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 | 13.57% | 13.77% | 2023-01-23 | -5.88% |
| buy & hold | participation factor overlay | 6 months | complete | 13.66% | 19.65% | 2023-02-02 | -10.05% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 13.66% | 13.93% | 2023-01-23 | -7.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.01% | 20.90% | 2023-02-02 | -11.67% |
| weekly rebalance | participation factor overlay | 3 months | complete | 15.68% | 17.21% | 2023-01-13 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 14.88% | 18.93% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.23% | 13.54% | 2023-01-13 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.85% | 16.09% | 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 | 2022-10-24 | 144.37 | 1.0571 | 0.5253 | no |
| AEE | 2022-10-24 | 69.15 | 1.0059 | 0.4521 | no |
| ANET | 2022-10-24 | 27.69 | 1.4468 | 0.5055 | no |
| AVGO | 2022-10-24 | 42.77 | 1.3937 | 0.5178 | no |
| BBY | 2022-10-24 | 52.92 | 1.8532 | 0.5627 | no |
| BR | 2022-10-24 | 132.48 | 1.0521 | 0.4639 | no |
| C | 2022-10-24 | 38.70 | 1.1267 | 0.5199 | no |
| CARR | 2022-10-24 | 33.49 | 1.4019 | 0.4574 | no |
| CE | 2022-10-24 | 89.76 | 1.3014 | 0.4857 | no |
| CHRW | 2022-10-24 | 85.89 | 1.0575 | 0.5054 | no |
| CL | 2022-10-24 | 65.89 | 1.1624 | 0.4472 | no |
| CSX | 2022-10-24 | 26.24 | 1.0340 | 0.5023 | no |
| ECL | 2022-10-24 | 141.24 | 1.2189 | 0.5039 | no |
| EIX | 2022-10-24 | 46.69 | 1.0290 | 0.4946 | no |
| EVRG | 2022-10-24 | 49.83 | 1.4233 | 0.5261 | no |
| EXR | 2022-10-24 | 141.05 | 1.3296 | 0.4610 | no |
| GRMN | 2022-10-24 | 77.13 | 1.1944 | 0.4908 | no |
| GWW | 2022-10-24 | 505.92 | 0.9882 | 0.4720 | no |
| ICE | 2022-10-24 | 88.92 | 1.2552 | 0.5058 | no |
| INTU | 2022-10-24 | 407.93 | 1.0151 | 0.4891 | no |
| IVZ | 2022-10-24 | 12.56 | 1.4709 | 0.4807 | no |
| KEY | 2022-10-24 | 13.81 | 1.0722 | 0.5233 | no |
| LUV | 2022-10-24 | 30.55 | 1.7397 | 0.4747 | no |
| MSCI | 2022-10-24 | 386.43 | 1.2487 | 0.4734 | no |
| NOW | 2022-10-24 | 73.60 | 1.2898 | 0.4884 | no |
| NTAP | 2022-10-24 | 60.76 | 1.2129 | 0.5084 | no |
| NXPI | 2022-10-24 | 133.72 | 1.0510 | 0.4985 | no |
| OKE | 2022-10-24 | 46.14 | 0.9797 | 0.5279 | no |
| PEG | 2022-10-24 | 48.14 | 1.0185 | 0.5191 | no |
| PM | 2022-10-24 | 73.21 | 1.1074 | 0.4593 | no |
| PNR | 2022-10-24 | 38.29 | 1.1946 | 0.5000 | no |
| PNW | 2022-10-24 | 54.56 | 1.4042 | 0.5238 | no |
| PPL | 2022-10-24 | 22.61 | 1.2804 | 0.4836 | no |
| PSA | 2022-10-24 | 251.15 | 1.1297 | 0.4605 | no |
| QCOM | 2022-10-24 | 106.33 | 1.0870 | 0.4956 | no |
| REG | 2022-10-24 | 47.88 | 1.3020 | 0.4428 | no |
| SHW | 2022-10-24 | 201.55 | 1.0117 | 0.5053 | no |
| SO | 2022-10-24 | 55.95 | 1.0425 | 0.4917 | no |
| SRE | 2022-10-24 | 63.73 | 0.9953 | 0.5130 | no |
| TDG | 2022-10-24 | 464.02 | 1.1421 | 0.6010 | no |
| TEL | 2022-10-24 | 108.16 | 1.1244 | — | no |
| TFX | 2022-10-24 | 193.21 | 1.1459 | 0.4766 | no |
| TRMB | 2022-10-24 | 56.01 | 1.2615 | 0.5217 | no |
| TROW | 2022-10-24 | 85.79 | 1.4292 | — | no |
| TYL | 2022-10-24 | 338.57 | 1.0908 | 0.4520 | no |
| UHS | 2022-10-24 | 89.25 | 0.9964 | 0.4509 | no |
| USB | 2022-10-24 | 34.24 | 1.0452 | 0.5362 | no |
| VRSK | 2022-10-24 | 164.20 | 1.4726 | 0.4551 | no |
| XRAY | 2022-10-24 | 26.73 | 1.0092 | 0.4558 | no |
| ZION | 2022-10-24 | 41.68 | 1.4355 | 0.5007 | no |