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 | 16.97% | 16.97% | 2023-01-10 | -6.53% |
| buy & hold | participation factor overlay | 6 months | complete | 18.97% | 27.64% | 2023-02-02 | -9.57% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 15.08% | 15.08% | 2023-01-10 | -7.22% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 16.84% | 26.44% | 2023-02-02 | -10.99% |
| weekly rebalance | participation factor overlay | 3 months | complete | 17.31% | 17.31% | 2023-01-10 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 16.11% | 21.17% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 14.17% | 14.58% | 2022-11-30 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.63% | 18.94% | 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 |
|---|---|---|---|---|---|
| ADI | 2022-10-10 | 135.95 | 1.3335 | 0.5268 | no |
| ADSK | 2022-10-10 | 194.66 | 1.4727 | 0.5094 | no |
| ALGN | 2022-10-10 | 213.17 | 1.5168 | 0.5018 | no |
| AMAT | 2022-10-10 | 79.34 | 1.4709 | 0.5312 | no |
| AOS | 2022-10-10 | 46.20 | 1.1984 | 0.4776 | no |
| AVY | 2022-10-10 | 154.79 | 1.5023 | 0.4829 | no |
| BA | 2022-10-10 | 131.42 | 1.2735 | 0.5879 | no |
| BBY | 2022-10-10 | 53.33 | 1.2505 | 0.5645 | no |
| BIO | 2022-10-10 | 431.60 | 1.4023 | 0.4705 | no |
| CARR | 2022-10-10 | 33.65 | 1.1941 | 0.4570 | no |
| CE | 2022-10-10 | 87.12 | 1.3027 | 0.4901 | no |
| COO | 2022-10-10 | 65.90 | 1.4931 | 0.5041 | no |
| DAL | 2022-10-10 | 28.39 | 1.2956 | 0.4548 | no |
| DOW | 2022-10-10 | 35.89 | 1.3583 | 0.5146 | no |
| ECL | 2022-10-10 | 137.92 | 1.3524 | 0.5063 | no |
| EFX | 2022-10-10 | 164.57 | 1.5138 | 0.4472 | no |
| EIX | 2022-10-10 | 49.08 | 1.3389 | 0.4963 | no |
| EMR | 2022-10-10 | 72.87 | 1.2009 | 0.4549 | no |
| FFIV | 2022-10-10 | 144.13 | 1.2628 | 0.4748 | no |
| GLW | 2022-10-10 | 27.84 | 1.2706 | 0.4400 | no |
| GOOGL | 2022-10-10 | 98.07 | 1.2268 | 0.4408 | no |
| INTU | 2022-10-10 | 381.71 | 1.4590 | 0.4889 | no |
| IVZ | 2022-10-10 | 12.14 | 1.6739 | 0.4806 | no |
| KEY | 2022-10-10 | 13.17 | 1.2162 | 0.5223 | no |
| KLAC | 2022-10-10 | 30.25 | 1.4229 | 0.4913 | no |
| LUV | 2022-10-10 | 29.24 | 1.3351 | 0.4787 | no |
| MKTX | 2022-10-10 | 223.79 | 1.2583 | 0.5268 | no |
| MSCI | 2022-10-10 | 397.52 | 1.5067 | 0.4779 | no |
| NOW | 2022-10-10 | 80.28 | 1.5472 | 0.4948 | no |
| NTRS | 2022-10-10 | 76.92 | 1.3946 | 0.4978 | no |
| ODFL | 2022-10-10 | 128.31 | 1.2641 | 0.4949 | no |
| ORCL | 2022-10-10 | 60.40 | 1.6672 | 0.5668 | no |
| OTIS | 2022-10-10 | 61.38 | 1.3544 | 0.4661 | no |
| PH | 2022-10-10 | 244.98 | 1.3629 | 0.4978 | no |
| PPG | 2022-10-10 | 99.38 | 1.3455 | 0.4932 | no |
| QCOM | 2022-10-10 | 110.22 | 1.5542 | 0.4999 | no |
| REG | 2022-10-10 | 46.44 | 1.3324 | 0.4429 | no |
| ROP | 2022-10-10 | 362.02 | 1.2465 | 0.4648 | no |
| SNPS | 2022-10-10 | 307.09 | 1.3553 | 0.5513 | no |
| SWKS | 2022-10-10 | 77.28 | 1.5141 | 0.5254 | no |
| TDG | 2022-10-10 | 461.23 | 1.2854 | 0.6042 | no |
| TECH | 2022-10-10 | 72.74 | 1.4659 | 0.4760 | no |
| TER | 2022-10-10 | 76.44 | 1.2115 | 0.5047 | no |
| TSLA | 2022-10-10 | 223.93 | 1.4342 | 0.5177 | no |
| TYL | 2022-10-10 | 354.44 | 1.2502 | 0.4494 | no |
| UAL | 2022-10-10 | 34.16 | 1.2104 | 0.4604 | no |
| UHS | 2022-10-10 | 90.19 | 1.5183 | 0.4623 | no |
| URI | 2022-10-10 | 276.40 | 1.4466 | 0.4922 | no |
| VRSK | 2022-10-10 | 166.53 | 1.3560 | 0.4567 | no |
| VTRS | 2022-10-10 | 7.43 | 1.6838 | 0.5281 | no |