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 | 16.78% | 16.78% | 2023-01-10 | -6.16% |
| buy & hold | participation factor overlay | 6 months | complete | 19.13% | 26.76% | 2023-02-02 | -9.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 16.42% | 16.42% | 2023-01-10 | -6.84% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 18.00% | 28.09% | 2023-02-02 | -10.71% |
| weekly rebalance | participation factor overlay | 3 months | complete | 18.02% | 18.02% | 2023-01-10 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 18.62% | 21.83% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 17.23% | 17.23% | 2023-01-10 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 19.28% | 23.55% | 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 | 2022-10-10 | 137.73 | 1.2566 | 0.5240 | no |
| ADI | 2022-10-10 | 135.95 | 1.3162 | 0.5268 | no |
| ADSK | 2022-10-10 | 194.66 | 1.4840 | 0.5094 | no |
| ALGN | 2022-10-10 | 213.17 | 1.5656 | 0.5018 | no |
| AMAT | 2022-10-10 | 79.34 | 1.4356 | 0.5312 | no |
| AOS | 2022-10-10 | 46.20 | 1.5848 | 0.4776 | no |
| AVY | 2022-10-10 | 154.79 | 1.5296 | 0.4829 | no |
| BA | 2022-10-10 | 131.42 | 1.3198 | 0.5879 | no |
| BBY | 2022-10-10 | 53.33 | 1.5762 | 0.5645 | no |
| BIO | 2022-10-10 | 431.60 | 1.3325 | 0.4705 | no |
| CARR | 2022-10-10 | 33.65 | 1.2697 | 0.4570 | no |
| COO | 2022-10-10 | 65.90 | 1.3544 | 0.5041 | no |
| DAL | 2022-10-10 | 28.39 | 1.5641 | 0.4548 | no |
| EBAY | 2022-10-10 | 35.28 | 1.2086 | 0.4427 | no |
| ECL | 2022-10-10 | 137.92 | 1.4207 | 0.5063 | no |
| EFX | 2022-10-10 | 164.57 | 1.3543 | 0.4472 | no |
| EL | 2022-10-10 | 205.28 | 1.2414 | 0.4830 | no |
| EMR | 2022-10-10 | 72.87 | 1.2063 | 0.4549 | no |
| ETR | 2022-10-10 | 44.24 | 1.1445 | 0.5055 | no |
| FFIV | 2022-10-10 | 144.13 | 1.1496 | 0.4748 | no |
| GE | 2022-10-10 | 39.77 | 1.1747 | 0.4662 | no |
| GLW | 2022-10-10 | 27.84 | 1.3641 | 0.4400 | no |
| HWM | 2022-10-10 | 32.56 | 1.2257 | 0.6058 | no |
| INTU | 2022-10-10 | 381.71 | 1.5686 | 0.4889 | no |
| IVZ | 2022-10-10 | 12.14 | 1.5252 | 0.4806 | no |
| KEY | 2022-10-10 | 13.17 | 1.1649 | 0.5223 | no |
| KLAC | 2022-10-10 | 30.25 | 1.3551 | 0.4913 | no |
| LH | 2022-10-10 | 168.98 | 1.2131 | 0.4559 | no |
| LUV | 2022-10-10 | 29.24 | 1.2104 | 0.4787 | no |
| MSCI | 2022-10-10 | 397.52 | 1.5252 | 0.4779 | no |
| NOW | 2022-10-10 | 80.28 | 1.5254 | 0.4948 | no |
| NTRS | 2022-10-10 | 76.92 | 1.3170 | 0.4978 | no |
| ODFL | 2022-10-10 | 128.31 | 1.3021 | 0.4949 | no |
| ORCL | 2022-10-10 | 60.40 | 1.5843 | 0.5668 | no |
| OTIS | 2022-10-10 | 61.38 | 1.4709 | 0.4661 | no |
| PH | 2022-10-10 | 244.98 | 1.5373 | 0.4978 | no |
| PPG | 2022-10-10 | 99.38 | 1.4221 | 0.4932 | no |
| QCOM | 2022-10-10 | 110.22 | 1.5243 | 0.4999 | no |
| REG | 2022-10-10 | 46.44 | 1.3073 | 0.4429 | no |
| ROP | 2022-10-10 | 362.02 | 1.3702 | 0.4648 | no |
| SWKS | 2022-10-10 | 77.28 | 1.4283 | 0.5254 | no |
| TDG | 2022-10-10 | 461.23 | 1.2981 | 0.6042 | no |
| TECH | 2022-10-10 | 72.74 | 1.3628 | 0.4760 | no |
| TER | 2022-10-10 | 76.44 | 1.1881 | 0.5047 | no |
| TSLA | 2022-10-10 | 223.93 | 1.3797 | 0.5177 | no |
| TYL | 2022-10-10 | 354.44 | 1.2585 | 0.4494 | no |
| UHS | 2022-10-10 | 90.19 | 1.6900 | 0.4623 | no |
| URI | 2022-10-10 | 276.40 | 1.4319 | 0.4922 | no |
| VRSK | 2022-10-10 | 166.53 | 1.3116 | 0.4567 | no |
| VTRS | 2022-10-10 | 7.43 | 1.7987 | 0.5281 | no |