 2022-07-11 | 99.60 | 1.1786 | 0.4562 | no |
| FITB | 2022-07-11 | 28.65 | 1.4862 | 0.4913 | no |
| FRT | 2022-07-11 | 81.14 | 1.2159 | 0.4846 | no |
| GNRC | 2022-07-11 | 227.06 | 1.3835 | 0.4759 | no |
| HPQ | 2022-07-11 | 26.67 | 1.5551 | 0.5589 | no |
| HST | 2022-07-11 | 12.40 | 1.4885 | 0.4501 | no |
| INTC | 2022-07-11 | 35.47 | 1.3661 | 0.5477 | no |
| IRM | 2022-07-11 | 41.68 | 1.1741 | 0.4862 | no |
| KIM | 2022-07-11 | 16.07 | 1.6642 | 0.4658 | no |
| LRCX | 2022-07-11 | 39.27 | 1.2131 | 0.5561 | no |
| LUV | 2022-07-11 | 33.44 | 1.7500 | 0.4895 | no |
| LYB | 2022-07-11 | 66.36 | 1.3137 | 0.5059 | no |
| MAR | 2022-07-11 | 131.68 | 1.2929 | 0.4597 | no |
| MCHP | 2022-07-11 | 53.06 | 1.3425 | 0.5386 | no |
| MLM | 2022-07-11 | 295.37 | 1.2720 | 0.5069 | no |
| MOH | 2022-07-11 | 282.35 | 1.3962 | 0.4710 | no |
| MPWR | 2022-07-11 | 378.87 | 1.3581 | 0.5487 | no |
| MU | 2022-07-11 | 56.99 | 1.4125 | 0.5721 | no |
| NVDA | 2022-07-11 | 15.47 | 1.4196 | 0.5483 | no |
| OXY | 2022-07-11 | 55.68 | 1.5079 | 0.5760 | no |
| PKG | 2022-07-11 | 122.25 | 1.2383 | 0.5442 | no |
| PRU | 2022-07-11 | 77.74 | 1.3478 | 0.4448 | no |
| QRVO | 2022-07-11 | 96.25 | 1.5716 | — | no |
| REG | 2022-07-11 | 50.33 | 1.5194 | 0.5013 | no |
| RJF | 2022-07-11 | 84.43 | 1.4013 | 0.4777 | no |
| ROP | 2022-07-11 | 387.97 | 1.2918 | 0.4524 | no |
| SRE | 2022-07-11 | 64.91 | 1.1783 | 0.4819 | no |
| STE | 2022-07-11 | 198.74 | 1.5752 | 0.4688 | no |
| SWKS | 2022-07-11 | 84.74 | 1.2512 | 0.5800 | no |
| TDG | 2022-07-11 | 440.50 | 1.1728 | 0.5891 | no |
| TER | 2022-07-11 | 89.21 | 1.3985 | 0.5466 | no |
| TRMB | 2022-07-11 | 59.27 | 1.6794 | 0.4967 | no |
| TROW | 2022-07-11 | 93.25 | 1.3187 | — | no |
| UAL | 2022-07-11 | 36.21 | 1.1562 | 0.4463 | no |
| URI | 2022-07-11 | 236.55 | 1.3912 | 0.4932 | no |
| VTRS | 2022-07-11 | 8.51 | 1.2843 | 0.5004 | no |
| WHR | 2022-07-11 | 128.84 | 1.3963 | 0.4713 | no |
| WMB | 2022-07-11 | 25.93 | 1.3618 | 0.4834 | no |
| WY | 2022-07-11 | 29.93 | 1.3022 | 0.4936 | no |