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 | 0.09% | 9.02% | 2022-02-09 | -13.77% |
| buy & hold | participation factor overlay | 6 months | complete | -9.80% | 9.02% | 2022-02-09 | -24.88% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.35% | 9.30% | 2022-02-09 | -14.41% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -10.34% | 9.30% | 2022-02-09 | -25.41% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.50% | 8.53% | 2022-02-09 | -11.83% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.79% | 8.53% | 2022-02-09 | -22.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.88% | 8.75% | 2022-02-09 | -12.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -11.05% | 8.75% | 2022-02-09 | -24.34% |
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 |
|---|---|---|---|---|---|
| A | 2022-01-24 | 131.96 | 0.4833 | 0.4982 | no |
| AAL | 2022-01-24 | 15.85 | 1.4065 | 0.4807 | no |
| ADI | 2022-01-24 | 146.83 | 0.4617 | 0.6521 | no |
| ALB | 2022-01-24 | 194.06 | 2.0928 | 0.5579 | no |
| AMD | 2022-01-24 | 115.40 | 1.2153 | 0.6368 | no |
| APTV | 2022-01-24 | 134.67 | 1.5003 | 0.4536 | no |
| BKNG | 2022-01-24 | 90.55 | 0.4774 | 0.4958 | no |
| CARR | 2022-01-24 | 42.71 | 0.6395 | 0.4702 | no |
| CCL | 2022-01-24 | 18.78 | 0.6959 | 0.4432 | no |
| CDNS | 2022-01-24 | 146.19 | 0.6590 | 0.5699 | no |
| DGX | 2022-01-24 | 125.03 | 0.5057 | 0.4706 | no |
| DHI | 2022-01-24 | 81.78 | 0.6401 | 0.5070 | no |
| DLTR | 2022-01-24 | 123.62 | 0.9296 | 0.5686 | no |
| DPZ | 2022-01-24 | 401.71 | 0.8202 | 0.4875 | no |
| EQIX | 2022-01-24 | 654.89 | 0.5382 | 0.4428 | no |
| FTNT | 2022-01-24 | 56.53 | 1.3830 | 0.5770 | no |
| GM | 2022-01-24 | 49.27 | 0.7817 | 0.4962 | no |
| INTU | 2022-01-24 | 508.38 | 0.6665 | 0.4780 | no |
| IRM | 2022-01-24 | 35.93 | 0.8259 | 0.4974 | no |
| IT | 2022-01-24 | 269.89 | 1.4437 | 0.4583 | no |
| IVZ | 2022-01-24 | 17.36 | 0.9508 | 0.4756 | no |
| KEYS | 2022-01-24 | 171.69 | 0.4604 | 0.5345 | no |
| LEN | 2022-01-24 | 84.14 | 0.7782 | 0.4986 | no |
| LRCX | 2022-01-24 | 55.79 | 0.5213 | 0.6389 | no |
| LUV | 2022-01-24 | 38.91 | 0.6994 | 0.5371 | no |
| MCHP | 2022-01-24 | 64.63 | 0.4677 | 0.6313 | no |
| MGM | 2022-01-24 | 39.80 | 0.9231 | 0.5248 | no |
| MHK | 2022-01-24 | 152.60 | 0.6540 | 0.5083 | no |
| MKTX | 2022-01-24 | 337.92 | 0.4708 | 0.5342 | no |
| NCLH | 2022-01-24 | 19.39 | 0.7520 | 0.5009 | no |
| NKE | 2022-01-24 | 128.71 | 0.7115 | 0.4336 | no |
| NUE | 2022-01-24 | 84.47 | 1.0736 | 0.5427 | no |
| NVDA | 2022-01-24 | 22.23 | 1.2442 | 0.6171 | no |
| OGN | 2022-01-24 | 25.10 | 0.9027 | 0.4565 | no |
| PNR | 2022-01-24 | 59.32 | 0.6881 | 0.5141 | no |
| POOL | 2022-01-24 | 432.90 | 0.8038 | 0.5008 | no |
| PWR | 2022-01-24 | 95.10 | 1.0677 | 0.5131 | no |
| RCL | 2022-01-24 | 74.55 | 0.7242 | 0.5040 | no |
| ROST | 2022-01-24 | 88.85 | 1.0587 | 0.4553 | no |
| SBAC | 2022-01-24 | 286.14 | 0.4990 | 0.4854 | no |
| SNPS | 2022-01-24 | 299.97 | 0.6457 | 0.5603 | no |
| TECH | 2022-01-24 | 89.22 | 0.5870 | 0.5295 | no |
| TSLA | 2022-01-24 | 301.59 | 0.7471 | 0.5196 | no |
| TYL | 2022-01-24 | 447.41 | 1.1776 | 0.5090 | no |
| UAA | 2022-01-24 | 18.48 | 0.6394 | 0.4889 | no |
| UAL | 2022-01-24 | 40.15 | 0.9029 | 0.5130 | no |
| ULTA | 2022-01-24 | 340.25 | 0.7018 | 0.4821 | no |
| URI | 2022-01-24 | 277.67 | 1.4603 | 0.4996 | no |
| WST | 2022-01-24 | 359.77 | 0.8284 | 0.4886 | no |
| ZBRA | 2022-01-24 | 482.57 | 0.6894 | 0.4544 | no |