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 | 19.30% | 19.92% | 2023-01-13 | -6.31% |
| buy & hold | participation factor overlay | 6 months | complete | 21.14% | 26.50% | 2023-02-02 | -8.32% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 17.81% | 18.08% | 2023-01-13 | -7.60% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 20.50% | 27.33% | 2023-02-02 | -9.68% |
| weekly rebalance | participation factor overlay | 3 months | complete | 19.94% | 20.43% | 2023-01-13 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 18.39% | 22.64% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 18.28% | 18.66% | 2023-01-13 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 17.28% | 22.22% | 2023-02-02 | -8.77% |
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 | 1.5972 | 0.5264 | no |
| ADI | 2022-10-17 | 131.19 | 1.3942 | 0.5237 | no |
| AES | 2022-10-17 | 20.07 | 1.2722 | — | no |
| ANET | 2022-10-17 | 25.85 | 1.7656 | 0.5067 | no |
| APH | 2022-10-17 | 16.53 | 1.2672 | 0.4496 | no |
| AVGO | 2022-10-17 | 41.53 | 1.4707 | 0.5215 | no |
| AVY | 2022-10-17 | 156.97 | 1.5000 | 0.4860 | no |
| BA | 2022-10-17 | 136.98 | 1.3388 | 0.5809 | no |
| BBY | 2022-10-17 | 53.23 | 1.6366 | 0.5609 | no |
| CARR | 2022-10-17 | 33.53 | 1.3369 | 0.4574 | no |
| CDW | 2022-10-17 | 148.53 | 1.2631 | 0.4889 | no |
| CSCO | 2022-10-17 | 37.05 | 1.3209 | 0.4731 | no |
| DOW | 2022-10-17 | 36.63 | 1.5667 | 0.5100 | no |
| ECL | 2022-10-17 | 136.60 | 1.5298 | 0.5035 | no |
| FFIV | 2022-10-17 | 143.43 | 1.6402 | 0.4761 | no |
| GE | 2022-10-17 | 42.15 | 1.6840 | 0.4674 | no |
| GLW | 2022-10-17 | 28.01 | 1.3992 | 0.4376 | no |
| GS | 2022-10-17 | 276.43 | 1.3289 | 0.4815 | no |
| HWM | 2022-10-17 | 32.60 | 1.3859 | 0.5983 | no |
| ICE | 2022-10-17 | 86.30 | 1.6056 | 0.5058 | no |
| INTU | 2022-10-17 | 381.93 | 1.9954 | 0.4867 | no |
| IVZ | 2022-10-17 | 12.36 | 1.6217 | 0.4807 | no |
| J | 2022-10-17 | 89.26 | 1.2842 | 0.5319 | no |
| KEY | 2022-10-17 | 13.72 | 1.4224 | 0.5223 | no |
| MCHP | 2022-10-17 | 54.52 | 1.4905 | 0.4985 | no |
| MGM | 2022-10-17 | 31.35 | 1.5147 | 0.4638 | no |
| MKTX | 2022-10-17 | 220.64 | 1.6108 | 0.5250 | no |
| MLM | 2022-10-17 | 298.30 | 1.4310 | 0.4692 | no |
| MSCI | 2022-10-17 | 379.82 | 1.6968 | 0.4734 | no |
| NOW | 2022-10-17 | 70.29 | 1.6482 | 0.4890 | no |
| NSC | 2022-10-17 | 198.64 | 1.3673 | 0.5099 | no |
| NTAP | 2022-10-17 | 58.74 | 1.6534 | 0.5096 | no |
| NTRS | 2022-10-17 | 76.37 | 1.2733 | 0.4982 | no |
| NWS | 2022-10-17 | 15.95 | 1.6621 | — | no |
| ODFL | 2022-10-17 | 130.50 | 1.3572 | 0.4953 | no |
| ON | 2022-10-17 | 59.57 | 1.5216 | 0.4716 | no |
| OTIS | 2022-10-17 | 60.66 | 1.5482 | 0.4671 | no |
| PH | 2022-10-17 | 252.56 | 1.4650 | 0.4985 | no |
| POOL | 2022-10-17 | 292.45 | 1.7242 | 0.4578 | no |
| PPG | 2022-10-17 | 103.46 | 1.5997 | 0.4912 | no |
| ROK | 2022-10-17 | 215.08 | 1.2662 | 0.4539 | no |
| STT | 2022-10-17 | 55.55 | 1.3990 | 0.4898 | no |
| SYY | 2022-10-17 | 67.49 | 1.2745 | 0.5452 | no |
| TDG | 2022-10-17 | 448.76 | 1.2809 | 0.6010 | no |
| TXN | 2022-10-17 | 135.41 | 1.5666 | 0.4833 | no |
| TYL | 2022-10-17 | 324.18 | 1.6225 | 0.4530 | no |
| UHS | 2022-10-17 | 91.38 | 1.4040 | 0.4509 | no |
| URI | 2022-10-17 | 273.40 | 1.4352 | 0.4898 | no |
| VRSK | 2022-10-17 | 164.40 | 1.4935 | 0.4551 | no |
| WMB | 2022-10-17 | 25.22 | 1.3761 | 0.5747 | no |