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 | 13.03% | 19.39% | 2022-11-15 | -7.65% |
| buy & hold | participation factor overlay | 6 months | complete | 20.11% | 31.06% | 2023-02-02 | -9.40% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.23% | 17.88% | 2022-11-15 | -7.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.09% | 29.67% | 2023-02-02 | -13.77% |
| weekly rebalance | participation factor overlay | 3 months | complete | 15.66% | 18.86% | 2022-12-13 | -6.62% |
| weekly rebalance | participation factor overlay | 6 months | complete | 16.50% | 24.11% | 2023-03-03 | -6.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.65% | 18.14% | 2022-12-13 | -6.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.01% | 25.30% | 2023-02-02 | -7.77% |
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 | 1.7090 | 0.5225 | no |
| AMAT | 2022-09-26 | 81.56 | 0.7923 | 0.5566 | no |
| ANET | 2022-09-26 | 27.56 | 0.8899 | 0.5029 | no |
| APA | 2022-09-26 | 28.71 | 0.9013 | 0.6539 | no |
| BKR | 2022-09-26 | 19.57 | 0.9401 | 0.6126 | no |
| COO | 2022-09-26 | 68.50 | 1.1427 | 0.5090 | no |
| CRL | 2022-09-26 | 187.11 | 1.1586 | 0.5063 | no |
| CRM | 2022-09-26 | 144.25 | 1.0745 | 0.4825 | no |
| CZR | 2022-09-26 | 35.43 | 0.9358 | 0.5010 | no |
| DAL | 2022-09-26 | 27.93 | 0.9014 | 0.4672 | no |
| DD | 2022-09-26 | 58.42 | 1.2807 | 0.5013 | no |
| EBAY | 2022-09-26 | 35.52 | 1.0665 | 0.4506 | no |
| EFX | 2022-09-26 | 169.35 | 0.8323 | 0.4502 | no |
| ETN | 2022-09-26 | 126.53 | 0.8214 | 0.4521 | no |
| ETSY | 2022-09-26 | 96.07 | 0.9956 | — | no |
| FCX | 2022-09-26 | 24.78 | 0.9738 | 0.6410 | no |
| FFIV | 2022-09-26 | 143.68 | 0.8528 | 0.4701 | no |
| FTV | 2022-09-26 | 44.21 | 0.8273 | 0.4610 | no |
| HAL | 2022-09-26 | 22.57 | 0.7910 | 0.5694 | no |
| INTU | 2022-09-26 | 382.30 | 1.5219 | 0.4907 | no |
| IR | 2022-09-26 | 43.57 | 1.4605 | 0.4928 | no |
| KLAC | 2022-09-26 | 29.78 | 0.9791 | 0.5219 | no |
| LH | 2022-09-26 | 172.79 | 0.9978 | 0.4655 | no |
| MCHP | 2022-09-26 | 56.59 | 0.8180 | 0.5167 | no |
| META | 2022-09-26 | 138.90 | 0.8325 | 0.4459 | no |
| MGM | 2022-09-26 | 30.56 | 1.2140 | 0.4701 | no |
| MKTX | 2022-09-26 | 214.28 | 0.8445 | 0.5281 | no |
| MSCI | 2022-09-26 | 403.21 | 1.1946 | 0.4809 | no |
| ODFL | 2022-09-26 | 121.31 | 1.0248 | 0.5087 | no |
| OKE | 2022-09-26 | 42.48 | 0.8766 | 0.4986 | no |
| OTIS | 2022-09-26 | 61.08 | 0.8335 | 0.4561 | no |
| PENN | 2022-09-26 | 27.00 | 0.8907 | 0.4761 | no |
| PFE | 2022-09-26 | 34.72 | 1.0336 | 0.5778 | no |
| PH | 2022-09-26 | 231.14 | 1.2973 | 0.4919 | no |
| PNR | 2022-09-26 | 39.09 | 0.9971 | 0.4994 | no |
| PPG | 2022-09-26 | 102.89 | 0.8720 | 0.4979 | no |
| QCOM | 2022-09-26 | 111.09 | 0.9650 | 0.5086 | no |
| ROK | 2022-09-26 | 205.41 | 0.7881 | 0.4517 | no |
| SWKS | 2022-09-26 | 83.44 | 0.8102 | 0.5379 | no |
| TDG | 2022-09-26 | 459.10 | 0.9444 | 0.6095 | no |
| TECH | 2022-09-26 | 71.39 | 0.9538 | 0.5030 | no |
| TER | 2022-09-26 | 78.01 | 0.8866 | 0.5184 | no |
| TYL | 2022-09-26 | 342.05 | 1.0847 | 0.4483 | no |
| UDR | 2022-09-26 | 35.59 | 0.8830 | 0.4545 | no |
| URI | 2022-09-26 | 252.17 | 1.1213 | 0.4892 | no |
| XRAY | 2022-09-26 | 27.16 | 0.7999 | 0.4746 | no |
| XYL | 2022-09-26 | 85.26 | 1.1155 | 0.4865 | no |
| ZBRA | 2022-09-26 | 268.55 | 0.9266 | 0.4522 | no |
| ZTS | 2022-09-26 | 142.47 | 1.0375 | 0.4888 | no |