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 | 13.11% | 19.24% | 2022-12-01 | -7.48% |
| buy & hold | participation factor overlay | 6 months | complete | 27.80% | 32.53% | 2023-02-02 | -8.67% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 13.14% | 18.69% | 2022-12-01 | -6.65% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 22.06% | 32.05% | 2023-02-02 | -12.29% |
| weekly rebalance | participation factor overlay | 3 months | complete | 13.78% | 18.62% | 2022-12-13 | -6.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 19.07% | 24.29% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.78% | 17.86% | 2022-11-30 | -6.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 19.25% | 24.51% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-10-03 | 135.56 | 1.0592 | 0.5257 | no |
| ADI | 2022-10-03 | 132.34 | 1.0929 | 0.5400 | no |
| ADSK | 2022-10-03 | 187.83 | 1.6041 | 0.5097 | no |
| ALGN | 2022-10-03 | 209.14 | 1.3720 | 0.5187 | no |
| AMAT | 2022-10-03 | 80.35 | 1.0629 | 0.5433 | no |
| ANET | 2022-10-03 | 28.72 | 1.3268 | 0.5000 | no |
| AVGO | 2022-10-03 | 42.44 | 1.0059 | 0.5332 | no |
| BBY | 2022-10-03 | 52.93 | 1.3331 | 0.5701 | no |
| BIO | 2022-10-03 | 418.82 | 1.0501 | 0.4730 | no |
| CRL | 2022-10-03 | 197.89 | 1.3947 | 0.4881 | no |
| CRM | 2022-10-03 | 142.26 | 1.0945 | 0.4817 | no |
| CZR | 2022-10-03 | 32.28 | 1.0612 | 0.5034 | no |
| DAL | 2022-10-03 | 27.01 | 1.3211 | 0.4586 | no |
| DD | 2022-10-03 | 59.80 | 1.1675 | 0.4909 | no |
| DIS | 2022-10-03 | 92.82 | 0.9839 | 0.4581 | no |
| DOV | 2022-10-03 | 112.78 | 1.0012 | 0.4553 | no |
| EBAY | 2022-10-03 | 34.38 | 1.0469 | 0.4504 | no |
| ECL | 2022-10-03 | 140.29 | 1.1835 | 0.4955 | no |
| EFX | 2022-10-03 | 168.22 | 1.1830 | 0.4471 | no |
| EIX | 2022-10-03 | 48.20 | 1.0466 | 0.4874 | no |
| GS | 2022-10-03 | 269.86 | 0.9821 | 0.4816 | no |
| HAL | 2022-10-03 | 23.87 | 1.5741 | 0.5630 | no |
| IDXX | 2022-10-03 | 328.00 | 0.9980 | 0.5066 | no |
| INTU | 2022-10-03 | 377.42 | 1.4448 | 0.4905 | no |
| IR | 2022-10-03 | 43.92 | 1.1986 | 0.4917 | no |
| ITW | 2022-10-03 | 167.17 | 0.9899 | 0.4835 | no |
| IVZ | 2022-10-03 | 11.67 | 1.1438 | 0.4838 | no |
| KLAC | 2022-10-03 | 29.52 | 1.2908 | 0.4966 | no |
| LUV | 2022-10-03 | 28.31 | 1.5297 | 0.4829 | no |
| META | 2022-10-03 | 135.95 | 1.0114 | 0.4451 | no |
| MGM | 2022-10-03 | 29.98 | 1.2947 | 0.4720 | no |
| MKTX | 2022-10-03 | 211.00 | 1.5501 | 0.5300 | no |
| MSCI | 2022-10-03 | 404.71 | 1.4017 | 0.4781 | no |
| NWS | 2022-10-03 | 15.14 | 1.1811 | — | no |
| ODFL | 2022-10-03 | 122.80 | 1.2518 | 0.4991 | no |
| OKE | 2022-10-03 | 42.90 | 1.1749 | 0.5004 | no |
| ON | 2022-10-03 | 63.01 | 1.0280 | 0.4839 | no |
| PEG | 2022-10-03 | 50.33 | 1.0189 | 0.5063 | no |
| PH | 2022-10-03 | 235.02 | 1.5091 | 0.4922 | no |
| PNR | 2022-10-03 | 38.92 | 1.1928 | 0.4967 | no |
| PPG | 2022-10-03 | 102.83 | 1.1494 | 0.4819 | no |
| SWKS | 2022-10-03 | 76.50 | 0.9893 | 0.5312 | no |
| TDG | 2022-10-03 | 456.18 | 1.0118 | 0.6063 | no |
| TER | 2022-10-03 | 75.02 | 1.0181 | 0.5120 | no |
| TGT | 2022-10-03 | 130.42 | 1.0403 | 0.5462 | no |
| TXN | 2022-10-03 | 140.23 | 0.9827 | 0.4973 | no |
| TYL | 2022-10-03 | 349.00 | 1.0014 | 0.4476 | no |
| UHS | 2022-10-03 | 87.85 | 1.7649 | 0.4805 | no |
| URI | 2022-10-03 | 266.07 | 1.2389 | 0.4877 | no |
| XYL | 2022-10-03 | 84.00 | 0.9933 | 0.4812 | no |