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 | -5.89% | 8.81% | 2022-02-09 | -14.20% |
| buy & hold | participation factor overlay | 6 months | complete | -8.06% | 8.81% | 2022-02-09 | -27.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.68% | 8.45% | 2022-02-09 | -14.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -7.86% | 8.45% | 2022-02-09 | -26.80% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.11% | 7.69% | 2022-02-09 | -11.96% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.49% | 7.69% | 2022-02-09 | -22.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.78% | 7.53% | 2022-02-09 | -12.45% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -8.43% | 7.53% | 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 | 2022-01-31 | 132.87 | 1.0013 | 0.4887 | no |
| AAL | 2022-01-31 | 15.55 | 1.2394 | 0.4807 | no |
| ADI | 2022-01-31 | 146.19 | 0.7491 | 0.6517 | no |
| ALB | 2022-01-31 | 195.04 | 1.3723 | 0.5579 | no |
| AMAT | 2022-01-31 | 127.74 | 1.0900 | 0.6530 | no |
| AMD | 2022-01-31 | 107.93 | 0.9546 | 0.6346 | no |
| AMZN | 2022-01-31 | 144.75 | 0.7940 | 0.5162 | no |
| ANET | 2022-01-31 | 30.24 | 0.6231 | 0.5405 | no |
| AVGO | 2022-01-31 | 51.63 | 0.9596 | 0.6418 | no |
| BA | 2022-01-31 | 190.73 | 0.9800 | 0.5072 | no |
| BR | 2022-01-31 | 141.06 | 0.6711 | 0.4739 | no |
| CARR | 2022-01-31 | 43.49 | 1.2243 | 0.4702 | no |
| CCL | 2022-01-31 | 18.48 | 0.7100 | 0.4432 | no |
| CHTR | 2022-01-31 | 588.99 | 0.6647 | 0.4353 | no |
| DHI | 2022-01-31 | 81.85 | 0.6719 | 0.5070 | no |
| DHR | 2022-01-31 | 245.37 | 0.6787 | 0.4776 | no |
| DPZ | 2022-01-31 | 411.81 | 0.9536 | 0.4904 | no |
| FCX | 2022-01-31 | 33.76 | 0.8496 | 0.6646 | no |
| FTNT | 2022-01-31 | 56.43 | 1.2207 | 0.5761 | no |
| GE | 2022-01-31 | 55.82 | 0.5702 | 0.5069 | no |
| GM | 2022-01-31 | 48.40 | 1.4401 | 0.4934 | no |
| ILMN | 2022-01-31 | 321.78 | 0.5962 | 0.4510 | no |
| INTU | 2022-01-31 | 517.90 | 1.0007 | 0.4745 | no |
| IQV | 2022-01-31 | 238.93 | 0.6291 | 0.5027 | no |
| IRM | 2022-01-31 | 37.49 | 1.1948 | 0.4927 | no |
| IT | 2022-01-31 | 287.50 | 1.6104 | 0.4583 | no |
| IVZ | 2022-01-31 | 17.58 | 0.6147 | 0.4883 | no |
| KLAC | 2022-01-31 | 34.98 | 0.7172 | 0.6312 | no |
| LEN | 2022-01-31 | 83.96 | 0.8258 | 0.4986 | no |
| LRCX | 2022-01-31 | 53.75 | 1.5786 | 0.6314 | no |
| LUV | 2022-01-31 | 39.03 | 0.7487 | 0.5417 | no |
| MCHP | 2022-01-31 | 66.63 | 1.2731 | 0.6294 | no |
| MGM | 2022-01-31 | 41.47 | 0.9653 | 0.5235 | no |
| MHK | 2022-01-31 | 150.26 | 1.1245 | 0.5083 | no |
| NCLH | 2022-01-31 | 19.55 | 1.2249 | 0.4992 | no |
| NUE | 2022-01-31 | 93.03 | 1.3889 | 0.6724 | no |
| NVDA | 2022-01-31 | 23.08 | 1.2801 | 0.6142 | no |
| NXPI | 2022-01-31 | 174.11 | 1.0302 | 0.6413 | no |
| PNR | 2022-01-31 | 59.23 | 1.1096 | 0.5144 | no |
| POOL | 2022-01-31 | 427.28 | 0.6265 | 0.5015 | no |
| PWR | 2022-01-31 | 96.89 | 1.0045 | 0.5097 | no |
| RCL | 2022-01-31 | 71.78 | 0.9227 | 0.5029 | no |
| SNPS | 2022-01-31 | 296.36 | 0.7829 | 0.5588 | no |
| TSLA | 2022-01-31 | 290.90 | 1.7493 | 0.4813 | no |
| TYL | 2022-01-31 | 450.17 | 0.8791 | 0.5052 | no |
| UAL | 2022-01-31 | 40.52 | 0.5579 | 0.5130 | no |
| URI | 2022-01-31 | 303.68 | 0.6169 | 0.5132 | no |
| VRSN | 2022-01-31 | 207.81 | 0.7253 | 0.4916 | no |
| WDC | 2022-01-31 | 37.24 | 0.6381 | 0.5847 | no |
| WST | 2022-01-31 | 390.14 | 0.7652 | 0.4876 | no |