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 | 12.79% | 19.45% | 2022-12-01 | -7.62% |
| buy & hold | participation factor overlay | 6 months | complete | 25.61% | 31.96% | 2023-02-02 | -9.65% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 13.27% | 19.07% | 2022-12-01 | -6.89% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 23.68% | 32.93% | 2023-02-02 | -11.37% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.42% | 19.58% | 2022-12-13 | -6.92% |
| weekly rebalance | participation factor overlay | 6 months | complete | 19.88% | 23.83% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.65% | 18.12% | 2022-11-30 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 17.41% | 22.62% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-10-03 | 135.56 | 1.0516 | 0.5257 | no |
| ADI | 2022-10-03 | 132.34 | 1.1960 | 0.5400 | no |
| ADSK | 2022-10-03 | 187.83 | 1.6388 | 0.5097 | no |
| ALGN | 2022-10-03 | 209.14 | 1.3336 | 0.5187 | no |
| AMAT | 2022-10-03 | 80.35 | 1.1985 | 0.5433 | no |
| ANET | 2022-10-03 | 28.72 | 1.4292 | 0.5000 | no |
| AVGO | 2022-10-03 | 42.44 | 1.1150 | 0.5332 | no |
| BBY | 2022-10-03 | 52.93 | 1.3148 | 0.5701 | no |
| BIO | 2022-10-03 | 418.82 | 1.2781 | 0.4730 | no |
| CARR | 2022-10-03 | 33.92 | 1.0289 | 0.4458 | no |
| CE | 2022-10-03 | 87.18 | 1.0934 | 0.4762 | no |
| CRL | 2022-10-03 | 197.89 | 1.4049 | 0.4881 | no |
| CRM | 2022-10-03 | 142.26 | 1.1142 | 0.4817 | no |
| DAL | 2022-10-03 | 27.01 | 1.1476 | 0.4586 | no |
| DD | 2022-10-03 | 59.80 | 1.3115 | 0.4909 | no |
| DOV | 2022-10-03 | 112.78 | 1.1083 | 0.4553 | no |
| DOW | 2022-10-03 | 35.86 | 1.0714 | 0.4975 | no |
| ECL | 2022-10-03 | 140.29 | 1.0930 | 0.4955 | no |
| EFX | 2022-10-03 | 168.22 | 1.4594 | 0.4471 | no |
| EIX | 2022-10-03 | 48.20 | 1.0608 | 0.4874 | no |
| FCX | 2022-10-03 | 26.56 | 1.0205 | 0.6370 | no |
| GS | 2022-10-03 | 269.86 | 1.1291 | 0.4816 | no |
| HAL | 2022-10-03 | 23.87 | 1.1722 | 0.5630 | no |
| INTU | 2022-10-03 | 377.42 | 1.6098 | 0.4905 | no |
| IR | 2022-10-03 | 43.92 | 1.2347 | 0.4917 | no |
| IVZ | 2022-10-03 | 11.67 | 1.2137 | 0.4838 | no |
| KLAC | 2022-10-03 | 29.52 | 1.1129 | 0.4966 | no |
| LUV | 2022-10-03 | 28.31 | 1.4628 | 0.4829 | no |
| MCHP | 2022-10-03 | 56.61 | 1.1291 | 0.5120 | no |
| MGM | 2022-10-03 | 29.98 | 1.3274 | 0.4720 | no |
| MKTX | 2022-10-03 | 211.00 | 1.5246 | 0.5300 | no |
| MSCI | 2022-10-03 | 404.71 | 1.6050 | 0.4781 | no |
| NWS | 2022-10-03 | 15.14 | 1.3255 | — | no |
| ODFL | 2022-10-03 | 122.80 | 1.3758 | 0.4991 | no |
| PH | 2022-10-03 | 235.02 | 1.4708 | 0.4922 | no |
| PNR | 2022-10-03 | 38.92 | 1.3190 | 0.4967 | no |
| PPG | 2022-10-03 | 102.83 | 1.1974 | 0.4819 | no |
| PTC | 2022-10-03 | 105.82 | 1.1509 | 0.5113 | no |
| QCOM | 2022-10-03 | 105.10 | 1.1434 | 0.5027 | no |
| SBAC | 2022-10-03 | 266.13 | 1.0706 | 0.4821 | no |
| TEL | 2022-10-03 | 105.23 | 1.1068 | — | no |
| TER | 2022-10-03 | 75.02 | 1.1482 | 0.5120 | no |
| TGT | 2022-10-03 | 130.42 | 1.0358 | 0.5462 | no |
| TROW | 2022-10-03 | 87.91 | 1.0176 | — | no |
| TT | 2022-10-03 | 140.46 | 1.1388 | 0.4582 | no |
| TXN | 2022-10-03 | 140.23 | 1.0931 | 0.4973 | no |
| TYL | 2022-10-03 | 349.00 | 1.3036 | 0.4476 | no |
| UAL | 2022-10-03 | 32.36 | 1.0622 | 0.4668 | no |
| UHS | 2022-10-03 | 87.85 | 1.6598 | 0.4805 | no |
| URI | 2022-10-03 | 266.07 | 1.4068 | 0.4877 | no |