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 | 19.29% | 19.93% | 2023-01-13 | -6.24% |
| buy & hold | participation factor overlay | 6 months | complete | 21.36% | 26.22% | 2023-02-02 | -8.18% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 17.58% | 17.85% | 2023-01-13 | -7.57% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 18.83% | 26.13% | 2023-02-02 | -9.89% |
| weekly rebalance | participation factor overlay | 3 months | complete | 20.05% | 20.78% | 2023-01-13 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 18.80% | 22.55% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 16.60% | 17.09% | 2023-01-13 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 14.61% | 19.73% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-10-17 | 138.37 | 1.6089 | 0.5264 | no |
| ADI | 2022-10-17 | 131.19 | 1.3380 | 0.5237 | no |
| ADSK | 2022-10-17 | 196.33 | 1.4573 | 0.5091 | no |
| AMCR | 2022-10-17 | 44.71 | 1.3042 | 0.4579 | no |
| ANET | 2022-10-17 | 25.85 | 1.8927 | 0.5067 | no |
| APH | 2022-10-17 | 16.53 | 1.3352 | 0.4496 | no |
| AVGO | 2022-10-17 | 41.53 | 1.3541 | 0.5215 | no |
| AVY | 2022-10-17 | 156.97 | 1.6835 | 0.4860 | no |
| BA | 2022-10-17 | 136.98 | 1.5409 | 0.5809 | no |
| BBY | 2022-10-17 | 53.23 | 1.6049 | 0.5609 | no |
| CARR | 2022-10-17 | 33.53 | 1.3223 | 0.4574 | no |
| CE | 2022-10-17 | 86.03 | 1.3926 | 0.4856 | no |
| CSCO | 2022-10-17 | 37.05 | 1.2908 | 0.4731 | no |
| DD | 2022-10-17 | 62.11 | 1.2943 | 0.5017 | no |
| DOW | 2022-10-17 | 36.63 | 1.3962 | 0.5100 | no |
| ECL | 2022-10-17 | 136.60 | 1.5664 | 0.5035 | no |
| FFIV | 2022-10-17 | 143.43 | 1.4777 | 0.4761 | no |
| GE | 2022-10-17 | 42.15 | 1.7187 | 0.4674 | no |
| GLW | 2022-10-17 | 28.01 | 1.3692 | 0.4376 | no |
| GS | 2022-10-17 | 276.43 | 1.3518 | 0.4815 | no |
| HWM | 2022-10-17 | 32.60 | 1.3241 | 0.5983 | no |
| ICE | 2022-10-17 | 86.30 | 1.5996 | 0.5058 | no |
| INTU | 2022-10-17 | 381.93 | 1.9910 | 0.4867 | no |
| IVZ | 2022-10-17 | 12.36 | 1.4349 | 0.4807 | no |
| J | 2022-10-17 | 89.26 | 1.3821 | 0.5319 | no |
| KEY | 2022-10-17 | 13.72 | 1.3556 | 0.5223 | no |
| MCHP | 2022-10-17 | 54.52 | 1.6733 | 0.4985 | no |
| MKTX | 2022-10-17 | 220.64 | 1.5931 | 0.5250 | no |
| MLM | 2022-10-17 | 298.30 | 1.5217 | 0.4692 | no |
| MSCI | 2022-10-17 | 379.82 | 1.6394 | 0.4734 | no |
| NEE | 2022-10-17 | 64.96 | 1.2777 | 0.4638 | no |
| NOW | 2022-10-17 | 70.29 | 1.3423 | 0.4890 | no |
| NSC | 2022-10-17 | 198.64 | 1.3691 | 0.5099 | no |
| NTAP | 2022-10-17 | 58.74 | 1.6225 | 0.5096 | no |
| NWS | 2022-10-17 | 15.95 | 1.6714 | — | no |
| ODFL | 2022-10-17 | 130.50 | 1.2693 | 0.4953 | no |
| ON | 2022-10-17 | 59.57 | 1.5671 | 0.4716 | no |
| ORCL | 2022-10-17 | 62.87 | 1.3802 | 0.5639 | no |
| OTIS | 2022-10-17 | 60.66 | 1.4627 | 0.4671 | no |
| PH | 2022-10-17 | 252.56 | 1.5248 | 0.4985 | no |
| POOL | 2022-10-17 | 292.45 | 1.7434 | 0.4578 | no |
| PPG | 2022-10-17 | 103.46 | 1.4852 | 0.4912 | no |
| SYY | 2022-10-17 | 67.49 | 1.3462 | 0.5452 | no |
| TDG | 2022-10-17 | 448.76 | 1.3193 | 0.6010 | no |
| TXN | 2022-10-17 | 135.41 | 1.5462 | 0.4833 | no |
| TYL | 2022-10-17 | 324.18 | 1.6718 | 0.4530 | no |
| UHS | 2022-10-17 | 91.38 | 1.3579 | 0.4509 | no |
| URI | 2022-10-17 | 273.40 | 1.4678 | 0.4898 | no |
| VRSK | 2022-10-17 | 164.40 | 1.5405 | 0.4551 | no |
| WMB | 2022-10-17 | 25.22 | 1.3712 | 0.5747 | no |