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 | 3.17% | 10.91% | 2022-11-15 | -9.91% |
| buy & hold | participation factor overlay | 6 months | complete | 9.72% | 20.87% | 2023-02-02 | -9.91% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.23% | 8.88% | 2022-11-15 | -9.79% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.04% | 20.00% | 2023-02-02 | -10.12% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.90% | 13.07% | 2022-12-13 | -7.87% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.31% | 18.55% | 2023-02-02 | -7.87% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.88% | 12.35% | 2022-12-13 | -8.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.70% | 18.51% | 2023-02-02 | -9.12% |
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 |
|---|---|---|---|---|---|
| AAPL | 2022-09-19 | 146.45 | 0.8326 | 0.5328 | no |
| ADI | 2022-09-19 | 138.70 | 1.1049 | 0.5530 | no |
| ADSK | 2022-09-19 | 193.03 | 1.5575 | 0.5168 | no |
| ALGN | 2022-09-19 | 244.58 | 1.3359 | 0.5232 | no |
| AMAT | 2022-09-19 | 85.00 | 1.2535 | 0.5594 | no |
| AMD | 2022-09-19 | 75.39 | 0.9114 | 0.5336 | no |
| BBY | 2022-09-19 | 58.78 | 0.8256 | 0.5657 | no |
| BIO | 2022-09-19 | 445.57 | 0.8724 | 0.4911 | no |
| BKR | 2022-09-19 | 21.28 | 0.8439 | 0.6079 | no |
| BLK | 2022-09-19 | 564.29 | 0.9188 | — | no |
| CE | 2022-09-19 | 95.49 | 0.7132 | 0.4963 | no |
| CF | 2022-09-19 | 88.19 | 0.7953 | 0.5176 | no |
| CRM | 2022-09-19 | 147.89 | 1.4847 | 0.4821 | no |
| DLR | 2022-09-19 | 97.10 | 0.7623 | 0.4796 | no |
| EFX | 2022-09-19 | 175.99 | 0.9769 | 0.4496 | no |
| ETN | 2022-09-19 | 129.58 | 0.9351 | 0.4523 | no |
| FCX | 2022-09-19 | 26.96 | 0.7414 | 0.6488 | no |
| GE | 2022-09-19 | 40.05 | 1.1321 | 0.4602 | no |
| GNRC | 2022-09-19 | 196.02 | 1.1764 | 0.5621 | no |
| IEX | 2022-09-19 | 193.37 | 0.8307 | 0.4880 | no |
| IFF | 2022-09-19 | 90.93 | 0.7322 | 0.4969 | no |
| INTU | 2022-09-19 | 402.58 | 1.1114 | 0.4903 | no |
| IQV | 2022-09-19 | 203.34 | 0.8556 | 0.4850 | no |
| ITW | 2022-09-19 | 175.14 | 0.8645 | 0.4847 | no |
| IVZ | 2022-09-19 | 13.27 | 1.0113 | 0.4820 | no |
| KLAC | 2022-09-19 | 32.13 | 0.9305 | 0.5220 | no |
| MCHP | 2022-09-19 | 59.07 | 1.3059 | 0.5155 | no |
| MLM | 2022-09-19 | 320.04 | 0.9421 | 0.4745 | no |
| MOS | 2022-09-19 | 45.56 | 0.7114 | 0.5422 | no |
| MRNA | 2022-09-19 | 135.70 | 0.8922 | 0.5252 | no |
| MSCI | 2022-09-19 | 430.39 | 0.9399 | 0.4835 | no |
| MU | 2022-09-19 | 50.97 | 0.7768 | 0.5594 | no |
| NOW | 2022-09-19 | 84.56 | 0.7836 | 0.4958 | no |
| ODFL | 2022-09-19 | 123.26 | 0.9708 | 0.5084 | no |
| OTIS | 2022-09-19 | 62.92 | 0.8519 | 0.4565 | no |
| PENN | 2022-09-19 | 30.01 | 0.7348 | 0.4760 | no |
| PH | 2022-09-19 | 246.72 | 1.0233 | 0.4919 | no |
| PNR | 2022-09-19 | 40.47 | 0.9365 | 0.4985 | no |
| QCOM | 2022-09-19 | 112.99 | 1.1119 | 0.5089 | no |
| TDG | 2022-09-19 | 495.42 | 1.0932 | 0.6087 | no |
| TECH | 2022-09-19 | 75.16 | 1.2755 | 0.5030 | no |
| TER | 2022-09-19 | 80.02 | 1.9745 | 0.5220 | no |
| TRMB | 2022-09-19 | 58.01 | 1.1023 | 0.5223 | no |
| TXN | 2022-09-19 | 145.73 | 0.7695 | 0.5090 | no |
| TYL | 2022-09-19 | 357.80 | 1.0596 | 0.4484 | no |
| URI | 2022-09-19 | 273.51 | 1.2679 | 0.4862 | no |
| VLO | 2022-09-19 | 90.33 | 0.9836 | 0.5237 | no |
| XRAY | 2022-09-19 | 28.96 | 0.8112 | 0.4748 | no |
| XYL | 2022-09-19 | 88.20 | 1.2379 | 0.4854 | no |
| ZBRA | 2022-09-19 | 285.01 | 0.8546 | 0.4503 | no |