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 | -2.28% | 0.00% | 2022-09-12 | -15.96% |
| buy & hold | participation factor overlay | 6 months | complete | 1.20% | 11.06% | 2023-02-02 | -15.96% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.96% | 0.06% | 2022-09-12 | -16.50% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.14% | 10.68% | 2023-02-02 | -16.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.46% | 4.05% | 2022-11-30 | -13.97% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.06% | 7.90% | 2023-02-02 | -13.97% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.49% | 1.77% | 2022-11-30 | -15.00% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.85% | 5.65% | 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 | 2022-09-12 | 391.09 | 1.0384 | 0.5243 | no |
| ADI | 2022-09-12 | 145.60 | 0.6676 | 0.5530 | no |
| ADSK | 2022-09-12 | 212.90 | 0.8678 | 0.5168 | no |
| ALGN | 2022-09-12 | 264.29 | 0.8768 | 0.5233 | no |
| AMAT | 2022-09-12 | 93.76 | 1.1127 | 0.5594 | no |
| AMD | 2022-09-12 | 84.89 | 1.2371 | 0.5336 | no |
| AOS | 2022-09-12 | 52.49 | 0.7703 | 0.4829 | no |
| APA | 2022-09-12 | 34.59 | 0.6087 | 0.6554 | no |
| BLK | 2022-09-12 | 633.72 | 0.6996 | — | no |
| CBRE | 2022-09-12 | 81.54 | 0.8239 | 0.4621 | no |
| CDNS | 2022-09-12 | 175.11 | 1.0347 | 0.5538 | no |
| CHTR | 2022-09-12 | 409.99 | 0.9745 | 0.4601 | no |
| CMCSA | 2022-09-12 | 29.07 | 0.6082 | 0.4646 | no |
| CPRT | 2022-09-12 | 29.17 | 0.9842 | 0.4807 | no |
| CRM | 2022-09-12 | 160.62 | 0.8765 | 0.4821 | no |
| DOW | 2022-09-12 | 40.92 | 0.6864 | 0.5196 | no |
| EFX | 2022-09-12 | 191.78 | 1.1728 | 0.4485 | no |
| GNRC | 2022-09-12 | 241.00 | 0.7084 | 0.5621 | no |
| HPQ | 2022-09-12 | 24.04 | 0.6212 | 0.5383 | no |
| IEX | 2022-09-12 | 200.35 | 0.7270 | 0.4880 | no |
| INTU | 2022-09-12 | 443.35 | 0.8186 | 0.4903 | no |
| IQV | 2022-09-12 | 224.41 | 0.9490 | 0.4850 | no |
| JBHT | 2022-09-12 | 168.44 | 0.9349 | 0.5109 | no |
| MCHP | 2022-09-12 | 61.28 | 1.3165 | 0.5155 | no |
| MCO | 2022-09-12 | 291.96 | 0.7425 | 0.4684 | no |
| MPWR | 2022-09-12 | 435.47 | 0.8260 | 0.5409 | no |
| MU | 2022-09-12 | 56.36 | 0.6364 | 0.5594 | no |
| NVDA | 2022-09-12 | 14.32 | 1.1995 | 0.5357 | no |
| NWS | 2022-09-12 | 17.26 | 0.6196 | — | no |
| NXPI | 2022-09-12 | 156.58 | 1.0079 | 0.5292 | no |
| ODFL | 2022-09-12 | 131.81 | 0.6781 | 0.5082 | no |
| OGN | 2022-09-12 | 25.39 | 0.8767 | 0.5336 | no |
| OTIS | 2022-09-12 | 69.02 | 0.8329 | 0.4566 | no |
| PH | 2022-09-12 | 267.65 | 0.7203 | 0.4920 | no |
| PHM | 2022-09-12 | 40.57 | 0.6252 | 0.4568 | no |
| QCOM | 2022-09-12 | 121.56 | 1.3507 | 0.5089 | no |
| QRVO | 2022-09-12 | 94.10 | 1.2882 | — | no |
| SNPS | 2022-09-12 | 341.93 | 1.0233 | 0.5700 | no |
| SWK | 2022-09-12 | 77.11 | 0.6888 | 0.4565 | no |
| SWKS | 2022-09-12 | 91.39 | 1.0494 | 0.5380 | no |
| TECH | 2022-09-12 | 84.91 | 0.6565 | 0.5030 | no |
| TEL | 2022-09-12 | 122.29 | 0.7757 | — | no |
| TER | 2022-09-12 | 87.50 | 0.9968 | 0.5220 | no |
| TRMB | 2022-09-12 | 63.41 | 1.2810 | 0.5223 | no |
| TYL | 2022-09-12 | 388.39 | 0.9807 | 0.4484 | no |
| URI | 2022-09-12 | 302.76 | 0.6302 | 0.4861 | no |
| VRSK | 2022-09-12 | 186.73 | 0.6573 | 0.4576 | no |
| VRSN | 2022-09-12 | 186.86 | 0.8721 | 0.5415 | no |
| WDC | 2022-09-12 | 33.16 | 1.0242 | 0.5500 | no |
| WST | 2022-09-12 | 310.54 | 0.6072 | 0.5443 | no |