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 | -7.27% | 2.31% | 2022-01-11 | -15.90% |
| buy & hold | participation factor overlay | 6 months | complete | -25.33% | 2.31% | 2022-01-11 | -31.07% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.37% | 2.05% | 2022-01-11 | -15.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -24.64% | 2.05% | 2022-01-11 | -30.03% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.78% | 2.31% | 2022-01-11 | -14.02% |
| weekly rebalance | participation factor overlay | 6 months | complete | -18.76% | 2.31% | 2022-01-11 | -23.53% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.23% | 2.05% | 2022-01-11 | -14.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -21.41% | 2.05% | 2022-01-11 | -25.82% |
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 | 0.3553 | 0.6091 | no |
| ALB | 2022-01-10 | 217.66 | 2.0490 | 0.5760 | no |
| ALGN | 2022-01-10 | 533.02 | 0.9803 | 0.5617 | no |
| ALK | 2022-01-10 | 56.25 | 0.4399 | 0.4941 | no |
| AMD | 2022-01-10 | 129.08 | 0.5516 | 0.6470 | no |
| AXP | 2022-01-10 | 166.65 | 0.4229 | 0.4494 | no |
| BBWI | 2022-01-10 | 52.08 | 0.5510 | 0.4813 | no |
| BBY | 2022-01-10 | 81.10 | 0.3602 | 0.6403 | no |
| BKNG | 2022-01-10 | 95.10 | 0.5506 | 0.5740 | no |
| CCL | 2022-01-10 | 21.65 | 0.4239 | 0.4480 | no |
| CMG | 2022-01-10 | 31.48 | 0.6009 | 0.4717 | no |
| CRL | 2022-01-10 | 323.85 | 0.4075 | 0.4916 | no |
| CTAS | 2022-01-10 | 94.36 | 0.2962 | 0.4672 | no |
| DXCM | 2022-01-10 | 111.04 | 1.3628 | 0.5048 | no |
| EPAM | 2022-01-10 | 540.24 | 0.2848 | 0.4866 | no |
| ETSY | 2022-01-10 | 181.48 | 0.5036 | — | no |
| GNRC | 2022-01-10 | 321.14 | 0.8128 | 0.5034 | no |
| IBM | 2022-01-10 | 112.54 | 0.2883 | 0.5646 | no |
| IDXX | 2022-01-10 | 537.49 | 0.3477 | 0.4939 | no |
| ILMN | 2022-01-10 | 353.28 | 0.3390 | 0.4928 | no |
| INTU | 2022-01-10 | 534.97 | 0.4930 | 0.5165 | no |
| ISRG | 2022-01-10 | 321.18 | 0.4291 | 0.4544 | no |
| IT | 2022-01-10 | 293.62 | 0.4644 | 0.4618 | no |
| LUV | 2022-01-10 | 41.88 | 0.4281 | 0.5477 | no |
| LVS | 2022-01-10 | 34.73 | 0.3435 | 0.5515 | no |
| MKTX | 2022-01-10 | 352.70 | 0.2915 | 0.5392 | no |
| MOS | 2022-01-10 | 35.31 | 0.3868 | 0.5556 | no |
| MPWR | 2022-01-10 | 423.38 | 0.9789 | 0.6711 | no |
| MRNA | 2022-01-10 | 211.37 | 0.4737 | 0.4914 | no |
| MSCI | 2022-01-10 | 513.12 | 1.0200 | 0.4580 | no |
| NFLX | 2022-01-10 | 53.85 | 0.6817 | — | no |
| NOC | 2022-01-10 | 375.06 | 0.3974 | 0.5430 | no |
| NOW | 2022-01-10 | 110.02 | 0.4536 | 0.6119 | no |
| NVDA | 2022-01-10 | 26.47 | 1.0049 | 0.6185 | no |
| OGN | 2022-01-10 | 26.48 | 0.4250 | 0.4574 | no |
| POOL | 2022-01-10 | 462.72 | 0.6373 | 0.5058 | no |
| PVH | 2022-01-10 | 105.46 | 0.6370 | 0.4538 | no |
| RCL | 2022-01-10 | 78.95 | 0.3308 | 0.5093 | no |
| RMD | 2022-01-10 | 224.58 | 0.3176 | 0.5271 | no |
| TECH | 2022-01-10 | 99.53 | 0.9747 | 0.5712 | no |
| TFX | 2022-01-10 | 304.61 | 0.7974 | 0.4814 | no |
| TPR | 2022-01-10 | 34.20 | 0.4061 | 0.4616 | no |
| TROW | 2022-01-10 | 152.64 | 0.3672 | — | no |
| TSLA | 2022-01-10 | 333.33 | 0.3708 | 0.5529 | no |
| UA | 2022-01-10 | 16.69 | 0.7004 | — | no |
| UAA | 2022-01-10 | 19.45 | 0.6591 | 0.5550 | no |
| UAL | 2022-01-10 | 47.53 | 0.3802 | 0.5204 | no |
| URI | 2022-01-10 | 315.40 | 1.4456 | 0.5001 | no |
| WYNN | 2022-01-10 | 81.18 | 0.6008 | 0.5468 | no |
| XRAY | 2022-01-10 | 50.84 | 0.3515 | 0.5346 | no |