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 | 15.01% | 15.28% | 2023-01-23 | -5.41% |
| buy & hold | participation factor overlay | 6 months | complete | 13.87% | 20.99% | 2023-02-02 | -10.11% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 13.99% | 14.34% | 2023-01-23 | -7.00% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.27% | 21.39% | 2023-02-02 | -12.06% |
| weekly rebalance | participation factor overlay | 3 months | complete | 16.34% | 17.91% | 2023-01-13 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 17.38% | 19.70% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.48% | 16.62% | 2023-01-13 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 15.75% | 20.53% | 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 |
|---|---|---|---|---|---|
| ADI | 2022-10-24 | 135.80 | 0.9958 | 0.5202 | no |
| AES | 2022-10-24 | 20.75 | 1.0386 | — | no |
| ANET | 2022-10-24 | 27.69 | 1.4143 | 0.5055 | no |
| AVGO | 2022-10-24 | 42.77 | 1.3489 | 0.5178 | no |
| AVY | 2022-10-24 | 159.83 | 1.1168 | 0.4862 | no |
| BA | 2022-10-24 | 142.85 | 1.0532 | 0.5809 | no |
| BBY | 2022-10-24 | 52.92 | 1.6685 | 0.5627 | no |
| BR | 2022-10-24 | 132.48 | 1.2763 | 0.4639 | no |
| C | 2022-10-24 | 38.70 | 1.2207 | 0.5199 | no |
| CARR | 2022-10-24 | 33.49 | 1.1446 | 0.4574 | no |
| CE | 2022-10-24 | 89.76 | 1.2274 | 0.4857 | no |
| CHRW | 2022-10-24 | 85.89 | 1.0437 | 0.5054 | no |
| CL | 2022-10-24 | 65.89 | 0.9815 | 0.4472 | no |
| CSX | 2022-10-24 | 26.24 | 1.1720 | 0.5023 | no |
| ECL | 2022-10-24 | 141.24 | 1.1614 | 0.5039 | no |
| EIX | 2022-10-24 | 46.69 | 0.9963 | 0.4946 | no |
| ETR | 2022-10-24 | 44.95 | 0.9969 | 0.5055 | no |
| EVRG | 2022-10-24 | 49.83 | 1.3136 | 0.5261 | no |
| EXR | 2022-10-24 | 141.05 | 1.3101 | 0.4610 | no |
| GRMN | 2022-10-24 | 77.13 | 1.1996 | 0.4908 | no |
| GWW | 2022-10-24 | 505.92 | 1.0333 | 0.4720 | no |
| ICE | 2022-10-24 | 88.92 | 1.2129 | 0.5058 | no |
| INTU | 2022-10-24 | 407.93 | 0.9850 | 0.4891 | no |
| IVZ | 2022-10-24 | 12.56 | 1.3356 | 0.4807 | no |
| KEY | 2022-10-24 | 13.81 | 1.0439 | 0.5233 | no |
| LUV | 2022-10-24 | 30.55 | 1.4200 | 0.4747 | no |
| MS | 2022-10-24 | 70.02 | 0.9568 | 0.4744 | no |
| MSCI | 2022-10-24 | 386.43 | 1.0824 | 0.4734 | no |
| NOW | 2022-10-24 | 73.60 | 1.3139 | 0.4884 | no |
| NTAP | 2022-10-24 | 60.76 | 1.1148 | 0.5084 | no |
| OKE | 2022-10-24 | 46.14 | 1.1005 | 0.5279 | no |
| PEG | 2022-10-24 | 48.14 | 1.0055 | 0.5191 | no |
| PM | 2022-10-24 | 73.21 | 0.9701 | 0.4593 | no |
| PNR | 2022-10-24 | 38.29 | 1.1310 | 0.5000 | no |
| PNW | 2022-10-24 | 54.56 | 1.4423 | 0.5238 | no |
| PPL | 2022-10-24 | 22.61 | 0.9955 | 0.4836 | no |
| QCOM | 2022-10-24 | 106.33 | 0.9814 | 0.4956 | no |
| REG | 2022-10-24 | 47.88 | 1.3053 | 0.4428 | no |
| ROK | 2022-10-24 | 219.44 | 0.9648 | 0.4545 | no |
| SO | 2022-10-24 | 55.95 | 1.0072 | 0.4917 | no |
| SWKS | 2022-10-24 | 74.52 | 1.0101 | 0.5194 | no |
| TFX | 2022-10-24 | 193.21 | 1.0917 | 0.4766 | no |
| TRMB | 2022-10-24 | 56.01 | 1.0347 | 0.5217 | no |
| TROW | 2022-10-24 | 85.79 | 1.3084 | — | no |
| TYL | 2022-10-24 | 338.57 | 1.1199 | 0.4520 | no |
| UHS | 2022-10-24 | 89.25 | 1.0225 | 0.4509 | no |
| URI | 2022-10-24 | 276.25 | 0.9590 | 0.4933 | no |
| USB | 2022-10-24 | 34.24 | 0.9791 | 0.5362 | no |
| VRSK | 2022-10-24 | 164.20 | 1.4020 | 0.4551 | no |
| ZION | 2022-10-24 | 41.68 | 1.5770 | 0.5007 | no |