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 | 18.14% | 18.14% | 2023-01-10 | -5.98% |
| buy & hold | participation factor overlay | 6 months | complete | 21.03% | 28.57% | 2023-02-02 | -9.00% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 16.67% | 16.67% | 2023-01-10 | -6.87% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 17.73% | 27.71% | 2023-02-02 | -10.89% |
| weekly rebalance | participation factor overlay | 3 months | complete | 17.28% | 17.28% | 2023-01-10 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 16.75% | 21.62% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 16.59% | 16.59% | 2023-01-10 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.69% | 22.52% | 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 |
|---|---|---|---|---|---|
| ADI | 2022-10-10 | 135.95 | 1.3510 | 0.5268 | no |
| ADSK | 2022-10-10 | 194.66 | 1.4493 | 0.5094 | no |
| ALGN | 2022-10-10 | 213.17 | 1.6434 | 0.5018 | no |
| AMAT | 2022-10-10 | 79.34 | 1.4059 | 0.5312 | no |
| AOS | 2022-10-10 | 46.20 | 1.4430 | 0.4776 | no |
| AVGO | 2022-10-10 | 43.46 | 1.1668 | 0.5227 | no |
| AVY | 2022-10-10 | 154.79 | 1.4844 | 0.4829 | no |
| BA | 2022-10-10 | 131.42 | 1.3206 | 0.5879 | no |
| BBY | 2022-10-10 | 53.33 | 1.4419 | 0.5645 | no |
| BIO | 2022-10-10 | 431.60 | 1.3803 | 0.4705 | no |
| CARR | 2022-10-10 | 33.65 | 1.3318 | 0.4570 | no |
| CE | 2022-10-10 | 87.12 | 1.2614 | 0.4901 | no |
| COO | 2022-10-10 | 65.90 | 1.5016 | 0.5041 | no |
| CRM | 2022-10-10 | 147.80 | 1.1879 | 0.4791 | no |
| DAL | 2022-10-10 | 28.39 | 1.5626 | 0.4548 | no |
| DD | 2022-10-10 | 61.27 | 1.2790 | 0.5030 | no |
| DOW | 2022-10-10 | 35.89 | 1.2232 | 0.5146 | no |
| EBAY | 2022-10-10 | 35.28 | 1.2492 | 0.4427 | no |
| ECL | 2022-10-10 | 137.92 | 1.3795 | 0.5063 | no |
| EFX | 2022-10-10 | 164.57 | 1.5100 | 0.4472 | no |
| EMR | 2022-10-10 | 72.87 | 1.3505 | 0.4549 | no |
| FFIV | 2022-10-10 | 144.13 | 1.3020 | 0.4748 | no |
| GLW | 2022-10-10 | 27.84 | 1.5569 | 0.4400 | no |
| INTU | 2022-10-10 | 381.71 | 1.4359 | 0.4889 | no |
| IQV | 2022-10-10 | 180.88 | 1.1870 | 0.4672 | no |
| IVZ | 2022-10-10 | 12.14 | 1.6387 | 0.4806 | no |
| KLAC | 2022-10-10 | 30.25 | 1.4749 | 0.4913 | no |
| LH | 2022-10-10 | 168.98 | 1.2444 | 0.4559 | no |
| MSCI | 2022-10-10 | 397.52 | 1.4501 | 0.4779 | no |
| NOW | 2022-10-10 | 80.28 | 1.8521 | 0.4948 | no |
| NTRS | 2022-10-10 | 76.92 | 1.3000 | 0.4978 | no |
| ODFL | 2022-10-10 | 128.31 | 1.2905 | 0.4949 | no |
| OKE | 2022-10-10 | 44.09 | 1.1896 | 0.5292 | no |
| ORCL | 2022-10-10 | 60.40 | 1.5314 | 0.5668 | no |
| OTIS | 2022-10-10 | 61.38 | 1.5056 | 0.4661 | no |
| PH | 2022-10-10 | 244.98 | 1.7078 | 0.4978 | no |
| PPG | 2022-10-10 | 99.38 | 1.3242 | 0.4932 | no |
| QCOM | 2022-10-10 | 110.22 | 1.6359 | 0.4999 | no |
| ROP | 2022-10-10 | 362.02 | 1.2142 | 0.4648 | no |
| SNPS | 2022-10-10 | 307.09 | 1.2839 | 0.5513 | no |
| SWKS | 2022-10-10 | 77.28 | 1.3605 | 0.5254 | no |
| TDG | 2022-10-10 | 461.23 | 1.4318 | 0.6042 | no |
| TECH | 2022-10-10 | 72.74 | 1.3807 | 0.4760 | no |
| TER | 2022-10-10 | 76.44 | 1.1713 | 0.5047 | no |
| TSLA | 2022-10-10 | 223.93 | 1.5287 | 0.5177 | no |
| UHS | 2022-10-10 | 90.19 | 1.4711 | 0.4623 | no |
| URI | 2022-10-10 | 276.40 | 1.5013 | 0.4922 | no |
| VRSK | 2022-10-10 | 166.53 | 1.3181 | 0.4567 | no |
| VTRS | 2022-10-10 | 7.43 | 1.7545 | 0.5281 | no |
| XRAY | 2022-10-10 | 26.10 | 1.2819 | 0.4510 | no |