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 | 2.08% | 5.50% | 2022-11-15 | -15.02% |
| buy & hold | participation factor overlay | 6 months | complete | 8.20% | 13.63% | 2023-02-02 | -15.02% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.40% | 3.24% | 2022-11-11 | -15.91% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.15% | 14.82% | 2023-02-02 | -15.91% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.65% | 3.13% | 2022-11-25 | -14.31% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.25% | 9.19% | 2023-02-02 | -14.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.33% | 2.86% | 2022-11-25 | -15.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.26% | 10.55% | 2023-02-02 | -15.03% |
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 | 0.6836 | 0.5243 | no |
| AIG | 2022-08-29 | 47.75 | 0.6288 | 0.4997 | no |
| ALGN | 2022-08-29 | 250.00 | 0.8093 | 0.5233 | no |
| AMAT | 2022-08-29 | 94.39 | 1.2375 | 0.5592 | no |
| AMD | 2022-08-29 | 90.05 | 0.9171 | 0.5336 | no |
| AME | 2022-08-29 | 118.68 | 0.5922 | 0.4795 | no |
| APA | 2022-08-29 | 34.75 | 0.4979 | 0.6554 | no |
| APH | 2022-08-29 | 18.06 | 0.5443 | 0.4556 | no |
| AVY | 2022-08-29 | 172.98 | 0.5070 | 0.4987 | no |
| BALL | 2022-08-29 | 53.87 | 0.5297 | 0.4752 | no |
| CAT | 2022-08-29 | 178.23 | 0.5664 | 0.5072 | no |
| CZR | 2022-08-29 | 43.49 | 0.9482 | 0.4988 | no |
| DAL | 2022-08-29 | 31.08 | 0.8157 | 0.4586 | no |
| DD | 2022-08-29 | 66.51 | 0.6875 | 0.5038 | no |
| DOW | 2022-08-29 | 41.73 | 0.5692 | 0.5196 | no |
| EFX | 2022-08-29 | 189.15 | 0.5310 | 0.4483 | no |
| EMN | 2022-08-29 | 79.19 | 0.5119 | 0.5062 | no |
| ETN | 2022-08-29 | 132.25 | 0.5829 | 0.4522 | no |
| FCX | 2022-08-29 | 29.79 | 0.5605 | 0.6488 | no |
| GNRC | 2022-08-29 | 230.80 | 1.0607 | 0.5615 | no |
| HPQ | 2022-08-29 | 26.24 | 0.5410 | 0.5443 | no |
| INCY | 2022-08-29 | 70.84 | 0.6027 | 0.5200 | no |
| ITW | 2022-08-29 | 180.31 | 0.5825 | 0.4847 | no |
| KLAC | 2022-08-29 | 34.08 | 0.5858 | 0.5220 | no |
| LNC | 2022-08-29 | 37.42 | 0.7997 | 0.4627 | no |
| LRCX | 2022-08-29 | 43.03 | 0.8351 | 0.5423 | no |
| MGM | 2022-08-29 | 33.28 | 0.5252 | 0.4681 | no |
| MU | 2022-08-29 | 56.21 | 1.5333 | 0.5594 | no |
| NRG | 2022-08-29 | 37.62 | 0.5780 | 0.4754 | no |
| NVDA | 2022-08-29 | 15.96 | 1.0776 | 0.5356 | no |
| NXPI | 2022-08-29 | 153.91 | 0.9803 | 0.5292 | no |
| PENN | 2022-08-29 | 31.75 | 0.5417 | 0.4760 | no |
| PSX | 2022-08-29 | 80.29 | 0.5533 | 0.5411 | no |
| QCOM | 2022-08-29 | 125.25 | 0.6695 | 0.5089 | no |
| QRVO | 2022-08-29 | 95.00 | 0.8758 | — | no |
| SLB | 2022-08-29 | 35.58 | 0.5115 | 0.6266 | no |
| SNA | 2022-08-29 | 196.47 | 0.5174 | 0.4970 | no |
| SPG | 2022-08-29 | 82.79 | 0.6077 | 0.4742 | no |
| SWKS | 2022-08-29 | 89.83 | 0.6029 | 0.5371 | no |
| TDG | 2022-08-29 | 532.68 | 0.5633 | 0.6078 | no |
| TEL | 2022-08-29 | 118.09 | 0.5778 | — | no |
| TER | 2022-08-29 | 87.98 | 1.0039 | 0.5205 | no |
| TROW | 2022-08-29 | 97.43 | 0.5750 | — | no |
| URI | 2022-08-29 | 290.51 | 0.5133 | 0.4854 | no |
| VLO | 2022-08-29 | 108.57 | 0.8096 | 0.5237 | no |
| VMC | 2022-08-29 | 162.28 | 0.5942 | 0.4662 | no |
| VTRS | 2022-08-29 | 8.25 | 0.7728 | 0.5270 | no |
| WDC | 2022-08-29 | 33.84 | 0.9238 | 0.5489 | no |
| WMB | 2022-08-29 | 29.23 | 0.5260 | 0.5519 | no |
| XRAY | 2022-08-29 | 30.46 | 0.5486 | 0.4748 | no |