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 | 1.86% | 4.83% | 2022-11-15 | -14.88% |
| buy & hold | participation factor overlay | 6 months | complete | 6.99% | 12.58% | 2023-02-02 | -14.88% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.36% | 4.88% | 2022-11-15 | -16.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.31% | 15.49% | 2023-02-02 | -16.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.56% | 2.95% | 2022-11-25 | -14.59% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.59% | 9.14% | 2023-02-02 | -14.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.23% | 2.01% | 2022-09-12 | -15.91% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.04% | 7.97% | 2023-02-02 | -15.91% |
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 | 0.8090 | 0.5243 | no |
| AIG | 2022-08-29 | 47.75 | 0.5122 | 0.4997 | no |
| ALGN | 2022-08-29 | 250.00 | 0.6558 | 0.5233 | no |
| AMAT | 2022-08-29 | 94.39 | 1.4159 | 0.5592 | no |
| AMD | 2022-08-29 | 90.05 | 1.0873 | 0.5336 | no |
| AME | 2022-08-29 | 118.68 | 0.6819 | 0.4795 | no |
| APA | 2022-08-29 | 34.75 | 0.6162 | 0.6554 | no |
| APH | 2022-08-29 | 18.06 | 0.5613 | 0.4556 | no |
| AVGO | 2022-08-29 | 48.72 | 0.5156 | 0.5673 | no |
| CAT | 2022-08-29 | 178.23 | 0.6542 | 0.5072 | no |
| COO | 2022-08-29 | 73.04 | 0.7404 | 0.5107 | no |
| CZR | 2022-08-29 | 43.49 | 1.0910 | 0.4988 | no |
| DAL | 2022-08-29 | 31.08 | 1.0100 | 0.4586 | no |
| DD | 2022-08-29 | 66.51 | 0.7994 | 0.5038 | no |
| EFX | 2022-08-29 | 189.15 | 0.6905 | 0.4483 | no |
| ES | 2022-08-29 | 76.98 | 0.5167 | 0.4835 | no |
| ETN | 2022-08-29 | 132.25 | 0.6108 | 0.4522 | no |
| FCX | 2022-08-29 | 29.79 | 0.7398 | 0.6488 | no |
| FFIV | 2022-08-29 | 158.78 | 0.5331 | 0.4702 | no |
| GNRC | 2022-08-29 | 230.80 | 0.9491 | 0.5615 | no |
| IFF | 2022-08-29 | 101.49 | 0.5523 | 0.4970 | no |
| INCY | 2022-08-29 | 70.84 | 0.6933 | 0.5200 | no |
| ITW | 2022-08-29 | 180.31 | 0.6182 | 0.4847 | no |
| LIN | 2022-08-29 | 270.58 | 0.6970 | 0.5073 | no |
| LNC | 2022-08-29 | 37.42 | 0.9286 | 0.4627 | no |
| LRCX | 2022-08-29 | 43.03 | 0.7210 | 0.5423 | no |
| MCHP | 2022-08-29 | 59.59 | 0.5627 | 0.5148 | no |
| MGM | 2022-08-29 | 33.28 | 0.6949 | 0.4681 | no |
| MU | 2022-08-29 | 56.21 | 1.4003 | 0.5594 | no |
| NI | 2022-08-29 | 26.38 | 0.5086 | 0.5185 | no |
| NRG | 2022-08-29 | 37.62 | 0.6203 | 0.4754 | no |
| NVDA | 2022-08-29 | 15.96 | 1.1747 | 0.5356 | no |
| NXPI | 2022-08-29 | 153.91 | 0.9260 | 0.5292 | no |
| OKE | 2022-08-29 | 52.29 | 0.6054 | 0.4954 | no |
| PEG | 2022-08-29 | 57.40 | 0.5114 | 0.4766 | no |
| PENN | 2022-08-29 | 31.75 | 0.6004 | 0.4760 | no |
| PSX | 2022-08-29 | 80.29 | 0.5709 | 0.5411 | no |
| QCOM | 2022-08-29 | 125.25 | 0.8552 | 0.5089 | no |
| QRVO | 2022-08-29 | 95.00 | 1.2452 | — | no |
| SLB | 2022-08-29 | 35.58 | 0.5793 | 0.6266 | no |
| SNA | 2022-08-29 | 196.47 | 0.7144 | 0.4970 | no |
| SWKS | 2022-08-29 | 89.83 | 0.7267 | 0.5371 | no |
| TDG | 2022-08-29 | 532.68 | 0.5908 | 0.6078 | no |
| TEL | 2022-08-29 | 118.09 | 0.5785 | — | no |
| TER | 2022-08-29 | 87.98 | 1.1145 | 0.5205 | no |
| TROW | 2022-08-29 | 97.43 | 0.5638 | — | no |
| VLO | 2022-08-29 | 108.57 | 0.5242 | 0.5237 | no |
| VMC | 2022-08-29 | 162.28 | 0.7978 | 0.4662 | no |
| VTRS | 2022-08-29 | 8.25 | 0.6276 | 0.5270 | no |
| WDC | 2022-08-29 | 33.84 | 0.8066 | 0.5489 | no |