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 | -6.47% | 1.65% | 2022-01-11 | -14.04% |
| buy & hold | participation factor overlay | 6 months | complete | -25.74% | 1.65% | 2022-01-11 | -30.88% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.54% | 1.48% | 2022-01-11 | -14.61% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -26.54% | 1.48% | 2022-01-11 | -30.71% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.40% | 1.65% | 2022-01-11 | -13.83% |
| weekly rebalance | participation factor overlay | 6 months | complete | -20.21% | 1.65% | 2022-01-11 | -24.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.76% | 1.48% | 2022-01-11 | -14.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -21.97% | 1.48% | 2022-01-11 | -25.83% |
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 | 0.4969 | 0.6091 | no |
| ALB | 2022-01-10 | 217.66 | 1.8454 | 0.5760 | no |
| ALGN | 2022-01-10 | 533.02 | 0.9544 | 0.5617 | no |
| ALK | 2022-01-10 | 56.25 | 0.3556 | 0.4941 | no |
| AMD | 2022-01-10 | 129.08 | 0.4561 | 0.6470 | no |
| AXP | 2022-01-10 | 166.65 | 0.3142 | 0.4494 | no |
| BBWI | 2022-01-10 | 52.08 | 0.7218 | 0.4813 | no |
| BBY | 2022-01-10 | 81.10 | 0.5924 | 0.6403 | no |
| BKNG | 2022-01-10 | 95.10 | 0.4453 | 0.5740 | no |
| C | 2022-01-10 | 56.44 | 0.3331 | 0.5158 | no |
| CCL | 2022-01-10 | 21.65 | 0.3226 | 0.4480 | no |
| CHTR | 2022-01-10 | 610.49 | 0.2921 | 0.4748 | no |
| CMG | 2022-01-10 | 31.48 | 0.4490 | 0.4717 | no |
| CRL | 2022-01-10 | 323.85 | 0.5252 | 0.4916 | no |
| CZR | 2022-01-10 | 89.36 | 0.4353 | 0.5778 | no |
| DXCM | 2022-01-10 | 111.04 | 1.5375 | 0.5048 | no |
| ETSY | 2022-01-10 | 181.48 | 0.4932 | — | no |
| GNRC | 2022-01-10 | 321.14 | 0.5628 | 0.5034 | no |
| GRMN | 2022-01-10 | 117.42 | 0.3022 | 0.5884 | no |
| IBM | 2022-01-10 | 112.54 | 0.3569 | 0.5646 | no |
| IDXX | 2022-01-10 | 537.49 | 0.4743 | 0.4939 | no |
| INTU | 2022-01-10 | 534.97 | 0.6526 | 0.5165 | no |
| ISRG | 2022-01-10 | 321.18 | 0.3210 | 0.4544 | no |
| IT | 2022-01-10 | 293.62 | 0.4551 | 0.4618 | no |
| LUV | 2022-01-10 | 41.88 | 0.4242 | 0.5477 | no |
| MOS | 2022-01-10 | 35.31 | 0.4538 | 0.5556 | no |
| MPWR | 2022-01-10 | 423.38 | 1.0460 | 0.6711 | no |
| MSCI | 2022-01-10 | 513.12 | 0.8354 | 0.4580 | no |
| MTCH | 2022-01-10 | 118.58 | 0.4386 | 0.5262 | no |
| NCLH | 2022-01-10 | 22.44 | 0.4132 | 0.5104 | no |
| NFLX | 2022-01-10 | 53.85 | 0.7649 | — | no |
| NOC | 2022-01-10 | 375.06 | 0.4290 | 0.5430 | no |
| NOW | 2022-01-10 | 110.02 | 0.7188 | 0.6119 | no |
| NVDA | 2022-01-10 | 26.47 | 1.2103 | 0.6185 | no |
| POOL | 2022-01-10 | 462.72 | 0.6912 | 0.5058 | no |
| PVH | 2022-01-10 | 105.46 | 0.5426 | 0.4538 | no |
| RCL | 2022-01-10 | 78.95 | 0.4770 | 0.5093 | no |
| RMD | 2022-01-10 | 224.58 | 0.3051 | 0.5271 | no |
| SEDG | 2022-01-10 | 247.65 | 0.2874 | 0.5291 | no |
| SYY | 2022-01-10 | 71.52 | 0.3032 | 0.5665 | no |
| TECH | 2022-01-10 | 99.53 | 0.9919 | 0.5712 | no |
| TFX | 2022-01-10 | 304.61 | 0.9640 | 0.4814 | no |
| TGT | 2022-01-10 | 196.23 | 0.3535 | 0.6242 | no |
| UA | 2022-01-10 | 16.69 | 0.7409 | — | no |
| UAA | 2022-01-10 | 19.45 | 0.4573 | 0.5550 | no |
| UAL | 2022-01-10 | 47.53 | 0.3853 | 0.5204 | no |
| URI | 2022-01-10 | 315.40 | 1.2833 | 0.5001 | no |
| VFC | 2022-01-10 | 61.12 | 0.2868 | 0.4940 | no |
| WST | 2022-01-10 | 383.18 | 0.3157 | 0.5328 | no |
| WYNN | 2022-01-10 | 81.18 | 0.7827 | 0.5468 | no |