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 | 17.88% | 18.43% | 2023-01-13 | -6.38% |
| buy & hold | participation factor overlay | 6 months | complete | 19.15% | 25.04% | 2023-02-02 | -8.82% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 17.05% | 17.45% | 2023-01-13 | -7.56% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 19.33% | 26.43% | 2023-02-02 | -10.04% |
| weekly rebalance | participation factor overlay | 3 months | complete | 20.68% | 21.11% | 2023-01-13 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 21.38% | 22.95% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 19.89% | 20.13% | 2023-01-13 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 20.85% | 24.16% | 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 | 2022-10-17 | 138.37 | 1.5334 | 0.5264 | no |
| ADI | 2022-10-17 | 131.19 | 1.5056 | 0.5237 | no |
| ADSK | 2022-10-17 | 196.33 | 1.4474 | 0.5091 | no |
| AMCR | 2022-10-17 | 44.71 | 1.2947 | 0.4579 | no |
| ANET | 2022-10-17 | 25.85 | 1.9157 | 0.5067 | no |
| APH | 2022-10-17 | 16.53 | 1.2642 | 0.4496 | no |
| AVGO | 2022-10-17 | 41.53 | 1.3419 | 0.5215 | no |
| AVY | 2022-10-17 | 156.97 | 1.6896 | 0.4860 | no |
| BA | 2022-10-17 | 136.98 | 1.5662 | 0.5809 | no |
| BBY | 2022-10-17 | 53.23 | 1.6471 | 0.5609 | no |
| BR | 2022-10-17 | 131.11 | 1.2403 | 0.4627 | no |
| CARR | 2022-10-17 | 33.53 | 1.2417 | 0.4574 | no |
| CE | 2022-10-17 | 86.03 | 1.3120 | 0.4856 | no |
| CSCO | 2022-10-17 | 37.05 | 1.3987 | 0.4731 | no |
| DOW | 2022-10-17 | 36.63 | 1.3115 | 0.5100 | no |
| ECL | 2022-10-17 | 136.60 | 1.7791 | 0.5035 | no |
| EXR | 2022-10-17 | 137.96 | 1.2455 | 0.4610 | no |
| FFIV | 2022-10-17 | 143.43 | 1.3459 | 0.4761 | no |
| GE | 2022-10-17 | 42.15 | 1.7546 | 0.4674 | no |
| GLW | 2022-10-17 | 28.01 | 1.2487 | 0.4376 | no |
| GS | 2022-10-17 | 276.43 | 1.4122 | 0.4815 | no |
| HWM | 2022-10-17 | 32.60 | 1.3732 | 0.5983 | no |
| ICE | 2022-10-17 | 86.30 | 1.5831 | 0.5058 | no |
| INTU | 2022-10-17 | 381.93 | 1.8469 | 0.4867 | no |
| IVZ | 2022-10-17 | 12.36 | 1.3764 | 0.4807 | no |
| KEY | 2022-10-17 | 13.72 | 1.4389 | 0.5223 | no |
| MCHP | 2022-10-17 | 54.52 | 1.7253 | 0.4985 | no |
| MKTX | 2022-10-17 | 220.64 | 1.5584 | 0.5250 | no |
| MLM | 2022-10-17 | 298.30 | 1.3488 | 0.4692 | no |
| MSCI | 2022-10-17 | 379.82 | 1.6369 | 0.4734 | no |
| NEE | 2022-10-17 | 64.96 | 1.2526 | 0.4638 | no |
| NI | 2022-10-17 | 21.82 | 1.2390 | 0.5289 | no |
| NOW | 2022-10-17 | 70.29 | 1.4857 | 0.4890 | no |
| NTAP | 2022-10-17 | 58.74 | 1.5884 | 0.5096 | no |
| NTRS | 2022-10-17 | 76.37 | 1.2955 | 0.4982 | no |
| NWS | 2022-10-17 | 15.95 | 1.5714 | — | no |
| ON | 2022-10-17 | 59.57 | 1.6952 | 0.4716 | no |
| OTIS | 2022-10-17 | 60.66 | 1.3440 | 0.4671 | no |
| PH | 2022-10-17 | 252.56 | 1.3935 | 0.4985 | no |
| POOL | 2022-10-17 | 292.45 | 1.5759 | 0.4578 | no |
| PPG | 2022-10-17 | 103.46 | 1.5169 | 0.4912 | no |
| STT | 2022-10-17 | 55.55 | 1.3262 | 0.4898 | no |
| SYY | 2022-10-17 | 67.49 | 1.2820 | 0.5452 | no |
| TDG | 2022-10-17 | 448.76 | 1.4316 | 0.6010 | no |
| TXN | 2022-10-17 | 135.41 | 1.5613 | 0.4833 | no |
| TYL | 2022-10-17 | 324.18 | 1.6908 | 0.4530 | no |
| UHS | 2022-10-17 | 91.38 | 1.4858 | 0.4509 | no |
| URI | 2022-10-17 | 273.40 | 1.5221 | 0.4898 | no |
| VRSK | 2022-10-17 | 164.40 | 1.5656 | 0.4551 | no |
| ZION | 2022-10-17 | 43.96 | 1.2275 | 0.5007 | no |