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 | 8.51% | 15.96% | 2022-11-15 | -8.42% |
| buy & hold | participation factor overlay | 6 months | complete | 17.06% | 28.36% | 2023-02-02 | -9.55% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.66% | 14.78% | 2022-12-01 | -7.77% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 14.38% | 27.79% | 2023-02-02 | -11.48% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.94% | 18.19% | 2022-12-13 | -6.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.77% | 23.83% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.56% | 16.28% | 2022-11-30 | -6.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.58% | 22.85% | 2023-02-02 | -8.77% |
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 | 1.2145 | 0.5163 | no |
| ALGN | 2022-09-26 | 222.43 | 1.5662 | 0.5225 | no |
| AMAT | 2022-09-26 | 81.56 | 0.7615 | 0.5566 | no |
| ANET | 2022-09-26 | 27.56 | 1.0446 | 0.5029 | no |
| BIO | 2022-09-26 | 419.14 | 0.8239 | 0.4899 | no |
| BKR | 2022-09-26 | 19.57 | 1.0351 | 0.6126 | no |
| CBRE | 2022-09-26 | 70.18 | 0.7840 | 0.4613 | no |
| COO | 2022-09-26 | 68.50 | 0.8991 | 0.5090 | no |
| CRL | 2022-09-26 | 187.11 | 1.0562 | 0.5063 | no |
| CRM | 2022-09-26 | 144.25 | 0.9018 | 0.4825 | no |
| CZR | 2022-09-26 | 35.43 | 0.7631 | 0.5010 | no |
| DAL | 2022-09-26 | 27.93 | 0.9553 | 0.4672 | no |
| DD | 2022-09-26 | 58.42 | 0.8449 | 0.5013 | no |
| EBAY | 2022-09-26 | 35.52 | 0.9845 | 0.4506 | no |
| EFX | 2022-09-26 | 169.35 | 0.7882 | 0.4502 | no |
| ETSY | 2022-09-26 | 96.07 | 0.7942 | — | no |
| FCX | 2022-09-26 | 24.78 | 0.7466 | 0.6410 | no |
| FFIV | 2022-09-26 | 143.68 | 0.7437 | 0.4701 | no |
| FTV | 2022-09-26 | 44.21 | 0.7885 | 0.4610 | no |
| GNRC | 2022-09-26 | 177.11 | 0.7456 | 0.5630 | no |
| INTU | 2022-09-26 | 382.30 | 1.3884 | 0.4907 | no |
| IR | 2022-09-26 | 43.57 | 1.1155 | 0.4928 | no |
| KLAC | 2022-09-26 | 29.78 | 1.0893 | 0.5219 | no |
| LH | 2022-09-26 | 172.79 | 0.7423 | 0.4655 | no |
| MCHP | 2022-09-26 | 56.59 | 0.7757 | 0.5167 | no |
| MGM | 2022-09-26 | 30.56 | 0.9786 | 0.4701 | no |
| MKTX | 2022-09-26 | 214.28 | 0.8792 | 0.5281 | no |
| MSCI | 2022-09-26 | 403.21 | 1.1288 | 0.4809 | no |
| ODFL | 2022-09-26 | 121.31 | 0.7819 | 0.5087 | no |
| OKE | 2022-09-26 | 42.48 | 1.0064 | 0.4986 | no |
| ON | 2022-09-26 | 62.91 | 0.7467 | 0.4934 | no |
| PENN | 2022-09-26 | 27.00 | 0.8558 | 0.4761 | no |
| PFE | 2022-09-26 | 34.72 | 0.8436 | 0.5778 | no |
| PH | 2022-09-26 | 231.14 | 1.3662 | 0.4919 | no |
| PNR | 2022-09-26 | 39.09 | 0.8494 | 0.4994 | no |
| PPG | 2022-09-26 | 102.89 | 0.8870 | 0.4979 | no |
| QCOM | 2022-09-26 | 111.09 | 0.9235 | 0.5086 | no |
| ROK | 2022-09-26 | 205.41 | 0.7781 | 0.4517 | no |
| TDG | 2022-09-26 | 459.10 | 0.9124 | 0.6095 | no |
| TECH | 2022-09-26 | 71.39 | 0.9536 | 0.5030 | no |
| TER | 2022-09-26 | 78.01 | 0.9879 | 0.5184 | no |
| TSLA | 2022-09-26 | 271.83 | 1.0800 | 0.5189 | no |
| TYL | 2022-09-26 | 342.05 | 0.9552 | 0.4483 | no |
| UDR | 2022-09-26 | 35.59 | 0.7687 | 0.4545 | no |
| URI | 2022-09-26 | 252.17 | 1.0867 | 0.4892 | no |
| WBD | 2022-09-26 | 11.69 | 0.8701 | 0.4506 | no |
| XRAY | 2022-09-26 | 27.16 | 0.8785 | 0.4746 | no |
| XYL | 2022-09-26 | 85.26 | 1.2814 | 0.4865 | no |
| ZBRA | 2022-09-26 | 268.55 | 0.7893 | 0.4522 | no |
| ZTS | 2022-09-26 | 142.47 | 1.2158 | 0.4888 | no |