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 | -3.87% | 0.00% | 2022-09-12 | -17.34% |
| buy & hold | participation factor overlay | 6 months | complete | 0.01% | 10.14% | 2023-02-02 | -17.34% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.04% | 0.06% | 2022-09-12 | -16.68% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.53% | 9.11% | 2023-02-02 | -16.68% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.49% | 2.82% | 2022-11-30 | -14.11% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.26% | 8.47% | 2023-02-02 | -14.11% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.78% | 2.45% | 2022-12-01 | -14.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.18% | 8.74% | 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 | 2022-09-12 | 391.09 | 0.8406 | 0.5243 | no |
| ADSK | 2022-09-12 | 212.90 | 0.8182 | 0.5168 | no |
| ALGN | 2022-09-12 | 264.29 | 0.8791 | 0.5233 | no |
| AMAT | 2022-09-12 | 93.76 | 1.0934 | 0.5594 | no |
| AMD | 2022-09-12 | 84.89 | 1.1705 | 0.5336 | no |
| AOS | 2022-09-12 | 52.49 | 0.7102 | 0.4829 | no |
| BALL | 2022-09-12 | 56.44 | 0.6591 | 0.4751 | no |
| BLK | 2022-09-12 | 633.72 | 0.8060 | — | no |
| BRO | 2022-09-12 | 63.62 | 0.7351 | 0.5090 | no |
| CBRE | 2022-09-12 | 81.54 | 0.8424 | 0.4621 | no |
| CDNS | 2022-09-12 | 175.11 | 1.2495 | 0.5538 | no |
| CHTR | 2022-09-12 | 409.99 | 0.8085 | 0.4601 | no |
| CPRT | 2022-09-12 | 29.17 | 1.0066 | 0.4807 | no |
| CRM | 2022-09-12 | 160.62 | 0.8960 | 0.4821 | no |
| DOW | 2022-09-12 | 40.92 | 0.6368 | 0.5196 | no |
| EFX | 2022-09-12 | 191.78 | 1.2284 | 0.4485 | no |
| GNRC | 2022-09-12 | 241.00 | 1.0345 | 0.5621 | no |
| IDXX | 2022-09-12 | 375.10 | 0.6775 | 0.5177 | no |
| INTU | 2022-09-12 | 443.35 | 0.7917 | 0.4903 | no |
| IQV | 2022-09-12 | 224.41 | 0.7767 | 0.4850 | no |
| JBHT | 2022-09-12 | 168.44 | 0.8064 | 0.5109 | no |
| KIM | 2022-09-12 | 18.32 | 0.6945 | 0.4460 | no |
| LRCX | 2022-09-12 | 42.94 | 0.6670 | 0.5424 | no |
| MCHP | 2022-09-12 | 61.28 | 1.5118 | 0.5155 | no |
| MCO | 2022-09-12 | 291.96 | 0.8886 | 0.4684 | no |
| MPWR | 2022-09-12 | 435.47 | 0.7697 | 0.5409 | no |
| MSCI | 2022-09-12 | 468.51 | 0.7132 | 0.4831 | no |
| MU | 2022-09-12 | 56.36 | 0.7266 | 0.5594 | no |
| NVDA | 2022-09-12 | 14.32 | 0.9819 | 0.5357 | no |
| NXPI | 2022-09-12 | 156.58 | 0.9527 | 0.5292 | no |
| ODFL | 2022-09-12 | 131.81 | 0.7068 | 0.5082 | no |
| OGN | 2022-09-12 | 25.39 | 0.8738 | 0.5336 | no |
| OTIS | 2022-09-12 | 69.02 | 0.8216 | 0.4566 | no |
| PH | 2022-09-12 | 267.65 | 0.6390 | 0.4920 | no |
| PHM | 2022-09-12 | 40.57 | 0.6224 | 0.4568 | no |
| QCOM | 2022-09-12 | 121.56 | 1.4795 | 0.5089 | no |
| QRVO | 2022-09-12 | 94.10 | 1.0939 | — | no |
| SNPS | 2022-09-12 | 341.93 | 1.1330 | 0.5700 | no |
| SPGI | 2022-09-12 | 338.78 | 0.6583 | 0.4804 | no |
| STX | 2022-09-12 | 61.57 | 0.6800 | 0.5406 | no |
| SWK | 2022-09-12 | 77.11 | 0.8099 | 0.4565 | no |
| SWKS | 2022-09-12 | 91.39 | 1.1258 | 0.5380 | no |
| TECH | 2022-09-12 | 84.91 | 0.6968 | 0.5030 | no |
| TER | 2022-09-12 | 87.50 | 0.8903 | 0.5220 | no |
| TRMB | 2022-09-12 | 63.41 | 1.2932 | 0.5223 | no |
| TYL | 2022-09-12 | 388.39 | 1.1228 | 0.4484 | no |
| VRSK | 2022-09-12 | 186.73 | 0.8230 | 0.4576 | no |
| VRSN | 2022-09-12 | 186.86 | 0.9701 | 0.5415 | no |
| WDC | 2022-09-12 | 33.16 | 1.2243 | 0.5500 | no |
| WST | 2022-09-12 | 310.54 | 0.7714 | 0.5443 | no |