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 | 15.18% | 15.45% | 2023-01-23 | -6.19% |
| buy & hold | participation factor overlay | 6 months | complete | 15.14% | 22.66% | 2023-02-02 | -10.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.22% | 11.70% | 2022-12-01 | -7.86% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.79% | 18.79% | 2023-02-02 | -11.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | 15.68% | 17.01% | 2023-01-13 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 14.59% | 19.15% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.90% | 15.12% | 2023-01-13 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.58% | 18.58% | 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 |
|---|---|---|---|---|---|
| ALGN | 2022-10-24 | 207.97 | 1.0602 | 0.5049 | no |
| ANET | 2022-10-24 | 27.69 | 1.4527 | 0.5055 | no |
| AVGO | 2022-10-24 | 42.77 | 1.4067 | 0.5178 | no |
| AVY | 2022-10-24 | 159.83 | 1.1361 | 0.4862 | no |
| BBY | 2022-10-24 | 52.92 | 1.7635 | 0.5627 | no |
| BEN | 2022-10-24 | 18.72 | 1.0762 | 0.4892 | no |
| BR | 2022-10-24 | 132.48 | 1.1560 | 0.4639 | no |
| C | 2022-10-24 | 38.70 | 1.2038 | 0.5199 | no |
| CARR | 2022-10-24 | 33.49 | 1.4850 | 0.4574 | no |
| CE | 2022-10-24 | 89.76 | 1.1715 | 0.4857 | no |
| CHRW | 2022-10-24 | 85.89 | 1.1491 | 0.5054 | no |
| CL | 2022-10-24 | 65.89 | 1.0993 | 0.4472 | no |
| CSX | 2022-10-24 | 26.24 | 1.2940 | 0.5023 | no |
| ECL | 2022-10-24 | 141.24 | 1.2367 | 0.5039 | no |
| EVRG | 2022-10-24 | 49.83 | 1.2216 | 0.5261 | no |
| EXR | 2022-10-24 | 141.05 | 1.4376 | 0.4610 | no |
| GE | 2022-10-24 | 44.63 | 1.0343 | 0.4674 | no |
| GOOGL | 2022-10-24 | 100.84 | 1.0398 | 0.4405 | no |
| GRMN | 2022-10-24 | 77.13 | 1.2648 | 0.4908 | no |
| GWW | 2022-10-24 | 505.92 | 1.0983 | 0.4720 | no |
| ICE | 2022-10-24 | 88.92 | 1.2532 | 0.5058 | no |
| IVZ | 2022-10-24 | 12.56 | 1.4838 | 0.4807 | no |
| J | 2022-10-24 | 91.33 | 1.0510 | 0.5335 | no |
| KEY | 2022-10-24 | 13.81 | 1.0912 | 0.5233 | no |
| LUV | 2022-10-24 | 30.55 | 1.5032 | 0.4747 | no |
| MS | 2022-10-24 | 70.02 | 1.0151 | 0.4744 | no |
| MSCI | 2022-10-24 | 386.43 | 1.1816 | 0.4734 | no |
| NOW | 2022-10-24 | 73.60 | 1.4499 | 0.4884 | no |
| NTAP | 2022-10-24 | 60.76 | 1.2151 | 0.5084 | no |
| NXPI | 2022-10-24 | 133.72 | 1.0992 | 0.4985 | no |
| PM | 2022-10-24 | 73.21 | 1.1010 | 0.4593 | no |
| PNR | 2022-10-24 | 38.29 | 1.3645 | 0.5000 | no |
| PNW | 2022-10-24 | 54.56 | 1.4025 | 0.5238 | no |
| PPL | 2022-10-24 | 22.61 | 1.0926 | 0.4836 | no |
| PSA | 2022-10-24 | 251.15 | 1.1693 | 0.4605 | no |
| QCOM | 2022-10-24 | 106.33 | 1.1845 | 0.4956 | no |
| REG | 2022-10-24 | 47.88 | 1.2559 | 0.4428 | no |
| ROK | 2022-10-24 | 219.44 | 1.0401 | 0.4545 | no |
| SO | 2022-10-24 | 55.95 | 1.0843 | 0.4917 | no |
| SWKS | 2022-10-24 | 74.52 | 1.0396 | 0.5194 | no |
| TDG | 2022-10-24 | 464.02 | 1.0743 | 0.6010 | no |
| TER | 2022-10-24 | 76.77 | 1.0317 | 0.4987 | no |
| TFX | 2022-10-24 | 193.21 | 1.1678 | 0.4766 | no |
| TRMB | 2022-10-24 | 56.01 | 1.1587 | 0.5217 | no |
| TROW | 2022-10-24 | 85.79 | 1.5447 | — | no |
| TYL | 2022-10-24 | 338.57 | 1.3253 | 0.4520 | no |
| UHS | 2022-10-24 | 89.25 | 1.0912 | 0.4509 | no |
| USB | 2022-10-24 | 34.24 | 1.0600 | 0.5362 | no |
| VRSK | 2022-10-24 | 164.20 | 1.4862 | 0.4551 | no |
| ZION | 2022-10-24 | 41.68 | 1.4379 | 0.5007 | no |