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 | 1.55% | 8.82% | 2022-11-15 | -10.54% |
| buy & hold | participation factor overlay | 6 months | complete | 9.20% | 19.15% | 2023-02-02 | -10.54% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.44% | 7.46% | 2022-11-11 | -11.59% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.47% | 20.08% | 2023-02-02 | -11.59% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.60% | 13.32% | 2022-12-13 | -8.00% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.87% | 17.34% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.21% | 10.72% | 2022-11-30 | -9.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.71% | 14.94% | 2023-02-02 | -9.03% |
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 | 0.7355 | 0.5328 | no |
| ADI | 2022-09-19 | 138.70 | 0.7259 | 0.5530 | no |
| ADSK | 2022-09-19 | 193.03 | 1.6689 | 0.5168 | no |
| ALGN | 2022-09-19 | 244.58 | 1.3981 | 0.5232 | no |
| AMAT | 2022-09-19 | 85.00 | 0.9350 | 0.5594 | no |
| AMD | 2022-09-19 | 75.39 | 1.1528 | 0.5336 | no |
| AME | 2022-09-19 | 115.02 | 0.7365 | 0.4792 | no |
| APH | 2022-09-19 | 17.42 | 0.7343 | 0.4556 | no |
| AVY | 2022-09-19 | 159.92 | 0.7438 | 0.4987 | no |
| BBY | 2022-09-19 | 58.78 | 0.8609 | 0.5657 | no |
| BIO | 2022-09-19 | 445.57 | 0.8117 | 0.4911 | no |
| BKR | 2022-09-19 | 21.28 | 1.0408 | 0.6079 | no |
| BLK | 2022-09-19 | 564.29 | 0.8668 | — | no |
| CRL | 2022-09-19 | 197.00 | 0.7540 | 0.5092 | no |
| CRM | 2022-09-19 | 147.89 | 1.1701 | 0.4821 | no |
| DLR | 2022-09-19 | 97.10 | 0.7623 | 0.4796 | no |
| DOW | 2022-09-19 | 36.41 | 0.8031 | 0.5196 | no |
| EFX | 2022-09-19 | 175.99 | 0.9102 | 0.4496 | no |
| ETN | 2022-09-19 | 129.58 | 1.1147 | 0.4523 | no |
| EXR | 2022-09-19 | 153.24 | 0.7241 | 0.4870 | no |
| GE | 2022-09-19 | 40.05 | 1.0130 | 0.4602 | no |
| GNRC | 2022-09-19 | 196.02 | 1.0010 | 0.5621 | no |
| HWM | 2022-09-19 | 33.01 | 0.7168 | 0.6046 | no |
| IEX | 2022-09-19 | 193.37 | 0.7700 | 0.4880 | no |
| INTU | 2022-09-19 | 402.58 | 1.2407 | 0.4903 | no |
| IQV | 2022-09-19 | 203.34 | 0.8460 | 0.4850 | no |
| ITW | 2022-09-19 | 175.14 | 0.7863 | 0.4847 | no |
| IVZ | 2022-09-19 | 13.27 | 1.0088 | 0.4820 | no |
| KLAC | 2022-09-19 | 32.13 | 0.8886 | 0.5220 | no |
| MCHP | 2022-09-19 | 59.07 | 1.1821 | 0.5155 | no |
| MLM | 2022-09-19 | 320.04 | 1.1278 | 0.4745 | no |
| MPWR | 2022-09-19 | 398.02 | 0.9061 | 0.5409 | no |
| MSCI | 2022-09-19 | 430.39 | 1.0199 | 0.4835 | no |
| MU | 2022-09-19 | 50.97 | 0.7388 | 0.5594 | no |
| NOW | 2022-09-19 | 84.56 | 0.8955 | 0.4958 | no |
| PENN | 2022-09-19 | 30.01 | 0.7842 | 0.4760 | no |
| PNR | 2022-09-19 | 40.47 | 0.7168 | 0.4985 | no |
| QCOM | 2022-09-19 | 112.99 | 1.1804 | 0.5089 | no |
| TDG | 2022-09-19 | 495.42 | 1.0509 | 0.6087 | no |
| TECH | 2022-09-19 | 75.16 | 1.0776 | 0.5030 | no |
| TEL | 2022-09-19 | 113.83 | 0.7351 | — | no |
| TER | 2022-09-19 | 80.02 | 1.9787 | 0.5220 | no |
| TRMB | 2022-09-19 | 58.01 | 1.1604 | 0.5223 | no |
| TYL | 2022-09-19 | 357.80 | 1.1089 | 0.4484 | no |
| URI | 2022-09-19 | 273.51 | 1.0598 | 0.4862 | no |
| VRSK | 2022-09-19 | 178.78 | 0.8504 | 0.4588 | no |
| WAT | 2022-09-19 | 281.10 | 0.7122 | 0.4619 | no |
| XRAY | 2022-09-19 | 28.96 | 1.0050 | 0.4748 | no |
| XYL | 2022-09-19 | 88.20 | 1.3732 | 0.4854 | no |
| ZBRA | 2022-09-19 | 285.01 | 0.9492 | 0.4503 | no |