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 | 12.12% | 18.21% | 2022-12-01 | -7.35% |
| buy & hold | participation factor overlay | 6 months | complete | 18.45% | 29.82% | 2023-02-02 | -9.69% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.46% | 16.71% | 2022-12-01 | -7.74% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.68% | 28.58% | 2023-02-02 | -12.56% |
| weekly rebalance | participation factor overlay | 3 months | complete | 15.50% | 18.94% | 2022-12-13 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.46% | 24.71% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.92% | 18.20% | 2022-12-13 | -6.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 14.06% | 24.68% | 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 |
|---|---|---|---|---|---|
| ADSK | 2022-09-26 | 185.05 | 1.2793 | 0.5163 | no |
| ALGN | 2022-09-26 | 222.43 | 1.8916 | 0.5225 | no |
| AMAT | 2022-09-26 | 81.56 | 0.9126 | 0.5566 | no |
| ANET | 2022-09-26 | 27.56 | 1.1978 | 0.5029 | no |
| APA | 2022-09-26 | 28.71 | 0.9251 | 0.6539 | no |
| BKR | 2022-09-26 | 19.57 | 1.0252 | 0.6126 | no |
| CAT | 2022-09-26 | 153.84 | 0.8714 | 0.5082 | no |
| CBRE | 2022-09-26 | 70.18 | 0.8591 | 0.4613 | no |
| COO | 2022-09-26 | 68.50 | 1.0157 | 0.5090 | no |
| CRL | 2022-09-26 | 187.11 | 1.1838 | 0.5063 | no |
| CRM | 2022-09-26 | 144.25 | 1.1049 | 0.4825 | no |
| DAL | 2022-09-26 | 27.93 | 0.9710 | 0.4672 | no |
| DD | 2022-09-26 | 58.42 | 1.0163 | 0.5013 | no |
| EBAY | 2022-09-26 | 35.52 | 1.1218 | 0.4506 | no |
| EFX | 2022-09-26 | 169.35 | 0.9207 | 0.4502 | no |
| ETN | 2022-09-26 | 126.53 | 0.8286 | 0.4521 | no |
| ETSY | 2022-09-26 | 96.07 | 1.0672 | — | no |
| FCX | 2022-09-26 | 24.78 | 0.9530 | 0.6410 | no |
| FTV | 2022-09-26 | 44.21 | 0.8756 | 0.4610 | no |
| HWM | 2022-09-26 | 31.28 | 0.8957 | 0.6066 | no |
| INTU | 2022-09-26 | 382.30 | 1.5481 | 0.4907 | no |
| IR | 2022-09-26 | 43.57 | 1.4082 | 0.4928 | no |
| ITW | 2022-09-26 | 170.21 | 0.9130 | 0.4847 | no |
| IVZ | 2022-09-26 | 12.65 | 0.9203 | 0.4857 | no |
| KLAC | 2022-09-26 | 29.78 | 1.1547 | 0.5219 | no |
| MCHP | 2022-09-26 | 56.59 | 1.0583 | 0.5167 | no |
| MGM | 2022-09-26 | 30.56 | 1.2869 | 0.4701 | no |
| MKTX | 2022-09-26 | 214.28 | 0.8765 | 0.5281 | no |
| MLM | 2022-09-26 | 311.31 | 0.9272 | 0.4742 | no |
| MSCI | 2022-09-26 | 403.21 | 1.3138 | 0.4809 | no |
| ODFL | 2022-09-26 | 121.31 | 0.9217 | 0.5087 | no |
| OKE | 2022-09-26 | 42.48 | 0.9271 | 0.4986 | no |
| PENN | 2022-09-26 | 27.00 | 1.0275 | 0.4761 | no |
| PFE | 2022-09-26 | 34.72 | 1.2097 | 0.5778 | no |
| PH | 2022-09-26 | 231.14 | 1.3129 | 0.4919 | no |
| PNR | 2022-09-26 | 39.09 | 1.1039 | 0.4994 | no |
| PPG | 2022-09-26 | 102.89 | 0.9411 | 0.4979 | no |
| PSA | 2022-09-26 | 250.05 | 0.8685 | 0.4884 | no |
| TDG | 2022-09-26 | 459.10 | 1.0970 | 0.6095 | no |
| TECH | 2022-09-26 | 71.39 | 0.8906 | 0.5030 | no |
| TER | 2022-09-26 | 78.01 | 1.1015 | 0.5184 | no |
| TSLA | 2022-09-26 | 271.83 | 0.9639 | 0.5189 | no |
| TYL | 2022-09-26 | 342.05 | 1.0297 | 0.4483 | no |
| UDR | 2022-09-26 | 35.59 | 0.8379 | 0.4545 | no |
| URI | 2022-09-26 | 252.17 | 1.2906 | 0.4892 | no |
| WBD | 2022-09-26 | 11.69 | 0.8646 | 0.4506 | no |
| XRAY | 2022-09-26 | 27.16 | 0.8474 | 0.4746 | no |
| XYL | 2022-09-26 | 85.26 | 1.1006 | 0.4865 | no |
| ZBRA | 2022-09-26 | 268.55 | 1.0766 | 0.4522 | no |
| ZTS | 2022-09-26 | 142.47 | 1.0421 | 0.4888 | no |