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 | -7.19% | 1.40% | 2022-01-11 | -14.16% |
| buy & hold | participation factor overlay | 6 months | complete | -26.13% | 1.40% | 2022-01-11 | -30.51% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -7.55% | 1.46% | 2022-01-11 | -14.19% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -25.93% | 1.46% | 2022-01-11 | -30.31% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.34% | 1.40% | 2022-01-11 | -13.30% |
| weekly rebalance | participation factor overlay | 6 months | complete | -18.20% | 1.40% | 2022-01-11 | -21.88% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.80% | 1.46% | 2022-01-11 | -13.57% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -20.24% | 1.46% | 2022-01-11 | -24.88% |
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 | 0.3791 | 0.6091 | no |
| ALB | 2022-01-10 | 217.66 | 1.9026 | 0.5760 | no |
| ALGN | 2022-01-10 | 533.02 | 0.6288 | 0.5617 | no |
| ALK | 2022-01-10 | 56.25 | 0.3371 | 0.4941 | no |
| AXP | 2022-01-10 | 166.65 | 0.3796 | 0.4494 | no |
| BBWI | 2022-01-10 | 52.08 | 0.7059 | 0.4813 | no |
| BBY | 2022-01-10 | 81.10 | 0.5281 | 0.6403 | no |
| BKNG | 2022-01-10 | 95.10 | 0.5801 | 0.5740 | no |
| C | 2022-01-10 | 56.44 | 0.4477 | 0.5158 | no |
| CCL | 2022-01-10 | 21.65 | 0.4674 | 0.4480 | no |
| CMG | 2022-01-10 | 31.48 | 0.5783 | 0.4717 | no |
| CZR | 2022-01-10 | 89.36 | 0.4255 | 0.5778 | no |
| DXCM | 2022-01-10 | 111.04 | 1.4849 | 0.5048 | no |
| ETSY | 2022-01-10 | 181.48 | 0.4586 | — | no |
| FDX | 2022-01-10 | 192.08 | 0.3223 | 0.5404 | no |
| FOX | 2022-01-10 | 33.78 | 0.3099 | — | no |
| GNRC | 2022-01-10 | 321.14 | 0.4623 | 0.5034 | no |
| IDXX | 2022-01-10 | 537.49 | 0.3722 | 0.4939 | no |
| INTU | 2022-01-10 | 534.97 | 0.7087 | 0.5165 | no |
| ISRG | 2022-01-10 | 321.18 | 0.3494 | 0.4544 | no |
| IT | 2022-01-10 | 293.62 | 0.3979 | 0.4618 | no |
| LDOS | 2022-01-10 | 86.39 | 0.3840 | 0.4615 | no |
| LUV | 2022-01-10 | 41.88 | 0.4477 | 0.5477 | no |
| MKTX | 2022-01-10 | 352.70 | 0.4037 | 0.5392 | no |
| MOS | 2022-01-10 | 35.31 | 0.2965 | 0.5556 | no |
| MPWR | 2022-01-10 | 423.38 | 1.0107 | 0.6711 | no |
| MSCI | 2022-01-10 | 513.12 | 0.9982 | 0.4580 | no |
| MTCH | 2022-01-10 | 118.58 | 0.2979 | 0.5262 | no |
| NCLH | 2022-01-10 | 22.44 | 0.3586 | 0.5104 | no |
| NFLX | 2022-01-10 | 53.85 | 0.8364 | — | no |
| NOC | 2022-01-10 | 375.06 | 0.3720 | 0.5430 | no |
| NOW | 2022-01-10 | 110.02 | 0.7216 | 0.6119 | no |
| NVDA | 2022-01-10 | 26.47 | 1.3134 | 0.6185 | no |
| OGN | 2022-01-10 | 26.48 | 0.5288 | 0.4574 | no |
| PNR | 2022-01-10 | 64.62 | 0.4261 | 0.5247 | no |
| POOL | 2022-01-10 | 462.72 | 0.6894 | 0.5058 | no |
| PVH | 2022-01-10 | 105.46 | 0.4968 | 0.4538 | no |
| RCL | 2022-01-10 | 78.95 | 0.4656 | 0.5093 | no |
| TDG | 2022-01-10 | 542.54 | 0.4374 | 0.5228 | no |
| TECH | 2022-01-10 | 99.53 | 0.8469 | 0.5712 | no |
| TFX | 2022-01-10 | 304.61 | 0.9163 | 0.4814 | no |
| TPR | 2022-01-10 | 34.20 | 0.3190 | 0.4616 | no |
| TSLA | 2022-01-10 | 333.33 | 0.4258 | 0.5529 | no |
| UA | 2022-01-10 | 16.69 | 0.6536 | — | no |
| UAA | 2022-01-10 | 19.45 | 0.5964 | 0.5550 | no |
| UAL | 2022-01-10 | 47.53 | 0.3103 | 0.5204 | no |
| URI | 2022-01-10 | 315.40 | 1.2765 | 0.5001 | no |
| WST | 2022-01-10 | 383.18 | 0.3454 | 0.5328 | no |
| WYNN | 2022-01-10 | 81.18 | 0.5428 | 0.5468 | no |
| ZBRA | 2022-01-10 | 527.37 | 0.3602 | 0.4672 | no |