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 | -5.77% | 12.87% | 2022-08-12 | -19.45% |
| buy & hold | participation factor overlay | 6 months | complete | 5.00% | 12.87% | 2022-08-12 | -19.45% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -5.81% | 13.83% | 2022-08-12 | -20.37% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.43% | 13.83% | 2022-08-12 | -20.37% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.75% | 11.83% | 2022-08-12 | -16.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.99% | 15.43% | 2023-01-13 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.27% | 11.72% | 2022-08-12 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.86% | 13.93% | 2023-01-13 | -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 |
|---|---|---|---|---|---|
| ADBE | 2022-07-18 | 383.83 | 0.9811 | 0.4991 | no |
| ADSK | 2022-07-18 | 178.34 | 1.3855 | 0.4901 | no |
| AES | 2022-07-18 | 17.19 | 1.1340 | — | no |
| ALB | 2022-07-18 | 195.04 | 1.2827 | 0.5690 | no |
| ALLE | 2022-07-18 | 91.72 | 1.3005 | 0.4820 | no |
| AMAT | 2022-07-18 | 92.42 | 1.0396 | 0.5579 | no |
| AMD | 2022-07-18 | 82.21 | 1.3887 | 0.5231 | no |
| ANET | 2022-07-18 | 25.51 | 1.1171 | 0.4976 | no |
| BALL | 2022-07-18 | 62.94 | 0.8701 | 0.4832 | no |
| CFG | 2022-07-18 | 31.22 | 1.0115 | 0.4978 | no |
| CMG | 2022-07-18 | 26.30 | 1.0924 | 0.4444 | no |
| COF | 2022-07-18 | 102.46 | 0.9087 | 0.4592 | no |
| CTVA | 2022-07-18 | 50.25 | 0.8541 | 0.5359 | no |
| DLR | 2022-07-18 | 105.11 | 0.8738 | 0.4959 | no |
| EQIX | 2022-07-18 | 573.27 | 1.0114 | 0.4632 | no |
| FITB | 2022-07-18 | 29.16 | 1.1542 | 0.4907 | no |
| GNRC | 2022-07-18 | 221.79 | 1.4848 | 0.5140 | no |
| HPE | 2022-07-18 | 11.96 | 1.3182 | 0.5181 | no |
| HPQ | 2022-07-18 | 27.03 | 1.6404 | 0.5485 | no |
| HST | 2022-07-18 | 12.84 | 1.4841 | 0.4447 | no |
| IR | 2022-07-18 | 41.31 | 1.1255 | 0.4787 | no |
| J | 2022-07-18 | 100.27 | 0.8808 | 0.5064 | no |
| L | 2022-07-18 | 56.15 | 0.8895 | — | no |
| LRCX | 2022-07-18 | 42.03 | 1.0970 | 0.5512 | no |
| LYB | 2022-07-18 | 66.67 | 1.5442 | 0.5046 | no |
| MLM | 2022-07-18 | 308.87 | 1.0455 | 0.5078 | no |
| MPC | 2022-07-18 | 78.67 | 0.9628 | 0.5672 | no |
| MPWR | 2022-07-18 | 405.20 | 0.9808 | 0.5483 | no |
| MU | 2022-07-18 | 60.90 | 1.1291 | 0.5660 | no |
| NRG | 2022-07-18 | 32.43 | 1.0388 | 0.4812 | no |
| NVDA | 2022-07-18 | 16.24 | 1.2572 | 0.5393 | no |
| NXPI | 2022-07-18 | 153.23 | 1.0493 | 0.5544 | no |
| OGN | 2022-07-18 | 26.96 | 1.4653 | 0.5758 | no |
| OKE | 2022-07-18 | 45.06 | 1.3364 | 0.5009 | no |
| OXY | 2022-07-18 | 56.12 | 1.5124 | 0.5735 | no |
| QRVO | 2022-07-18 | 101.37 | 1.6931 | — | no |
| REG | 2022-07-18 | 50.84 | 1.1328 | 0.4880 | no |
| RJF | 2022-07-18 | 86.12 | 0.8699 | 0.4771 | no |
| ROP | 2022-07-18 | 384.23 | 1.2430 | 0.4529 | no |
| SEDG | 2022-07-18 | 273.43 | 1.1916 | 0.5379 | no |
| STE | 2022-07-18 | 201.03 | 1.1059 | 0.4823 | no |
| SWKS | 2022-07-18 | 90.26 | 1.3501 | 0.5696 | no |
| TECH | 2022-07-18 | 84.73 | 1.2494 | 0.5013 | no |
| TER | 2022-07-18 | 93.31 | 1.2564 | 0.5461 | no |
| TRMB | 2022-07-18 | 59.10 | 1.5609 | 0.5019 | no |
| TXT | 2022-07-18 | 60.85 | 0.8923 | 0.5761 | no |
| VTRS | 2022-07-18 | 8.31 | 1.3324 | 0.5270 | no |
| WFC | 2022-07-18 | 37.64 | 1.2091 | 0.4894 | no |
| WMB | 2022-07-18 | 26.58 | 1.7450 | 0.4824 | no |
| WY | 2022-07-18 | 30.07 | 1.2818 | 0.4813 | no |