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 | 2.99% | 10.48% | 2022-11-15 | -10.18% |
| buy & hold | participation factor overlay | 6 months | complete | 9.82% | 21.10% | 2023-02-02 | -10.18% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.14% | 9.40% | 2022-11-15 | -10.53% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.40% | 20.07% | 2023-02-02 | -10.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.51% | 11.71% | 2022-12-13 | -8.39% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.04% | 17.04% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.03% | 9.40% | 2022-11-30 | -9.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.44% | 15.58% | 2023-02-02 | -9.59% |
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 |
|---|---|---|---|---|---|
| ADI | 2022-09-19 | 138.70 | 1.0940 | 0.5530 | no |
| ADSK | 2022-09-19 | 193.03 | 1.4345 | 0.5168 | no |
| ALGN | 2022-09-19 | 244.58 | 1.2982 | 0.5232 | no |
| AMAT | 2022-09-19 | 85.00 | 1.1722 | 0.5594 | no |
| AMD | 2022-09-19 | 75.39 | 0.9726 | 0.5336 | no |
| AME | 2022-09-19 | 115.02 | 0.7162 | 0.4792 | no |
| APH | 2022-09-19 | 17.42 | 0.8615 | 0.4556 | no |
| BBY | 2022-09-19 | 58.78 | 0.7013 | 0.5657 | no |
| BIO | 2022-09-19 | 445.57 | 0.7106 | 0.4911 | no |
| BKR | 2022-09-19 | 21.28 | 1.0000 | 0.6079 | no |
| CE | 2022-09-19 | 95.49 | 0.7058 | 0.4963 | no |
| CRL | 2022-09-19 | 197.00 | 0.6761 | 0.5092 | no |
| CRM | 2022-09-19 | 147.89 | 1.2299 | 0.4821 | no |
| CZR | 2022-09-19 | 44.41 | 0.7644 | 0.4988 | no |
| DAL | 2022-09-19 | 30.83 | 0.8101 | 0.4586 | no |
| DOW | 2022-09-19 | 36.41 | 0.8564 | 0.5196 | no |
| EFX | 2022-09-19 | 175.99 | 1.0092 | 0.4496 | no |
| ETN | 2022-09-19 | 129.58 | 0.7936 | 0.4523 | no |
| GE | 2022-09-19 | 40.05 | 0.9682 | 0.4602 | no |
| GNRC | 2022-09-19 | 196.02 | 1.2672 | 0.5621 | no |
| IEX | 2022-09-19 | 193.37 | 0.8494 | 0.4880 | no |
| IFF | 2022-09-19 | 90.93 | 0.7249 | 0.4969 | no |
| INTU | 2022-09-19 | 402.58 | 0.9977 | 0.4903 | no |
| IQV | 2022-09-19 | 203.34 | 0.8153 | 0.4850 | no |
| ITW | 2022-09-19 | 175.14 | 0.7188 | 0.4847 | no |
| IVZ | 2022-09-19 | 13.27 | 0.9107 | 0.4820 | no |
| KLAC | 2022-09-19 | 32.13 | 0.9436 | 0.5220 | no |
| MCHP | 2022-09-19 | 59.07 | 1.1492 | 0.5155 | no |
| MLM | 2022-09-19 | 320.04 | 0.9651 | 0.4745 | no |
| MPWR | 2022-09-19 | 398.02 | 0.7519 | 0.5409 | no |
| MRNA | 2022-09-19 | 135.70 | 0.8314 | 0.5252 | no |
| MSCI | 2022-09-19 | 430.39 | 0.8340 | 0.4835 | no |
| NOW | 2022-09-19 | 84.56 | 0.7487 | 0.4958 | no |
| ODFL | 2022-09-19 | 123.26 | 0.7191 | 0.5084 | no |
| PENN | 2022-09-19 | 30.01 | 0.6937 | 0.4760 | no |
| PH | 2022-09-19 | 246.72 | 0.8316 | 0.4919 | no |
| QCOM | 2022-09-19 | 112.99 | 1.3199 | 0.5089 | no |
| SWK | 2022-09-19 | 72.56 | 0.7906 | 0.4564 | no |
| TDG | 2022-09-19 | 495.42 | 1.2139 | 0.6087 | no |
| TECH | 2022-09-19 | 75.16 | 1.0957 | 0.5030 | no |
| TER | 2022-09-19 | 80.02 | 1.6979 | 0.5220 | no |
| TRMB | 2022-09-19 | 58.01 | 1.0282 | 0.5223 | no |
| TXN | 2022-09-19 | 145.73 | 0.7209 | 0.5090 | no |
| TYL | 2022-09-19 | 357.80 | 1.0007 | 0.4484 | no |
| URI | 2022-09-19 | 273.51 | 1.1555 | 0.4862 | no |
| VLO | 2022-09-19 | 90.33 | 0.8180 | 0.5237 | no |
| VRSK | 2022-09-19 | 178.78 | 0.6985 | 0.4588 | no |
| XRAY | 2022-09-19 | 28.96 | 1.0258 | 0.4748 | no |
| XYL | 2022-09-19 | 88.20 | 1.1555 | 0.4854 | no |
| ZBRA | 2022-09-19 | 285.01 | 0.8195 | 0.4503 | no |