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 | 11.81% | 17.56% | 2022-12-01 | -7.51% |
| buy & hold | participation factor overlay | 6 months | complete | 24.65% | 29.96% | 2023-02-02 | -8.92% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.03% | 17.88% | 2022-12-01 | -6.85% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 21.55% | 30.86% | 2023-02-02 | -11.55% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.89% | 19.06% | 2022-12-13 | -6.62% |
| weekly rebalance | participation factor overlay | 6 months | complete | 22.31% | 24.32% | 2023-03-03 | -6.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.04% | 19.21% | 2022-12-13 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 22.88% | 26.43% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-10-03 | 135.56 | 1.2871 | 0.5257 | no |
| ADI | 2022-10-03 | 132.34 | 1.3281 | 0.5400 | no |
| ADSK | 2022-10-03 | 187.83 | 1.6621 | 0.5097 | no |
| ALGN | 2022-10-03 | 209.14 | 1.3510 | 0.5187 | no |
| AMAT | 2022-10-03 | 80.35 | 1.2499 | 0.5433 | no |
| ANET | 2022-10-03 | 28.72 | 1.2513 | 0.5000 | no |
| APH | 2022-10-03 | 16.40 | 1.1070 | 0.4549 | no |
| AVGO | 2022-10-03 | 42.44 | 1.0829 | 0.5332 | no |
| BBY | 2022-10-03 | 52.93 | 1.5435 | 0.5701 | no |
| BIO | 2022-10-03 | 418.82 | 1.3316 | 0.4730 | no |
| CRL | 2022-10-03 | 197.89 | 1.3812 | 0.4881 | no |
| CRM | 2022-10-03 | 142.26 | 1.0857 | 0.4817 | no |
| DAL | 2022-10-03 | 27.01 | 1.1152 | 0.4586 | no |
| DD | 2022-10-03 | 59.80 | 1.2210 | 0.4909 | no |
| DIS | 2022-10-03 | 92.82 | 1.1496 | 0.4581 | no |
| DOV | 2022-10-03 | 112.78 | 1.1268 | 0.4553 | no |
| ECL | 2022-10-03 | 140.29 | 1.2834 | 0.4955 | no |
| EFX | 2022-10-03 | 168.22 | 1.2760 | 0.4471 | no |
| EIX | 2022-10-03 | 48.20 | 1.1550 | 0.4874 | no |
| FFIV | 2022-10-03 | 146.96 | 1.1090 | 0.4703 | no |
| GS | 2022-10-03 | 269.86 | 1.4551 | 0.4816 | no |
| HAL | 2022-10-03 | 23.87 | 1.3418 | 0.5630 | no |
| HWM | 2022-10-03 | 31.06 | 1.0539 | 0.6043 | no |
| INTU | 2022-10-03 | 377.42 | 1.7069 | 0.4905 | no |
| IR | 2022-10-03 | 43.92 | 1.2192 | 0.4917 | no |
| IVZ | 2022-10-03 | 11.67 | 1.2128 | 0.4838 | no |
| KLAC | 2022-10-03 | 29.52 | 1.2711 | 0.4966 | no |
| LUV | 2022-10-03 | 28.31 | 1.0889 | 0.4829 | no |
| META | 2022-10-03 | 135.95 | 1.0476 | 0.4451 | no |
| MGM | 2022-10-03 | 29.98 | 1.4778 | 0.4720 | no |
| MKTX | 2022-10-03 | 211.00 | 1.6364 | 0.5300 | no |
| MSCI | 2022-10-03 | 404.71 | 1.6476 | 0.4781 | no |
| NWS | 2022-10-03 | 15.14 | 1.5605 | — | no |
| ODFL | 2022-10-03 | 122.80 | 1.2534 | 0.4991 | no |
| PH | 2022-10-03 | 235.02 | 1.6167 | 0.4922 | no |
| PNR | 2022-10-03 | 38.92 | 1.2705 | 0.4967 | no |
| PPG | 2022-10-03 | 102.83 | 1.1966 | 0.4819 | no |
| QCOM | 2022-10-03 | 105.10 | 1.2015 | 0.5027 | no |
| REG | 2022-10-03 | 46.62 | 1.0496 | 0.4573 | no |
| ROK | 2022-10-03 | 205.67 | 1.1205 | 0.4527 | no |
| SBAC | 2022-10-03 | 266.13 | 1.1057 | 0.4821 | no |
| STT | 2022-10-03 | 54.59 | 1.2038 | 0.4890 | no |
| TEL | 2022-10-03 | 105.23 | 1.2013 | — | no |
| TER | 2022-10-03 | 75.02 | 1.1839 | 0.5120 | no |
| TROW | 2022-10-03 | 87.91 | 1.0779 | — | no |
| TXN | 2022-10-03 | 140.23 | 1.1285 | 0.4973 | no |
| TYL | 2022-10-03 | 349.00 | 1.2980 | 0.4476 | no |
| UHS | 2022-10-03 | 87.85 | 1.6799 | 0.4805 | no |
| URI | 2022-10-03 | 266.07 | 1.5592 | 0.4877 | no |
| VRSK | 2022-10-03 | 166.96 | 1.0653 | 0.4557 | no |