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 | -6.73% | 13.99% | 2022-08-16 | -18.53% |
| buy & hold | participation factor overlay | 6 months | complete | 9.24% | 13.99% | 2022-08-16 | -18.84% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -7.84% | 13.59% | 2022-08-16 | -19.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.92% | 13.59% | 2022-08-16 | -19.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.92% | 13.85% | 2022-08-12 | -17.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | 16.42% | 16.42% | 2023-01-11 | -17.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.19% | 14.96% | 2022-08-12 | -17.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.45% | 16.45% | 2023-01-11 | -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 |
|---|---|---|---|---|---|
| AFL | 2022-07-11 | 51.10 | 1.2711 | 0.4419 | no |
| AIG | 2022-07-11 | 46.29 | 1.3242 | 0.4405 | no |
| ALLE | 2022-07-11 | 91.63 | 1.4944 | 0.4644 | no |
| AMP | 2022-07-11 | 220.45 | 1.3868 | 0.4358 | no |
| ANET | 2022-07-11 | 25.53 | 1.4515 | 0.4992 | no |
| CCI | 2022-07-11 | 136.77 | 1.2931 | 0.5043 | no |
| CFG | 2022-07-11 | 30.02 | 1.3090 | 0.4978 | no |
| CSX | 2022-07-11 | 27.10 | 1.1458 | 0.5198 | no |
| ECL | 2022-07-11 | 147.19 | 1.1712 | 0.5001 | no |
| EMR | 2022-07-11 | 73.64 | 1.1241 | 0.4496 | no |
| FITB | 2022-07-11 | 28.65 | 1.5143 | 0.4913 | no |
| FRT | 2022-07-11 | 81.14 | 1.1739 | 0.4846 | no |
| GNRC | 2022-07-11 | 227.06 | 1.3129 | 0.4759 | no |
| HLT | 2022-07-11 | 109.70 | 1.1226 | 0.4612 | no |
| HPE | 2022-07-11 | 11.63 | 1.2526 | 0.5236 | no |
| HPQ | 2022-07-11 | 26.67 | 1.5685 | 0.5589 | no |
| HSIC | 2022-07-11 | 76.26 | 1.2495 | 0.5233 | no |
| HST | 2022-07-11 | 12.40 | 1.5090 | 0.4501 | no |
| INTC | 2022-07-11 | 35.47 | 1.4006 | 0.5477 | no |
| IRM | 2022-07-11 | 41.68 | 1.1345 | 0.4862 | no |
| KIM | 2022-07-11 | 16.07 | 1.5395 | 0.4658 | no |
| LRCX | 2022-07-11 | 39.27 | 1.1367 | 0.5561 | no |
| LUV | 2022-07-11 | 33.44 | 1.6287 | 0.4895 | no |
| LYB | 2022-07-11 | 66.36 | 1.2368 | 0.5059 | no |
| MCHP | 2022-07-11 | 53.06 | 1.3092 | 0.5386 | no |
| MLM | 2022-07-11 | 295.37 | 1.1878 | 0.5069 | no |
| MOH | 2022-07-11 | 282.35 | 1.1857 | 0.4710 | no |
| MPWR | 2022-07-11 | 378.87 | 1.2151 | 0.5487 | no |
| MS | 2022-07-11 | 66.16 | 1.2141 | 0.4790 | no |
| MU | 2022-07-11 | 56.99 | 1.1822 | 0.5721 | no |
| NVDA | 2022-07-11 | 15.47 | 1.2033 | 0.5483 | no |
| OGN | 2022-07-11 | 27.42 | 1.3182 | 0.5674 | no |
| OXY | 2022-07-11 | 55.68 | 1.4849 | 0.5760 | no |
| PKG | 2022-07-11 | 122.25 | 1.2783 | 0.5442 | no |
| PRU | 2022-07-11 | 77.74 | 1.2250 | 0.4448 | no |
| QRVO | 2022-07-11 | 96.25 | 1.5921 | — | no |
| REG | 2022-07-11 | 50.33 | 1.8176 | 0.5013 | no |
| RJF | 2022-07-11 | 84.43 | 1.4691 | 0.4777 | no |
| ROP | 2022-07-11 | 387.97 | 1.2388 | 0.4524 | no |
| STE | 2022-07-11 | 198.74 | 1.3812 | 0.4688 | no |
| SWKS | 2022-07-11 | 84.74 | 1.5191 | 0.5800 | no |
| TDG | 2022-07-11 | 440.50 | 1.1822 | 0.5891 | no |
| TER | 2022-07-11 | 89.21 | 1.3386 | 0.5466 | no |
| TRMB | 2022-07-11 | 59.27 | 1.8272 | 0.4967 | no |
| TROW | 2022-07-11 | 93.25 | 1.3352 | — | no |
| URI | 2022-07-11 | 236.55 | 1.3783 | 0.4932 | no |
| VTR | 2022-07-11 | 44.14 | 1.1711 | 0.4426 | no |
| VTRS | 2022-07-11 | 8.51 | 1.3913 | 0.5004 | no |
| WHR | 2022-07-11 | 128.84 | 1.2554 | 0.4713 | no |
| WMB | 2022-07-11 | 25.93 | 1.4250 | 0.4834 | no |