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 | 12.65% | 18.41% | 2022-12-01 | -7.11% |
| buy & hold | participation factor overlay | 6 months | complete | 17.84% | 28.33% | 2023-02-02 | -9.41% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.60% | 17.10% | 2022-11-11 | -7.35% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 15.16% | 28.25% | 2023-02-02 | -11.53% |
| weekly rebalance | participation factor overlay | 3 months | complete | 15.16% | 19.19% | 2022-12-13 | -6.92% |
| weekly rebalance | participation factor overlay | 6 months | complete | 14.08% | 23.42% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.29% | 17.47% | 2022-11-30 | -6.78% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.49% | 21.95% | 2023-02-02 | -8.90% |
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 | 1.4430 | 0.5163 | no |
| ALGN | 2022-09-26 | 222.43 | 1.6757 | 0.5225 | no |
| AMT | 2022-09-26 | 200.12 | 0.8919 | 0.4976 | no |
| ANET | 2022-09-26 | 27.56 | 1.1513 | 0.5029 | no |
| APA | 2022-09-26 | 28.71 | 0.9368 | 0.6539 | no |
| AVGO | 2022-09-26 | 44.31 | 0.7975 | 0.5391 | no |
| BKR | 2022-09-26 | 19.57 | 0.9570 | 0.6126 | no |
| CAT | 2022-09-26 | 153.84 | 0.8846 | 0.5082 | no |
| COO | 2022-09-26 | 68.50 | 1.0170 | 0.5090 | no |
| CRL | 2022-09-26 | 187.11 | 1.0803 | 0.5063 | no |
| CRM | 2022-09-26 | 144.25 | 1.0005 | 0.4825 | no |
| DAL | 2022-09-26 | 27.93 | 0.8333 | 0.4672 | no |
| DD | 2022-09-26 | 58.42 | 1.2790 | 0.5013 | no |
| EBAY | 2022-09-26 | 35.52 | 0.9451 | 0.4506 | no |
| EMR | 2022-09-26 | 68.13 | 0.8682 | 0.4484 | no |
| ETN | 2022-09-26 | 126.53 | 0.8472 | 0.4521 | no |
| FCX | 2022-09-26 | 24.78 | 1.0715 | 0.6410 | no |
| FFIV | 2022-09-26 | 143.68 | 0.8840 | 0.4701 | no |
| FTV | 2022-09-26 | 44.21 | 1.0341 | 0.4610 | no |
| ICE | 2022-09-26 | 88.09 | 0.8576 | 0.5053 | no |
| INTU | 2022-09-26 | 382.30 | 1.5908 | 0.4907 | no |
| IR | 2022-09-26 | 43.57 | 1.4642 | 0.4928 | no |
| ITW | 2022-09-26 | 170.21 | 0.8208 | 0.4847 | no |
| IVZ | 2022-09-26 | 12.65 | 0.8372 | 0.4857 | no |
| KLAC | 2022-09-26 | 29.78 | 0.9218 | 0.5219 | no |
| LH | 2022-09-26 | 172.79 | 0.8999 | 0.4655 | no |
| MCHP | 2022-09-26 | 56.59 | 0.8041 | 0.5167 | no |
| MGM | 2022-09-26 | 30.56 | 1.0647 | 0.4701 | no |
| MKTX | 2022-09-26 | 214.28 | 1.1062 | 0.5281 | no |
| MSCI | 2022-09-26 | 403.21 | 1.2758 | 0.4809 | no |
| MSI | 2022-09-26 | 219.13 | 0.9286 | 0.4955 | no |
| NDAQ | 2022-09-26 | 53.81 | 0.8028 | 0.4978 | no |
| ODFL | 2022-09-26 | 121.31 | 1.0081 | 0.5087 | no |
| OKE | 2022-09-26 | 42.48 | 0.9078 | 0.4986 | no |
| PENN | 2022-09-26 | 27.00 | 0.9994 | 0.4761 | no |
| PFE | 2022-09-26 | 34.72 | 0.9791 | 0.5778 | no |
| PH | 2022-09-26 | 231.14 | 1.2618 | 0.4919 | no |
| PNR | 2022-09-26 | 39.09 | 1.1025 | 0.4994 | no |
| PTC | 2022-09-26 | 106.13 | 0.9451 | 0.5098 | no |
| QCOM | 2022-09-26 | 111.09 | 1.1471 | 0.5086 | no |
| TDG | 2022-09-26 | 459.10 | 0.9027 | 0.6095 | no |
| TER | 2022-09-26 | 78.01 | 1.0180 | 0.5184 | no |
| TRMB | 2022-09-26 | 56.34 | 0.9694 | 0.5230 | no |
| TYL | 2022-09-26 | 342.05 | 1.1194 | 0.4483 | no |
| UDR | 2022-09-26 | 35.59 | 0.8848 | 0.4545 | no |
| URI | 2022-09-26 | 252.17 | 0.8699 | 0.4892 | no |
| XRAY | 2022-09-26 | 27.16 | 1.0110 | 0.4746 | no |
| XYL | 2022-09-26 | 85.26 | 1.3745 | 0.4865 | no |
| ZBRA | 2022-09-26 | 268.55 | 1.1279 | 0.4522 | no |
| ZTS | 2022-09-26 | 142.47 | 1.0533 | 0.4888 | no |