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 | -5.45% | 9.10% | 2022-02-09 | -13.75% |
| buy & hold | participation factor overlay | 6 months | complete | -7.74% | 9.10% | 2022-02-09 | -27.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.67% | 8.92% | 2022-02-09 | -14.83% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.59% | 8.92% | 2022-02-09 | -27.59% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.96% | 9.24% | 2022-03-29 | -11.30% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.24% | 9.24% | 2022-03-29 | -20.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.83% | 8.24% | 2022-03-29 | -11.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.54% | 8.24% | 2022-03-29 | -23.23% |
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 | 2022-01-31 | 132.87 | 1.0503 | 0.4887 | no |
| AAL | 2022-01-31 | 15.55 | 1.5569 | 0.4807 | no |
| ADI | 2022-01-31 | 146.19 | 0.9564 | 0.6517 | no |
| ALB | 2022-01-31 | 195.04 | 1.2954 | 0.5579 | no |
| AMAT | 2022-01-31 | 127.74 | 1.0580 | 0.6530 | no |
| AMD | 2022-01-31 | 107.93 | 0.9356 | 0.6346 | no |
| AMZN | 2022-01-31 | 144.75 | 0.7297 | 0.5162 | no |
| ANET | 2022-01-31 | 30.24 | 0.7319 | 0.5405 | no |
| AVGO | 2022-01-31 | 51.63 | 1.3663 | 0.6418 | no |
| BA | 2022-01-31 | 190.73 | 0.8762 | 0.5072 | no |
| CARR | 2022-01-31 | 43.49 | 1.4422 | 0.4702 | no |
| CCL | 2022-01-31 | 18.48 | 0.7038 | 0.4432 | no |
| CHTR | 2022-01-31 | 588.99 | 0.8839 | 0.4353 | no |
| COST | 2022-01-31 | 467.01 | 0.5332 | 0.6044 | no |
| CZR | 2022-01-31 | 72.63 | 0.5683 | 0.5562 | no |
| DHI | 2022-01-31 | 81.85 | 0.7620 | 0.5070 | no |
| DHR | 2022-01-31 | 245.37 | 0.6723 | 0.4776 | no |
| DLTR | 2022-01-31 | 128.21 | 0.5238 | 0.5658 | no |
| DPZ | 2022-01-31 | 411.81 | 0.9528 | 0.4904 | no |
| FCX | 2022-01-31 | 33.76 | 0.8386 | 0.6646 | no |
| FTNT | 2022-01-31 | 56.43 | 1.2242 | 0.5761 | no |
| GE | 2022-01-31 | 55.82 | 0.6636 | 0.5069 | no |
| GM | 2022-01-31 | 48.40 | 1.6827 | 0.4934 | no |
| ILMN | 2022-01-31 | 321.78 | 0.6604 | 0.4510 | no |
| INTU | 2022-01-31 | 517.90 | 1.0303 | 0.4745 | no |
| IQV | 2022-01-31 | 238.93 | 0.7512 | 0.5027 | no |
| IRM | 2022-01-31 | 37.49 | 1.1774 | 0.4927 | no |
| IT | 2022-01-31 | 287.50 | 1.4951 | 0.4583 | no |
| IVZ | 2022-01-31 | 17.58 | 0.5502 | 0.4883 | no |
| KLAC | 2022-01-31 | 34.98 | 0.6462 | 0.6312 | no |
| LEN | 2022-01-31 | 83.96 | 0.8420 | 0.4986 | no |
| LRCX | 2022-01-31 | 53.75 | 1.6318 | 0.6314 | no |
| LUV | 2022-01-31 | 39.03 | 0.8600 | 0.5417 | no |
| MCHP | 2022-01-31 | 66.63 | 1.1199 | 0.6294 | no |
| MGM | 2022-01-31 | 41.47 | 1.1354 | 0.5235 | no |
| MHK | 2022-01-31 | 150.26 | 1.1283 | 0.5083 | no |
| NCLH | 2022-01-31 | 19.55 | 1.1413 | 0.4992 | no |
| NUE | 2022-01-31 | 93.03 | 1.2650 | 0.6724 | no |
| NVDA | 2022-01-31 | 23.08 | 1.4818 | 0.6142 | no |
| NXPI | 2022-01-31 | 174.11 | 0.7874 | 0.6413 | no |
| PNR | 2022-01-31 | 59.23 | 1.0141 | 0.5144 | no |
| POOL | 2022-01-31 | 427.28 | 0.6314 | 0.5015 | no |
| PWR | 2022-01-31 | 96.89 | 1.0726 | 0.5097 | no |
| RCL | 2022-01-31 | 71.78 | 0.9791 | 0.5029 | no |
| SNPS | 2022-01-31 | 296.36 | 0.7704 | 0.5588 | no |
| TSLA | 2022-01-31 | 290.90 | 1.7349 | 0.4813 | no |
| TYL | 2022-01-31 | 450.17 | 0.9128 | 0.5052 | no |
| URI | 2022-01-31 | 303.68 | 1.0527 | 0.5132 | no |
| WDC | 2022-01-31 | 37.24 | 0.6847 | 0.5847 | no |
| WST | 2022-01-31 | 390.14 | 0.9248 | 0.4876 | no |