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 | 14.25% | 14.48% | 2023-01-23 | -6.51% |
| buy & hold | participation factor overlay | 6 months | complete | 12.50% | 20.33% | 2023-02-02 | -10.32% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.67% | 12.09% | 2023-01-23 | -7.97% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.00% | 18.87% | 2023-02-02 | -12.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | 15.79% | 17.15% | 2023-01-13 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.21% | 19.34% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.67% | 16.59% | 2023-01-13 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.88% | 20.03% | 2023-02-02 | -9.12% |
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 | 2022-10-24 | 144.37 | 1.1552 | 0.5253 | no |
| ADI | 2022-10-24 | 135.80 | 1.0023 | 0.5202 | no |
| ANET | 2022-10-24 | 27.69 | 1.5697 | 0.5055 | no |
| AVGO | 2022-10-24 | 42.77 | 1.4516 | 0.5178 | no |
| AVY | 2022-10-24 | 159.83 | 1.1608 | 0.4862 | no |
| AWK | 2022-10-24 | 122.59 | 0.9855 | 0.5012 | no |
| BBY | 2022-10-24 | 52.92 | 1.7635 | 0.5627 | no |
| BEN | 2022-10-24 | 18.72 | 1.0388 | 0.4892 | no |
| BR | 2022-10-24 | 132.48 | 1.1921 | 0.4639 | no |
| C | 2022-10-24 | 38.70 | 1.2643 | 0.5199 | no |
| CARR | 2022-10-24 | 33.49 | 1.3232 | 0.4574 | no |
| CE | 2022-10-24 | 89.76 | 1.2641 | 0.4857 | no |
| CHRW | 2022-10-24 | 85.89 | 1.2688 | 0.5054 | no |
| CSX | 2022-10-24 | 26.24 | 1.2851 | 0.5023 | no |
| ECL | 2022-10-24 | 141.24 | 1.2805 | 0.5039 | no |
| ETR | 2022-10-24 | 44.95 | 1.0999 | 0.5055 | no |
| EVRG | 2022-10-24 | 49.83 | 1.1971 | 0.5261 | no |
| EXR | 2022-10-24 | 141.05 | 1.3847 | 0.4610 | no |
| GRMN | 2022-10-24 | 77.13 | 1.3640 | 0.4908 | no |
| ICE | 2022-10-24 | 88.92 | 1.3272 | 0.5058 | no |
| INTU | 2022-10-24 | 407.93 | 1.1280 | 0.4891 | no |
| IVZ | 2022-10-24 | 12.56 | 1.5090 | 0.4807 | no |
| J | 2022-10-24 | 91.33 | 1.1353 | 0.5335 | no |
| KEY | 2022-10-24 | 13.81 | 1.0568 | 0.5233 | no |
| KLAC | 2022-10-24 | 28.09 | 0.9972 | 0.4743 | no |
| LUV | 2022-10-24 | 30.55 | 1.5024 | 0.4747 | no |
| MS | 2022-10-24 | 70.02 | 0.9590 | 0.4744 | no |
| MSCI | 2022-10-24 | 386.43 | 1.0408 | 0.4734 | no |
| NOW | 2022-10-24 | 73.60 | 1.3723 | 0.4884 | no |
| NTAP | 2022-10-24 | 60.76 | 1.1449 | 0.5084 | no |
| NXPI | 2022-10-24 | 133.72 | 1.1220 | 0.4985 | no |
| OKE | 2022-10-24 | 46.14 | 1.0050 | 0.5279 | no |
| OTIS | 2022-10-24 | 62.66 | 0.9953 | 0.4671 | no |
| PM | 2022-10-24 | 73.21 | 1.0414 | 0.4593 | no |
| PNR | 2022-10-24 | 38.29 | 1.4114 | 0.5000 | no |
| PNW | 2022-10-24 | 54.56 | 1.3188 | 0.5238 | no |
| PPL | 2022-10-24 | 22.61 | 1.1837 | 0.4836 | no |
| QCOM | 2022-10-24 | 106.33 | 1.1495 | 0.4956 | no |
| REG | 2022-10-24 | 47.88 | 1.1639 | 0.4428 | no |
| SO | 2022-10-24 | 55.95 | 0.9975 | 0.4917 | no |
| SRE | 2022-10-24 | 63.73 | 0.9896 | 0.5130 | no |
| TDG | 2022-10-24 | 464.02 | 1.0344 | 0.6010 | no |
| TER | 2022-10-24 | 76.77 | 1.0223 | 0.4987 | no |
| TFX | 2022-10-24 | 193.21 | 0.9752 | 0.4766 | no |
| TRMB | 2022-10-24 | 56.01 | 1.2085 | 0.5217 | no |
| TROW | 2022-10-24 | 85.79 | 1.4062 | — | no |
| TYL | 2022-10-24 | 338.57 | 0.9755 | 0.4520 | no |
| USB | 2022-10-24 | 34.24 | 1.0723 | 0.5362 | no |
| VRSK | 2022-10-24 | 164.20 | 1.4955 | 0.4551 | no |
| ZION | 2022-10-24 | 41.68 | 1.4491 | 0.5007 | no |