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 | -5.09% | 8.66% | 2022-02-09 | -14.61% |
| buy & hold | participation factor overlay | 6 months | complete | -7.79% | 8.66% | 2022-02-09 | -26.74% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.03% | 8.55% | 2022-02-09 | -15.34% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.64% | 8.55% | 2022-02-09 | -27.42% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.11% | 7.63% | 2022-02-09 | -12.05% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.91% | 7.63% | 2022-02-09 | -21.61% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.09% | 7.49% | 2022-02-09 | -12.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -7.65% | 7.49% | 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 | 2022-01-31 | 132.87 | 1.0604 | 0.4887 | no |
| AAL | 2022-01-31 | 15.55 | 1.4293 | 0.4807 | no |
| ADI | 2022-01-31 | 146.19 | 0.6506 | 0.6517 | no |
| ALB | 2022-01-31 | 195.04 | 1.3003 | 0.5579 | no |
| AMAT | 2022-01-31 | 127.74 | 1.0103 | 0.6530 | no |
| AMD | 2022-01-31 | 107.93 | 1.1708 | 0.6346 | no |
| AMZN | 2022-01-31 | 144.75 | 0.8643 | 0.5162 | no |
| ANET | 2022-01-31 | 30.24 | 0.9084 | 0.5405 | no |
| AVGO | 2022-01-31 | 51.63 | 1.1613 | 0.6418 | no |
| BA | 2022-01-31 | 190.73 | 0.9494 | 0.5072 | no |
| CARR | 2022-01-31 | 43.49 | 1.3218 | 0.4702 | no |
| CCL | 2022-01-31 | 18.48 | 0.7591 | 0.4432 | no |
| CHTR | 2022-01-31 | 588.99 | 0.6506 | 0.4353 | no |
| DHI | 2022-01-31 | 81.85 | 0.8053 | 0.5070 | no |
| DLTR | 2022-01-31 | 128.21 | 0.6249 | 0.5658 | no |
| DPZ | 2022-01-31 | 411.81 | 1.2353 | 0.4904 | no |
| FTNT | 2022-01-31 | 56.43 | 1.1937 | 0.5761 | no |
| GM | 2022-01-31 | 48.40 | 1.4523 | 0.4934 | no |
| ILMN | 2022-01-31 | 321.78 | 0.6719 | 0.4510 | no |
| INTU | 2022-01-31 | 517.90 | 1.0817 | 0.4745 | no |
| IQV | 2022-01-31 | 238.93 | 0.6833 | 0.5027 | no |
| IRM | 2022-01-31 | 37.49 | 1.0773 | 0.4927 | no |
| IT | 2022-01-31 | 287.50 | 1.4050 | 0.4583 | no |
| IVZ | 2022-01-31 | 17.58 | 0.8542 | 0.4883 | no |
| KLAC | 2022-01-31 | 34.98 | 0.7115 | 0.6312 | no |
| LEN | 2022-01-31 | 83.96 | 0.8573 | 0.4986 | no |
| LIN | 2022-01-31 | 290.74 | 0.6182 | 0.5561 | no |
| LRCX | 2022-01-31 | 53.75 | 1.4668 | 0.6314 | no |
| LUV | 2022-01-31 | 39.03 | 0.7826 | 0.5417 | no |
| MCHP | 2022-01-31 | 66.63 | 1.1944 | 0.6294 | no |
| MGM | 2022-01-31 | 41.47 | 1.0341 | 0.5235 | no |
| MHK | 2022-01-31 | 150.26 | 0.9714 | 0.5083 | no |
| MU | 2022-01-31 | 77.19 | 0.6098 | 0.6316 | no |
| NCLH | 2022-01-31 | 19.55 | 0.9439 | 0.4992 | no |
| NUE | 2022-01-31 | 93.03 | 1.1865 | 0.6724 | no |
| NVDA | 2022-01-31 | 23.08 | 1.4347 | 0.6142 | no |
| NXPI | 2022-01-31 | 174.11 | 0.8567 | 0.6413 | no |
| PNR | 2022-01-31 | 59.23 | 0.9556 | 0.5144 | no |
| POOL | 2022-01-31 | 427.28 | 0.6510 | 0.5015 | no |
| PWR | 2022-01-31 | 96.89 | 0.9710 | 0.5097 | no |
| RCL | 2022-01-31 | 71.78 | 1.0865 | 0.5029 | no |
| ROST | 2022-01-31 | 90.28 | 0.7711 | 0.4493 | no |
| SNPS | 2022-01-31 | 296.36 | 1.0336 | 0.5588 | no |
| TSLA | 2022-01-31 | 290.90 | 1.4224 | 0.4813 | no |
| TYL | 2022-01-31 | 450.17 | 1.0632 | 0.5052 | no |
| UAL | 2022-01-31 | 40.52 | 0.6767 | 0.5130 | no |
| URI | 2022-01-31 | 303.68 | 0.8520 | 0.5132 | no |
| VRSN | 2022-01-31 | 207.81 | 0.6097 | 0.4916 | no |
| WDC | 2022-01-31 | 37.24 | 0.7226 | 0.5847 | no |
| WST | 2022-01-31 | 390.14 | 0.6714 | 0.4876 | no |