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 | -2.75% | 0.00% | 2022-09-12 | -16.92% |
| buy & hold | participation factor overlay | 6 months | complete | 0.30% | 10.66% | 2023-02-02 | -16.92% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.72% | 0.01% | 2022-09-12 | -16.65% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.15% | 10.19% | 2023-02-02 | -16.65% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.26% | 1.95% | 2022-11-30 | -14.69% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.29% | 7.21% | 2023-02-02 | -14.69% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.05% | 0.20% | 2022-11-30 | -15.91% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.11% | 5.85% | 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 | 2022-09-12 | 391.09 | 0.8082 | 0.5243 | no |
| ADSK | 2022-09-12 | 212.90 | 0.8263 | 0.5168 | no |
| ALGN | 2022-09-12 | 264.29 | 0.9289 | 0.5233 | no |
| AMAT | 2022-09-12 | 93.76 | 1.0783 | 0.5594 | no |
| AMD | 2022-09-12 | 84.89 | 1.0301 | 0.5336 | no |
| AOS | 2022-09-12 | 52.49 | 0.6389 | 0.4829 | no |
| APA | 2022-09-12 | 34.59 | 0.7547 | 0.6554 | no |
| BALL | 2022-09-12 | 56.44 | 0.6566 | 0.4751 | no |
| BLK | 2022-09-12 | 633.72 | 0.6832 | — | no |
| CBRE | 2022-09-12 | 81.54 | 0.9232 | 0.4621 | no |
| CDNS | 2022-09-12 | 175.11 | 1.0809 | 0.5538 | no |
| CHTR | 2022-09-12 | 409.99 | 0.8408 | 0.4601 | no |
| CPRT | 2022-09-12 | 29.17 | 0.8830 | 0.4807 | no |
| CRM | 2022-09-12 | 160.62 | 1.0975 | 0.4821 | no |
| EFX | 2022-09-12 | 191.78 | 1.0315 | 0.4485 | no |
| FCX | 2022-09-12 | 30.91 | 0.8173 | 0.6488 | no |
| GNRC | 2022-09-12 | 241.00 | 0.9623 | 0.5621 | no |
| IDXX | 2022-09-12 | 375.10 | 0.6835 | 0.5177 | no |
| IEX | 2022-09-12 | 200.35 | 0.6851 | 0.4880 | no |
| INTU | 2022-09-12 | 443.35 | 0.7683 | 0.4903 | no |
| IQV | 2022-09-12 | 224.41 | 0.8644 | 0.4850 | no |
| JBHT | 2022-09-12 | 168.44 | 0.9036 | 0.5109 | no |
| LRCX | 2022-09-12 | 42.94 | 0.7896 | 0.5424 | no |
| MCHP | 2022-09-12 | 61.28 | 1.2219 | 0.5155 | no |
| MCO | 2022-09-12 | 291.96 | 0.7105 | 0.4684 | no |
| MPWR | 2022-09-12 | 435.47 | 0.7130 | 0.5409 | no |
| MRNA | 2022-09-12 | 142.00 | 0.6606 | 0.5252 | no |
| NVDA | 2022-09-12 | 14.32 | 1.2633 | 0.5357 | no |
| NWL | 2022-09-12 | 15.05 | 0.6580 | 0.4509 | no |
| NXPI | 2022-09-12 | 156.58 | 0.9875 | 0.5292 | no |
| ODFL | 2022-09-12 | 131.81 | 0.7036 | 0.5082 | no |
| OGN | 2022-09-12 | 25.39 | 0.6647 | 0.5336 | no |
| OTIS | 2022-09-12 | 69.02 | 0.8124 | 0.4566 | no |
| PH | 2022-09-12 | 267.65 | 0.7242 | 0.4920 | no |
| QCOM | 2022-09-12 | 121.56 | 1.3438 | 0.5089 | no |
| QRVO | 2022-09-12 | 94.10 | 1.3254 | — | no |
| SNPS | 2022-09-12 | 341.93 | 0.9818 | 0.5700 | no |
| STX | 2022-09-12 | 61.57 | 0.6260 | 0.5406 | no |
| SWK | 2022-09-12 | 77.11 | 0.9405 | 0.4565 | no |
| SWKS | 2022-09-12 | 91.39 | 0.9691 | 0.5380 | no |
| TECH | 2022-09-12 | 84.91 | 0.6951 | 0.5030 | no |
| TEL | 2022-09-12 | 122.29 | 0.6459 | — | no |
| TER | 2022-09-12 | 87.50 | 1.0630 | 0.5220 | no |
| TRMB | 2022-09-12 | 63.41 | 1.0478 | 0.5223 | no |
| TYL | 2022-09-12 | 388.39 | 1.1247 | 0.4484 | no |
| URI | 2022-09-12 | 302.76 | 0.6405 | 0.4861 | no |
| VRSK | 2022-09-12 | 186.73 | 0.6806 | 0.4576 | no |
| VRSN | 2022-09-12 | 186.86 | 0.9114 | 0.5415 | no |
| WDC | 2022-09-12 | 33.16 | 1.0713 | 0.5500 | no |
| WST | 2022-09-12 | 310.54 | 0.7222 | 0.5443 | no |