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 | 0.19% | 9.29% | 2022-02-09 | -13.73% |
| buy & hold | participation factor overlay | 6 months | complete | -10.12% | 9.29% | 2022-02-09 | -25.24% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.01% | 9.46% | 2022-02-09 | -14.74% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -11.89% | 9.46% | 2022-02-09 | -26.77% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.53% | 8.58% | 2022-02-09 | -11.87% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.87% | 8.58% | 2022-02-09 | -21.61% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.33% | 8.68% | 2022-02-09 | -12.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.31% | 8.68% | 2022-02-09 | -23.97% |
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 | 0.5626 | 0.4982 | no |
| AAL | 2022-01-24 | 15.85 | 1.2215 | 0.4807 | no |
| ALB | 2022-01-24 | 194.06 | 1.9993 | 0.5579 | no |
| ALGN | 2022-01-24 | 453.74 | 0.6591 | 0.5345 | no |
| AMD | 2022-01-24 | 115.40 | 1.3557 | 0.6368 | no |
| APTV | 2022-01-24 | 134.67 | 1.2512 | 0.4536 | no |
| AVGO | 2022-01-24 | 49.00 | 0.6011 | 0.6445 | no |
| BKNG | 2022-01-24 | 90.55 | 0.6507 | 0.4958 | no |
| CARR | 2022-01-24 | 42.71 | 0.8365 | 0.4702 | no |
| CCL | 2022-01-24 | 18.78 | 0.6042 | 0.4432 | no |
| CDNS | 2022-01-24 | 146.19 | 0.7586 | 0.5699 | no |
| CPRT | 2022-01-24 | 31.31 | 0.6404 | 0.4828 | no |
| DGX | 2022-01-24 | 125.03 | 0.8077 | 0.4706 | no |
| DHI | 2022-01-24 | 81.78 | 0.7597 | 0.5070 | no |
| DLTR | 2022-01-24 | 123.62 | 0.7617 | 0.5686 | no |
| DPZ | 2022-01-24 | 401.71 | 0.9279 | 0.4875 | no |
| EQIX | 2022-01-24 | 654.89 | 0.5652 | 0.4428 | no |
| FTNT | 2022-01-24 | 56.53 | 1.1538 | 0.5770 | no |
| GM | 2022-01-24 | 49.27 | 0.8225 | 0.4962 | no |
| INTU | 2022-01-24 | 508.38 | 0.7199 | 0.4780 | no |
| IRM | 2022-01-24 | 35.93 | 0.9479 | 0.4974 | no |
| IT | 2022-01-24 | 269.89 | 1.2696 | 0.4583 | no |
| IVZ | 2022-01-24 | 17.36 | 1.4026 | 0.4756 | no |
| KEYS | 2022-01-24 | 171.69 | 0.5610 | 0.5345 | no |
| LEN | 2022-01-24 | 84.14 | 0.7167 | 0.4986 | no |
| LRCX | 2022-01-24 | 55.79 | 0.5789 | 0.6389 | no |
| LUV | 2022-01-24 | 38.91 | 0.8237 | 0.5371 | no |
| MGM | 2022-01-24 | 39.80 | 0.9215 | 0.5248 | no |
| MKTX | 2022-01-24 | 337.92 | 0.6209 | 0.5342 | no |
| MPWR | 2022-01-24 | 378.22 | 0.5351 | 0.6652 | no |
| NCLH | 2022-01-24 | 19.39 | 0.6951 | 0.5009 | no |
| NKE | 2022-01-24 | 128.71 | 0.6149 | 0.4336 | no |
| NUE | 2022-01-24 | 84.47 | 0.9554 | 0.5427 | no |
| NVDA | 2022-01-24 | 22.23 | 1.3536 | 0.6171 | no |
| OGN | 2022-01-24 | 25.10 | 0.8209 | 0.4565 | no |
| PNR | 2022-01-24 | 59.32 | 0.9004 | 0.5141 | no |
| POOL | 2022-01-24 | 432.90 | 0.9495 | 0.5008 | no |
| PWR | 2022-01-24 | 95.10 | 0.9803 | 0.5131 | no |
| RCL | 2022-01-24 | 74.55 | 0.7042 | 0.5040 | no |
| ROST | 2022-01-24 | 88.85 | 1.0226 | 0.4553 | no |
| SBAC | 2022-01-24 | 286.14 | 0.5520 | 0.4854 | no |
| SNPS | 2022-01-24 | 299.97 | 0.8575 | 0.5603 | no |
| TSLA | 2022-01-24 | 301.59 | 0.7506 | 0.5196 | no |
| TYL | 2022-01-24 | 447.41 | 1.0731 | 0.5090 | no |
| UAA | 2022-01-24 | 18.48 | 0.6351 | 0.4889 | no |
| UAL | 2022-01-24 | 40.15 | 0.7811 | 0.5130 | no |
| ULTA | 2022-01-24 | 340.25 | 0.5385 | 0.4821 | no |
| URI | 2022-01-24 | 277.67 | 1.1317 | 0.4996 | no |
| WST | 2022-01-24 | 359.77 | 1.1528 | 0.4886 | no |
| ZBRA | 2022-01-24 | 482.57 | 0.7306 | 0.4544 | no |