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 | 1.17% | 4.73% | 2022-11-15 | -15.06% |
| buy & hold | participation factor overlay | 6 months | complete | 7.08% | 13.43% | 2023-02-02 | -15.06% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.85% | 4.49% | 2022-11-15 | -16.09% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.27% | 16.55% | 2023-02-02 | -16.09% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.74% | 4.29% | 2022-11-25 | -13.91% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.74% | 9.24% | 2023-02-02 | -13.91% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.40% | 2.92% | 2022-11-25 | -15.00% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.47% | 8.07% | 2023-02-02 | -15.00% |
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 | 0.6014 | 0.5243 | no |
| AIG | 2022-08-29 | 47.75 | 0.5055 | 0.4997 | no |
| ALGN | 2022-08-29 | 250.00 | 0.6853 | 0.5233 | no |
| AMAT | 2022-08-29 | 94.39 | 1.2965 | 0.5592 | no |
| AMD | 2022-08-29 | 90.05 | 1.0552 | 0.5336 | no |
| CAT | 2022-08-29 | 178.23 | 0.7030 | 0.5072 | no |
| CBRE | 2022-08-29 | 79.73 | 0.5963 | 0.4621 | no |
| CE | 2022-08-29 | 106.65 | 0.4978 | 0.4963 | no |
| CZR | 2022-08-29 | 43.49 | 1.1174 | 0.4988 | no |
| DAL | 2022-08-29 | 31.08 | 1.0473 | 0.4586 | no |
| DD | 2022-08-29 | 66.51 | 0.7066 | 0.5038 | no |
| DOW | 2022-08-29 | 41.73 | 0.8372 | 0.5196 | no |
| EFX | 2022-08-29 | 189.15 | 0.7556 | 0.4483 | no |
| ES | 2022-08-29 | 76.98 | 0.4867 | 0.4835 | no |
| ETN | 2022-08-29 | 132.25 | 0.6037 | 0.4522 | no |
| FCX | 2022-08-29 | 29.79 | 0.8088 | 0.6488 | no |
| GNRC | 2022-08-29 | 230.80 | 1.0389 | 0.5615 | no |
| HPQ | 2022-08-29 | 26.24 | 0.5742 | 0.5443 | no |
| IDXX | 2022-08-29 | 346.97 | 0.6703 | 0.5177 | no |
| KLAC | 2022-08-29 | 34.08 | 0.5791 | 0.5220 | no |
| LNC | 2022-08-29 | 37.42 | 0.6270 | 0.4627 | no |
| LRCX | 2022-08-29 | 43.03 | 0.9280 | 0.5423 | no |
| MCHP | 2022-08-29 | 59.59 | 0.6004 | 0.5148 | no |
| MGM | 2022-08-29 | 33.28 | 0.6184 | 0.4681 | no |
| MLM | 2022-08-29 | 339.55 | 0.4961 | 0.4745 | no |
| MRNA | 2022-08-29 | 135.09 | 0.5102 | 0.5252 | no |
| MU | 2022-08-29 | 56.21 | 1.1555 | 0.5594 | no |
| NRG | 2022-08-29 | 37.62 | 0.6149 | 0.4754 | no |
| NVDA | 2022-08-29 | 15.96 | 1.0807 | 0.5356 | no |
| NWL | 2022-08-29 | 15.85 | 0.5303 | 0.4523 | no |
| NXPI | 2022-08-29 | 153.91 | 0.6826 | 0.5292 | no |
| PENN | 2022-08-29 | 31.75 | 0.5268 | 0.4760 | no |
| PSX | 2022-08-29 | 80.29 | 0.5060 | 0.5411 | no |
| QCOM | 2022-08-29 | 125.25 | 0.7812 | 0.5089 | no |
| QRVO | 2022-08-29 | 95.00 | 0.7744 | — | no |
| SLB | 2022-08-29 | 35.58 | 0.7678 | 0.6266 | no |
| SNA | 2022-08-29 | 196.47 | 0.5593 | 0.4970 | no |
| SPG | 2022-08-29 | 82.79 | 0.6900 | 0.4742 | no |
| SWKS | 2022-08-29 | 89.83 | 0.5840 | 0.5371 | no |
| TEL | 2022-08-29 | 118.09 | 0.6551 | — | no |
| TER | 2022-08-29 | 87.98 | 1.0038 | 0.5205 | no |
| TRMB | 2022-08-29 | 65.27 | 0.5202 | 0.5223 | no |
| TROW | 2022-08-29 | 97.43 | 0.5804 | — | no |
| TXN | 2022-08-29 | 151.39 | 0.5021 | 0.5088 | no |
| VLO | 2022-08-29 | 108.57 | 0.9395 | 0.5237 | no |
| VMC | 2022-08-29 | 162.28 | 0.6671 | 0.4662 | no |
| VTRS | 2022-08-29 | 8.25 | 0.6254 | 0.5270 | no |
| WDC | 2022-08-29 | 33.84 | 0.7477 | 0.5489 | no |
| XRAY | 2022-08-29 | 30.46 | 0.5568 | 0.4748 | no |
| ZBH | 2022-08-29 | 102.97 | 0.5676 | 0.4965 | no |