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 | -4.65% | 12.64% | 2022-08-12 | -18.53% |
| buy & hold | participation factor overlay | 6 months | complete | 4.86% | 12.64% | 2022-08-12 | -18.53% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.31% | 13.49% | 2022-08-12 | -20.60% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.59% | 13.49% | 2022-08-12 | -20.60% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.38% | 11.71% | 2022-08-12 | -17.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.69% | 14.82% | 2023-01-13 | -17.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.07% | 12.94% | 2022-08-12 | -17.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.16% | 15.19% | 2023-01-13 | -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 |
|---|---|---|---|---|---|
| ADSK | 2022-07-18 | 178.34 | 1.4923 | 0.4901 | no |
| AES | 2022-07-18 | 17.19 | 0.8799 | — | no |
| ALB | 2022-07-18 | 195.04 | 1.1202 | 0.5690 | no |
| ALLE | 2022-07-18 | 91.72 | 1.3137 | 0.4820 | no |
| AMD | 2022-07-18 | 82.21 | 1.4306 | 0.5231 | no |
| ANET | 2022-07-18 | 25.51 | 0.9407 | 0.4976 | no |
| BAC | 2022-07-18 | 29.72 | 0.9316 | 0.4806 | no |
| CF | 2022-07-18 | 77.64 | 0.9549 | 0.5277 | no |
| CFG | 2022-07-18 | 31.22 | 1.1270 | 0.4978 | no |
| CMG | 2022-07-18 | 26.30 | 0.9670 | 0.4444 | no |
| COF | 2022-07-18 | 102.46 | 0.9807 | 0.4592 | no |
| DLR | 2022-07-18 | 105.11 | 0.9400 | 0.4959 | no |
| FITB | 2022-07-18 | 29.16 | 1.3444 | 0.4907 | no |
| GNRC | 2022-07-18 | 221.79 | 1.2579 | 0.5140 | no |
| HPE | 2022-07-18 | 11.96 | 1.4773 | 0.5181 | no |
| HPQ | 2022-07-18 | 27.03 | 1.6778 | 0.5485 | no |
| HST | 2022-07-18 | 12.84 | 1.3445 | 0.4447 | no |
| IP | 2022-07-18 | 34.60 | 1.0631 | 0.4854 | no |
| IR | 2022-07-18 | 41.31 | 0.8919 | 0.4787 | no |
| J | 2022-07-18 | 100.27 | 0.9658 | 0.5064 | no |
| KEY | 2022-07-18 | 14.31 | 0.9276 | 0.4992 | no |
| L | 2022-07-18 | 56.15 | 0.9877 | — | no |
| LRCX | 2022-07-18 | 42.03 | 1.1578 | 0.5512 | no |
| LUV | 2022-07-18 | 36.86 | 1.1026 | 0.4882 | no |
| LYB | 2022-07-18 | 66.67 | 1.5557 | 0.5046 | no |
| MHK | 2022-07-18 | 125.92 | 1.0134 | 0.4390 | no |
| MLM | 2022-07-18 | 308.87 | 1.2736 | 0.5078 | no |
| MPC | 2022-07-18 | 78.67 | 0.9001 | 0.5672 | no |
| MPWR | 2022-07-18 | 405.20 | 0.9892 | 0.5483 | no |
| NRG | 2022-07-18 | 32.43 | 1.3681 | 0.4812 | no |
| NVDA | 2022-07-18 | 16.24 | 1.4341 | 0.5393 | no |
| NXPI | 2022-07-18 | 153.23 | 1.3714 | 0.5544 | no |
| OGN | 2022-07-18 | 26.96 | 1.4546 | 0.5758 | no |
| OKE | 2022-07-18 | 45.06 | 0.9903 | 0.5009 | no |
| OXY | 2022-07-18 | 56.12 | 1.4032 | 0.5735 | no |
| QRVO | 2022-07-18 | 101.37 | 1.5529 | — | no |
| REG | 2022-07-18 | 50.84 | 1.0670 | 0.4880 | no |
| RF | 2022-07-18 | 16.24 | 1.0196 | 0.5059 | no |
| RJF | 2022-07-18 | 86.12 | 0.9210 | 0.4771 | no |
| ROP | 2022-07-18 | 384.23 | 1.1684 | 0.4529 | no |
| SEDG | 2022-07-18 | 273.43 | 1.1347 | 0.5379 | no |
| STE | 2022-07-18 | 201.03 | 0.9353 | 0.4823 | no |
| SWKS | 2022-07-18 | 90.26 | 1.2038 | 0.5696 | no |
| TER | 2022-07-18 | 93.31 | 1.0570 | 0.5461 | no |
| TRMB | 2022-07-18 | 59.10 | 1.7247 | 0.5019 | no |
| UAL | 2022-07-18 | 39.79 | 0.8941 | 0.4453 | no |
| VTRS | 2022-07-18 | 8.31 | 1.5320 | 0.5270 | no |
| WFC | 2022-07-18 | 37.64 | 1.2351 | 0.4894 | no |
| WMB | 2022-07-18 | 26.58 | 1.6792 | 0.4824 | no |
| WY | 2022-07-18 | 30.07 | 1.2891 | 0.4813 | no |