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 | -9.25% | 1.94% | 2022-01-11 | -16.18% |
| buy & hold | participation factor overlay | 6 months | complete | -27.19% | 1.94% | 2022-01-11 | -32.39% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -7.26% | 1.77% | 2022-01-11 | -14.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -25.01% | 1.77% | 2022-01-11 | -29.81% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.52% | 1.94% | 2022-01-11 | -13.78% |
| weekly rebalance | participation factor overlay | 6 months | complete | -19.10% | 1.94% | 2022-01-11 | -23.67% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.55% | 1.77% | 2022-01-11 | -13.83% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -20.77% | 1.77% | 2022-01-11 | -25.50% |
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 |
|---|---|---|---|---|---|
| ADSK | 2022-01-10 | 256.54 | 0.3490 | 0.6091 | no |
| ALB | 2022-01-10 | 217.66 | 1.8078 | 0.5760 | no |
| ALGN | 2022-01-10 | 533.02 | 0.9241 | 0.5617 | no |
| AMD | 2022-01-10 | 129.08 | 0.5270 | 0.6470 | no |
| BBWI | 2022-01-10 | 52.08 | 0.8794 | 0.4813 | no |
| BBY | 2022-01-10 | 81.10 | 0.4865 | 0.6403 | no |
| BKNG | 2022-01-10 | 95.10 | 0.5298 | 0.5740 | no |
| CCL | 2022-01-10 | 21.65 | 0.3330 | 0.4480 | no |
| CMG | 2022-01-10 | 31.48 | 0.5853 | 0.4717 | no |
| CPRT | 2022-01-10 | 33.78 | 0.3431 | 0.4887 | no |
| CRL | 2022-01-10 | 323.85 | 0.3385 | 0.4916 | no |
| CZR | 2022-01-10 | 89.36 | 0.4637 | 0.5778 | no |
| DD | 2022-01-10 | 94.05 | 0.3688 | 0.5458 | no |
| DHI | 2022-01-10 | 89.09 | 0.3346 | 0.5098 | no |
| DXCM | 2022-01-10 | 111.04 | 1.5622 | 0.5048 | no |
| ETSY | 2022-01-10 | 181.48 | 0.3827 | — | no |
| GNRC | 2022-01-10 | 321.14 | 0.6302 | 0.5034 | no |
| IBM | 2022-01-10 | 112.54 | 0.3262 | 0.5646 | no |
| IDXX | 2022-01-10 | 537.49 | 0.5729 | 0.4939 | no |
| INTU | 2022-01-10 | 534.97 | 0.5016 | 0.5165 | no |
| ISRG | 2022-01-10 | 321.18 | 0.3268 | 0.4544 | no |
| IT | 2022-01-10 | 293.62 | 0.5578 | 0.4618 | no |
| LUV | 2022-01-10 | 41.88 | 0.5969 | 0.5477 | no |
| LVS | 2022-01-10 | 34.73 | 0.3260 | 0.5515 | no |
| MKTX | 2022-01-10 | 352.70 | 0.4824 | 0.5392 | no |
| MOS | 2022-01-10 | 35.31 | 0.3359 | 0.5556 | no |
| MPWR | 2022-01-10 | 423.38 | 1.1835 | 0.6711 | no |
| MRNA | 2022-01-10 | 211.37 | 0.3183 | 0.4914 | no |
| MSCI | 2022-01-10 | 513.12 | 0.9071 | 0.4580 | no |
| MTCH | 2022-01-10 | 118.58 | 0.3849 | 0.5262 | no |
| NCLH | 2022-01-10 | 22.44 | 0.3462 | 0.5104 | no |
| NFLX | 2022-01-10 | 53.85 | 0.8047 | — | no |
| NOC | 2022-01-10 | 375.06 | 0.3781 | 0.5430 | no |
| NOW | 2022-01-10 | 110.02 | 0.6900 | 0.6119 | no |
| NVDA | 2022-01-10 | 26.47 | 1.1826 | 0.6185 | no |
| OGN | 2022-01-10 | 26.48 | 0.3985 | 0.4574 | no |
| PNR | 2022-01-10 | 64.62 | 0.3178 | 0.5247 | no |
| POOL | 2022-01-10 | 462.72 | 0.6265 | 0.5058 | no |
| PVH | 2022-01-10 | 105.46 | 0.5101 | 0.4538 | no |
| RCL | 2022-01-10 | 78.95 | 0.4574 | 0.5093 | no |
| SWK | 2022-01-10 | 158.14 | 0.3128 | 0.5253 | no |
| TECH | 2022-01-10 | 99.53 | 1.0135 | 0.5712 | no |
| TFX | 2022-01-10 | 304.61 | 0.8748 | 0.4814 | no |
| UA | 2022-01-10 | 16.69 | 0.5312 | — | no |
| UAA | 2022-01-10 | 19.45 | 0.4433 | 0.5550 | no |
| UAL | 2022-01-10 | 47.53 | 0.3379 | 0.5204 | no |
| URI | 2022-01-10 | 315.40 | 1.1691 | 0.5001 | no |
| VFC | 2022-01-10 | 61.12 | 0.3092 | 0.4940 | no |
| WYNN | 2022-01-10 | 81.18 | 0.3934 | 0.5468 | no |
| XRAY | 2022-01-10 | 50.84 | 0.3100 | 0.5346 | no |