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 | 0.07% | 3.13% | 2022-11-11 | -15.41% |
| buy & hold | participation factor overlay | 6 months | complete | 6.34% | 12.75% | 2023-02-02 | -15.41% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.67% | 2.61% | 2022-09-12 | -16.39% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.13% | 13.34% | 2023-02-02 | -16.39% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.07% | 3.65% | 2022-11-25 | -14.08% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.56% | 10.61% | 2023-02-02 | -14.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.39% | 3.90% | 2022-11-25 | -14.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.07% | 11.45% | 2023-02-02 | -14.55% |
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 | 2022-08-29 | 380.09 | 0.7637 | 0.5243 | no |
| AIG | 2022-08-29 | 47.75 | 0.4693 | 0.4997 | no |
| ALGN | 2022-08-29 | 250.00 | 0.7498 | 0.5233 | no |
| AMAT | 2022-08-29 | 94.39 | 1.1275 | 0.5592 | no |
| AMD | 2022-08-29 | 90.05 | 0.7068 | 0.5336 | no |
| AME | 2022-08-29 | 118.68 | 0.4828 | 0.4795 | no |
| APH | 2022-08-29 | 18.06 | 0.4710 | 0.4556 | no |
| BAC | 2022-08-29 | 30.42 | 0.5034 | 0.4962 | no |
| BALL | 2022-08-29 | 53.87 | 0.5191 | 0.4752 | no |
| BBY | 2022-08-29 | 60.00 | 0.4922 | 0.5964 | no |
| COO | 2022-08-29 | 73.04 | 0.5416 | 0.5107 | no |
| CZR | 2022-08-29 | 43.49 | 0.7916 | 0.4988 | no |
| DAL | 2022-08-29 | 31.08 | 0.6354 | 0.4586 | no |
| DD | 2022-08-29 | 66.51 | 0.8137 | 0.5038 | no |
| DOW | 2022-08-29 | 41.73 | 0.5535 | 0.5196 | no |
| DVA | 2022-08-29 | 87.86 | 0.4465 | 0.4484 | no |
| EFX | 2022-08-29 | 189.15 | 0.5833 | 0.4483 | no |
| GNRC | 2022-08-29 | 230.80 | 0.8248 | 0.5615 | no |
| HPQ | 2022-08-29 | 26.24 | 0.5379 | 0.5443 | no |
| IDXX | 2022-08-29 | 346.97 | 0.5864 | 0.5177 | no |
| INCY | 2022-08-29 | 70.84 | 0.5755 | 0.5200 | no |
| ITW | 2022-08-29 | 180.31 | 0.4574 | 0.4847 | no |
| KLAC | 2022-08-29 | 34.08 | 0.4632 | 0.5220 | no |
| LIN | 2022-08-29 | 270.58 | 0.6127 | 0.5073 | no |
| LNC | 2022-08-29 | 37.42 | 0.5981 | 0.4627 | no |
| LRCX | 2022-08-29 | 43.03 | 0.5038 | 0.5423 | no |
| LUV | 2022-08-29 | 33.97 | 0.4629 | 0.4815 | no |
| MCHP | 2022-08-29 | 59.59 | 0.5217 | 0.5148 | no |
| MGM | 2022-08-29 | 33.28 | 0.4955 | 0.4681 | no |
| MU | 2022-08-29 | 56.21 | 1.3174 | 0.5594 | no |
| NRG | 2022-08-29 | 37.62 | 0.5240 | 0.4754 | no |
| NTRS | 2022-08-29 | 83.23 | 0.4834 | 0.4930 | no |
| NVDA | 2022-08-29 | 15.96 | 0.8354 | 0.5356 | no |
| NXPI | 2022-08-29 | 153.91 | 0.7485 | 0.5292 | no |
| QCOM | 2022-08-29 | 125.25 | 0.7943 | 0.5089 | no |
| QRVO | 2022-08-29 | 95.00 | 0.9439 | — | no |
| SNA | 2022-08-29 | 196.47 | 0.5305 | 0.4970 | no |
| SPG | 2022-08-29 | 82.79 | 0.5673 | 0.4742 | no |
| SWKS | 2022-08-29 | 89.83 | 0.6074 | 0.5371 | no |
| TDG | 2022-08-29 | 532.68 | 0.4525 | 0.6078 | no |
| TER | 2022-08-29 | 87.98 | 0.9211 | 0.5205 | no |
| TRMB | 2022-08-29 | 65.27 | 0.6060 | 0.5223 | no |
| TROW | 2022-08-29 | 97.43 | 0.5000 | — | no |
| TXN | 2022-08-29 | 151.39 | 0.5866 | 0.5088 | no |
| VMC | 2022-08-29 | 162.28 | 0.4621 | 0.4662 | no |
| VTRS | 2022-08-29 | 8.25 | 0.6247 | 0.5270 | no |
| WDC | 2022-08-29 | 33.84 | 0.8122 | 0.5489 | no |
| WMB | 2022-08-29 | 29.23 | 0.4603 | 0.5519 | no |
| XRAY | 2022-08-29 | 30.46 | 0.5839 | 0.4748 | no |
| ZTS | 2022-08-29 | 150.62 | 0.4442 | 0.4922 | no |