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 | -4.21% | 13.66% | 2022-08-12 | -18.63% |
| buy & hold | participation factor overlay | 6 months | complete | 6.47% | 13.66% | 2022-08-12 | -18.63% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.14% | 13.40% | 2022-08-12 | -20.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.60% | 13.40% | 2022-08-12 | -20.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.81% | 11.48% | 2022-08-12 | -16.40% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.77% | 15.21% | 2023-01-13 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.15% | 12.56% | 2022-08-12 | -17.15% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.93% | 13.29% | 2023-01-13 | -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 |
|---|---|---|---|---|---|
| ADSK | 2022-07-18 | 178.34 | 1.4190 | 0.4901 | no |
| AES | 2022-07-18 | 17.19 | 1.0246 | — | no |
| ALB | 2022-07-18 | 195.04 | 1.4972 | 0.5690 | no |
| ALLE | 2022-07-18 | 91.72 | 1.0304 | 0.4820 | no |
| AMAT | 2022-07-18 | 92.42 | 1.1138 | 0.5579 | no |
| AMD | 2022-07-18 | 82.21 | 1.5959 | 0.5231 | no |
| ANET | 2022-07-18 | 25.51 | 0.8830 | 0.4976 | no |
| CF | 2022-07-18 | 77.64 | 1.0718 | 0.5277 | no |
| CFG | 2022-07-18 | 31.22 | 1.2963 | 0.4978 | no |
| CTVA | 2022-07-18 | 50.25 | 0.9070 | 0.5359 | no |
| EQIX | 2022-07-18 | 573.27 | 0.9946 | 0.4632 | no |
| FITB | 2022-07-18 | 29.16 | 1.2126 | 0.4907 | no |
| GNRC | 2022-07-18 | 221.79 | 1.4149 | 0.5140 | no |
| HON | 2022-07-18 | 156.75 | 0.8764 | 0.4667 | no |
| HPE | 2022-07-18 | 11.96 | 1.4040 | 0.5181 | no |
| HPQ | 2022-07-18 | 27.03 | 1.6991 | 0.5485 | no |
| HST | 2022-07-18 | 12.84 | 1.4696 | 0.4447 | no |
| IR | 2022-07-18 | 41.31 | 1.1852 | 0.4787 | no |
| KEY | 2022-07-18 | 14.31 | 0.8978 | 0.4992 | no |
| LRCX | 2022-07-18 | 42.03 | 1.0914 | 0.5512 | no |
| LUV | 2022-07-18 | 36.86 | 1.0671 | 0.4882 | no |
| LYB | 2022-07-18 | 66.67 | 1.5883 | 0.5046 | no |
| MAR | 2022-07-18 | 139.45 | 1.0596 | 0.4476 | no |
| MLM | 2022-07-18 | 308.87 | 1.2465 | 0.5078 | no |
| MPC | 2022-07-18 | 78.67 | 1.0817 | 0.5672 | no |
| MPWR | 2022-07-18 | 405.20 | 1.0833 | 0.5483 | no |
| MU | 2022-07-18 | 60.90 | 1.0640 | 0.5660 | no |
| NRG | 2022-07-18 | 32.43 | 1.1312 | 0.4812 | no |
| NTAP | 2022-07-18 | 60.83 | 1.0133 | 0.5000 | no |
| NVDA | 2022-07-18 | 16.24 | 1.4408 | 0.5393 | no |
| NXPI | 2022-07-18 | 153.23 | 1.3699 | 0.5544 | no |
| OGN | 2022-07-18 | 26.96 | 1.4706 | 0.5758 | no |
| OKE | 2022-07-18 | 45.06 | 1.0424 | 0.5009 | no |
| ON | 2022-07-18 | 57.19 | 0.9033 | 0.4932 | no |
| OXY | 2022-07-18 | 56.12 | 1.3703 | 0.5735 | no |
| PH | 2022-07-18 | 238.66 | 0.9611 | 0.4894 | no |
| QRVO | 2022-07-18 | 101.37 | 1.5777 | — | no |
| RF | 2022-07-18 | 16.24 | 1.0111 | 0.5059 | no |
| ROP | 2022-07-18 | 384.23 | 1.0423 | 0.4529 | no |
| SEDG | 2022-07-18 | 273.43 | 1.1924 | 0.5379 | no |
| STE | 2022-07-18 | 201.03 | 1.0702 | 0.4823 | no |
| SWKS | 2022-07-18 | 90.26 | 1.2372 | 0.5696 | no |
| TECH | 2022-07-18 | 84.73 | 1.1581 | 0.5013 | no |
| TER | 2022-07-18 | 93.31 | 1.3046 | 0.5461 | no |
| TRMB | 2022-07-18 | 59.10 | 1.3720 | 0.5019 | no |
| UAL | 2022-07-18 | 39.79 | 0.9925 | 0.4453 | no |
| VTRS | 2022-07-18 | 8.31 | 1.3730 | 0.5270 | no |
| WFC | 2022-07-18 | 37.64 | 1.2621 | 0.4894 | no |
| WMB | 2022-07-18 | 26.58 | 1.4071 | 0.4824 | no |
| WY | 2022-07-18 | 30.07 | 1.3195 | 0.4813 | no |