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 | -4.59% | 13.58% | 2022-08-12 | -18.93% |
| buy & hold | participation factor overlay | 6 months | complete | 5.01% | 13.58% | 2022-08-12 | -18.93% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.70% | 13.99% | 2022-08-12 | -19.67% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.33% | 13.99% | 2022-08-12 | -19.67% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.62% | 11.87% | 2022-08-12 | -17.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.62% | 13.93% | 2023-01-13 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.64% | 12.44% | 2022-08-12 | -19.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.61% | 12.44% | 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 |
|---|---|---|---|---|---|
| ADSK | 2022-07-18 | 178.34 | 1.3183 | 0.4901 | no |
| AES | 2022-07-18 | 17.19 | 1.0696 | — | no |
| ALB | 2022-07-18 | 195.04 | 1.0480 | 0.5690 | no |
| ALLE | 2022-07-18 | 91.72 | 1.5174 | 0.4820 | no |
| AMD | 2022-07-18 | 82.21 | 1.3824 | 0.5231 | no |
| ANET | 2022-07-18 | 25.51 | 0.8965 | 0.4976 | no |
| CF | 2022-07-18 | 77.64 | 1.0962 | 0.5277 | no |
| CFG | 2022-07-18 | 31.22 | 1.1493 | 0.4978 | no |
| CMG | 2022-07-18 | 26.30 | 0.9387 | 0.4444 | no |
| DLR | 2022-07-18 | 105.11 | 0.8911 | 0.4959 | no |
| DVN | 2022-07-18 | 45.10 | 0.8912 | 0.6790 | no |
| EQIX | 2022-07-18 | 573.27 | 1.2395 | 0.4632 | no |
| FITB | 2022-07-18 | 29.16 | 1.2160 | 0.4907 | no |
| FTNT | 2022-07-18 | 60.43 | 1.0048 | 0.5328 | no |
| GNRC | 2022-07-18 | 221.79 | 1.2774 | 0.5140 | no |
| HPE | 2022-07-18 | 11.96 | 1.5434 | 0.5181 | no |
| HPQ | 2022-07-18 | 27.03 | 1.5522 | 0.5485 | no |
| HST | 2022-07-18 | 12.84 | 1.6127 | 0.4447 | no |
| INTC | 2022-07-18 | 36.83 | 0.9963 | 0.5428 | no |
| IR | 2022-07-18 | 41.31 | 0.9934 | 0.4787 | no |
| LRCX | 2022-07-18 | 42.03 | 0.9589 | 0.5512 | no |
| LUV | 2022-07-18 | 36.86 | 0.9003 | 0.4882 | no |
| LYB | 2022-07-18 | 66.67 | 1.4174 | 0.5046 | no |
| MAR | 2022-07-18 | 139.45 | 0.9630 | 0.4476 | no |
| MCO | 2022-07-18 | 273.50 | 1.0474 | 0.4704 | no |
| MLM | 2022-07-18 | 308.87 | 1.1901 | 0.5078 | no |
| MPWR | 2022-07-18 | 405.20 | 0.9740 | 0.5483 | no |
| NRG | 2022-07-18 | 32.43 | 1.2652 | 0.4812 | no |
| NVDA | 2022-07-18 | 16.24 | 1.1542 | 0.5393 | no |
| NXPI | 2022-07-18 | 153.23 | 1.1151 | 0.5544 | no |
| OGN | 2022-07-18 | 26.96 | 1.2312 | 0.5758 | no |
| OKE | 2022-07-18 | 45.06 | 1.1897 | 0.5009 | no |
| OXY | 2022-07-18 | 56.12 | 1.3468 | 0.5735 | no |
| PENN | 2022-07-18 | 31.95 | 1.0386 | 0.4633 | no |
| PH | 2022-07-18 | 238.66 | 0.9048 | 0.4894 | no |
| QRVO | 2022-07-18 | 101.37 | 1.7295 | — | no |
| RF | 2022-07-18 | 16.24 | 1.0820 | 0.5059 | no |
| RJF | 2022-07-18 | 86.12 | 1.0074 | 0.4771 | no |
| ROP | 2022-07-18 | 384.23 | 1.2427 | 0.4529 | no |
| SCHW | 2022-07-18 | 60.01 | 1.0504 | — | no |
| SEDG | 2022-07-18 | 273.43 | 1.2463 | 0.5379 | no |
| STE | 2022-07-18 | 201.03 | 1.0983 | 0.4823 | no |
| SWKS | 2022-07-18 | 90.26 | 1.1509 | 0.5696 | no |
| TECH | 2022-07-18 | 84.73 | 1.1535 | 0.5013 | no |
| TER | 2022-07-18 | 93.31 | 1.2043 | 0.5461 | no |
| TRMB | 2022-07-18 | 59.10 | 1.5846 | 0.5019 | no |
| VTRS | 2022-07-18 | 8.31 | 1.1541 | 0.5270 | no |
| WFC | 2022-07-18 | 37.64 | 1.1419 | 0.4894 | no |
| WMB | 2022-07-18 | 26.58 | 1.5104 | 0.4824 | no |
| WY | 2022-07-18 | 30.07 | 1.2961 | 0.4813 | no |