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 | 13.35% | 19.42% | 2022-12-01 | -7.26% |
| buy & hold | participation factor overlay | 6 months | complete | 26.92% | 31.90% | 2023-02-02 | -8.95% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.07% | 18.12% | 2022-12-01 | -6.91% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 21.39% | 29.84% | 2023-02-02 | -11.26% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.09% | 19.02% | 2022-12-13 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | 20.89% | 24.79% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.85% | 19.23% | 2022-12-13 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 20.56% | 25.77% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-10-03 | 135.56 | 1.2251 | 0.5257 | no |
| ADI | 2022-10-03 | 132.34 | 1.3704 | 0.5400 | no |
| ADSK | 2022-10-03 | 187.83 | 1.6910 | 0.5097 | no |
| ALGN | 2022-10-03 | 209.14 | 1.5755 | 0.5187 | no |
| ANET | 2022-10-03 | 28.72 | 1.2766 | 0.5000 | no |
| APH | 2022-10-03 | 16.40 | 0.9870 | 0.4549 | no |
| AVGO | 2022-10-03 | 42.44 | 1.2805 | 0.5332 | no |
| BBY | 2022-10-03 | 52.93 | 1.3584 | 0.5701 | no |
| BIO | 2022-10-03 | 418.82 | 1.3068 | 0.4730 | no |
| COO | 2022-10-03 | 67.07 | 1.1148 | 0.5107 | no |
| CRL | 2022-10-03 | 197.89 | 1.3527 | 0.4881 | no |
| CRM | 2022-10-03 | 142.26 | 1.3031 | 0.4817 | no |
| CZR | 2022-10-03 | 32.28 | 0.9873 | 0.5034 | no |
| DAL | 2022-10-03 | 27.01 | 1.3034 | 0.4586 | no |
| DD | 2022-10-03 | 59.80 | 1.1019 | 0.4909 | no |
| DIS | 2022-10-03 | 92.82 | 1.0397 | 0.4581 | no |
| ECL | 2022-10-03 | 140.29 | 1.0188 | 0.4955 | no |
| EFX | 2022-10-03 | 168.22 | 1.3247 | 0.4471 | no |
| EIX | 2022-10-03 | 48.20 | 1.2123 | 0.4874 | no |
| FFIV | 2022-10-03 | 146.96 | 1.0266 | 0.4703 | no |
| GS | 2022-10-03 | 269.86 | 1.3035 | 0.4816 | no |
| HAL | 2022-10-03 | 23.87 | 1.3501 | 0.5630 | no |
| HWM | 2022-10-03 | 31.06 | 1.2084 | 0.6043 | no |
| IDXX | 2022-10-03 | 328.00 | 1.0466 | 0.5066 | no |
| INTU | 2022-10-03 | 377.42 | 1.4566 | 0.4905 | no |
| IR | 2022-10-03 | 43.92 | 1.2675 | 0.4917 | no |
| ITW | 2022-10-03 | 167.17 | 1.0544 | 0.4835 | no |
| IVZ | 2022-10-03 | 11.67 | 1.1980 | 0.4838 | no |
| KLAC | 2022-10-03 | 29.52 | 1.4657 | 0.4966 | no |
| LUV | 2022-10-03 | 28.31 | 1.2816 | 0.4829 | no |
| META | 2022-10-03 | 135.95 | 0.9997 | 0.4451 | no |
| MGM | 2022-10-03 | 29.98 | 1.3867 | 0.4720 | no |
| MKTX | 2022-10-03 | 211.00 | 1.5552 | 0.5300 | no |
| MSCI | 2022-10-03 | 404.71 | 1.5755 | 0.4781 | no |
| NWS | 2022-10-03 | 15.14 | 1.4617 | — | no |
| ODFL | 2022-10-03 | 122.80 | 1.2333 | 0.4991 | no |
| OKE | 2022-10-03 | 42.90 | 1.1378 | 0.5004 | no |
| ON | 2022-10-03 | 63.01 | 1.0198 | 0.4839 | no |
| PH | 2022-10-03 | 235.02 | 1.5142 | 0.4922 | no |
| PNR | 2022-10-03 | 38.92 | 1.1514 | 0.4967 | no |
| PPG | 2022-10-03 | 102.83 | 1.3233 | 0.4819 | no |
| SPG | 2022-10-03 | 74.18 | 1.0945 | 0.4588 | no |
| TEL | 2022-10-03 | 105.23 | 0.9890 | — | no |
| TER | 2022-10-03 | 75.02 | 1.1144 | 0.5120 | no |
| TROW | 2022-10-03 | 87.91 | 0.9912 | — | no |
| TXN | 2022-10-03 | 140.23 | 1.3170 | 0.4973 | no |
| TYL | 2022-10-03 | 349.00 | 1.2284 | 0.4476 | no |
| UHS | 2022-10-03 | 87.85 | 1.6820 | 0.4805 | no |
| URI | 2022-10-03 | 266.07 | 1.5482 | 0.4877 | no |
| WAB | 2022-10-03 | 80.93 | 1.0862 | 0.5172 | no |