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 | -4.43% | 15.45% | 2022-08-12 | -17.76% |
| buy & hold | participation factor overlay | 6 months | complete | 9.50% | 15.45% | 2022-08-12 | -18.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.81% | 15.13% | 2022-08-16 | -18.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.72% | 15.13% | 2022-08-16 | -18.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.85% | 14.41% | 2022-08-12 | -17.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.62% | 15.62% | 2023-01-11 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.20% | 15.01% | 2022-08-12 | -19.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.55% | 15.01% | 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 |
|---|---|---|---|---|---|
| AFL | 2022-07-11 | 51.10 | 1.3363 | 0.4419 | no |
| AIG | 2022-07-11 | 46.29 | 1.2869 | 0.4405 | no |
| ALB | 2022-07-11 | 190.72 | 1.1412 | 0.5682 | no |
| ALLE | 2022-07-11 | 91.63 | 1.6912 | 0.4644 | no |
| AMD | 2022-07-11 | 77.85 | 1.2570 | 0.5307 | no |
| AMP | 2022-07-11 | 220.45 | 1.2598 | 0.4358 | no |
| ANET | 2022-07-11 | 25.53 | 1.4647 | 0.4992 | no |
| CCI | 2022-07-11 | 136.77 | 1.3970 | 0.5043 | no |
| CF | 2022-07-11 | 76.83 | 1.3397 | 0.5309 | no |
| CFG | 2022-07-11 | 30.02 | 1.5046 | 0.4978 | no |
| CSX | 2022-07-11 | 27.10 | 1.2422 | 0.5198 | no |
| FANG | 2022-07-11 | 95.69 | 1.1789 | 0.7370 | no |
| FITB | 2022-07-11 | 28.65 | 1.4996 | 0.4913 | no |
| HLT | 2022-07-11 | 109.70 | 1.1842 | 0.4612 | no |
| HPQ | 2022-07-11 | 26.67 | 1.2983 | 0.5589 | no |
| HST | 2022-07-11 | 12.40 | 1.5428 | 0.4501 | no |
| INTC | 2022-07-11 | 35.47 | 1.2694 | 0.5477 | no |
| IRM | 2022-07-11 | 41.68 | 1.4020 | 0.4862 | no |
| KIM | 2022-07-11 | 16.07 | 1.5040 | 0.4658 | no |
| LRCX | 2022-07-11 | 39.27 | 1.1594 | 0.5561 | no |
| LUV | 2022-07-11 | 33.44 | 1.6443 | 0.4895 | no |
| LYB | 2022-07-11 | 66.36 | 1.3425 | 0.5059 | no |
| MAR | 2022-07-11 | 131.68 | 1.2735 | 0.4597 | no |
| MCHP | 2022-07-11 | 53.06 | 1.4728 | 0.5386 | no |
| MOH | 2022-07-11 | 282.35 | 1.3878 | 0.4710 | no |
| MPWR | 2022-07-11 | 378.87 | 1.2646 | 0.5487 | no |
| MS | 2022-07-11 | 66.16 | 1.1568 | 0.4790 | no |
| MU | 2022-07-11 | 56.99 | 1.3389 | 0.5721 | no |
| NVDA | 2022-07-11 | 15.47 | 1.1868 | 0.5483 | no |
| OGN | 2022-07-11 | 27.42 | 1.1704 | 0.5674 | no |
| ON | 2022-07-11 | 52.97 | 1.1415 | 0.5042 | no |
| OXY | 2022-07-11 | 55.68 | 1.4577 | 0.5760 | no |
| PENN | 2022-07-11 | 29.94 | 1.2753 | 0.4636 | no |
| PRU | 2022-07-11 | 77.74 | 1.3855 | 0.4448 | no |
| QRVO | 2022-07-11 | 96.25 | 1.7235 | — | no |
| REG | 2022-07-11 | 50.33 | 1.8760 | 0.5013 | no |
| RJF | 2022-07-11 | 84.43 | 1.5064 | 0.4777 | no |
| ROP | 2022-07-11 | 387.97 | 1.4587 | 0.4524 | no |
| SBAC | 2022-07-11 | 299.64 | 1.1402 | 0.5004 | no |
| SRE | 2022-07-11 | 64.91 | 1.2256 | 0.4819 | no |
| STE | 2022-07-11 | 198.74 | 1.4330 | 0.4688 | no |
| SWKS | 2022-07-11 | 84.74 | 1.4188 | 0.5800 | no |
| TER | 2022-07-11 | 89.21 | 1.3757 | 0.5466 | no |
| TRMB | 2022-07-11 | 59.27 | 1.6288 | 0.4967 | no |
| TROW | 2022-07-11 | 93.25 | 1.3126 | — | no |
| URI | 2022-07-11 | 236.55 | 1.3110 | 0.4932 | no |
| VTR | 2022-07-11 | 44.14 | 1.2848 | 0.4426 | no |
| VTRS | 2022-07-11 | 8.51 | 1.1417 | 0.5004 | no |
| WHR | 2022-07-11 | 128.84 | 1.2301 | 0.4713 | no |
| WMB | 2022-07-11 | 25.93 | 1.2241 | 0.4834 | no |