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 | -2.69% | 0.00% | 2022-09-12 | -16.54% |
| buy & hold | participation factor overlay | 6 months | complete | 0.19% | 10.24% | 2023-02-02 | -16.54% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.13% | 0.00% | 2022-09-12 | -16.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.66% | 8.49% | 2023-02-02 | -16.52% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.21% | 2.63% | 2022-12-01 | -14.43% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.94% | 7.85% | 2023-03-03 | -14.43% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.33% | 2.36% | 2022-11-30 | -15.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.61% | 8.68% | 2023-02-02 | -15.07% |
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 | 0.8694 | 0.5243 | no |
| ADSK | 2022-09-12 | 212.90 | 0.7653 | 0.5168 | no |
| ALGN | 2022-09-12 | 264.29 | 0.9314 | 0.5233 | no |
| AMAT | 2022-09-12 | 93.76 | 1.0880 | 0.5594 | no |
| AMD | 2022-09-12 | 84.89 | 1.2449 | 0.5336 | no |
| AOS | 2022-09-12 | 52.49 | 0.7433 | 0.4829 | no |
| APA | 2022-09-12 | 34.59 | 0.6965 | 0.6554 | no |
| BIO | 2022-09-12 | 511.30 | 0.6618 | 0.4911 | no |
| BKR | 2022-09-12 | 23.55 | 0.7348 | 0.6079 | no |
| BLK | 2022-09-12 | 633.72 | 0.8047 | — | no |
| CBRE | 2022-09-12 | 81.54 | 0.8337 | 0.4621 | no |
| CDNS | 2022-09-12 | 175.11 | 1.0779 | 0.5538 | no |
| CHTR | 2022-09-12 | 409.99 | 0.9348 | 0.4601 | no |
| CMCSA | 2022-09-12 | 29.07 | 0.6426 | 0.4646 | no |
| CPRT | 2022-09-12 | 29.17 | 0.8067 | 0.4807 | no |
| CRM | 2022-09-12 | 160.62 | 0.9813 | 0.4821 | no |
| EFX | 2022-09-12 | 191.78 | 0.9503 | 0.4485 | no |
| GNRC | 2022-09-12 | 241.00 | 0.8487 | 0.5621 | no |
| HPQ | 2022-09-12 | 24.04 | 0.6625 | 0.5383 | no |
| INTU | 2022-09-12 | 443.35 | 0.8178 | 0.4903 | no |
| IQV | 2022-09-12 | 224.41 | 0.6955 | 0.4850 | no |
| JBHT | 2022-09-12 | 168.44 | 0.7479 | 0.5109 | no |
| KLAC | 2022-09-12 | 34.41 | 0.6439 | 0.5220 | no |
| MCHP | 2022-09-12 | 61.28 | 1.1102 | 0.5155 | no |
| MCO | 2022-09-12 | 291.96 | 0.8558 | 0.4684 | no |
| MMM | 2022-09-12 | 90.63 | 0.6873 | 0.4634 | no |
| MPWR | 2022-09-12 | 435.47 | 0.8111 | 0.5409 | no |
| MU | 2022-09-12 | 56.36 | 0.6844 | 0.5594 | no |
| NVDA | 2022-09-12 | 14.32 | 1.3244 | 0.5357 | no |
| NWS | 2022-09-12 | 17.26 | 0.6902 | — | no |
| NXPI | 2022-09-12 | 156.58 | 0.6789 | 0.5292 | no |
| OGN | 2022-09-12 | 25.39 | 0.8048 | 0.5336 | no |
| OTIS | 2022-09-12 | 69.02 | 0.6546 | 0.4566 | no |
| PH | 2022-09-12 | 267.65 | 0.7310 | 0.4920 | no |
| PHM | 2022-09-12 | 40.57 | 0.6537 | 0.4568 | no |
| QCOM | 2022-09-12 | 121.56 | 1.3235 | 0.5089 | no |
| QRVO | 2022-09-12 | 94.10 | 1.0365 | — | no |
| SNPS | 2022-09-12 | 341.93 | 0.8309 | 0.5700 | no |
| SWK | 2022-09-12 | 77.11 | 0.6861 | 0.4565 | no |
| SWKS | 2022-09-12 | 91.39 | 0.8406 | 0.5380 | no |
| TECH | 2022-09-12 | 84.91 | 0.7966 | 0.5030 | no |
| TER | 2022-09-12 | 87.50 | 0.9183 | 0.5220 | no |
| TRMB | 2022-09-12 | 63.41 | 1.1045 | 0.5223 | no |
| TXN | 2022-09-12 | 152.56 | 0.7086 | 0.5090 | no |
| TYL | 2022-09-12 | 388.39 | 1.1587 | 0.4484 | no |
| URI | 2022-09-12 | 302.76 | 0.6549 | 0.4861 | no |
| VRSK | 2022-09-12 | 186.73 | 0.7470 | 0.4576 | no |
| VRSN | 2022-09-12 | 186.86 | 1.0054 | 0.5415 | no |
| WDC | 2022-09-12 | 33.16 | 1.0199 | 0.5500 | no |
| WST | 2022-09-12 | 310.54 | 0.8201 | 0.5443 | no |