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 | -12.64% | 4.15% | 2022-02-09 | -16.13% |
| buy & hold | participation factor overlay | 6 months | complete | -9.39% | 4.15% | 2022-02-09 | -27.18% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -12.46% | 4.11% | 2022-02-09 | -15.92% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.96% | 4.11% | 2022-02-09 | -26.63% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.76% | 4.15% | 2022-02-09 | -12.60% |
| weekly rebalance | participation factor overlay | 6 months | complete | -10.03% | 4.15% | 2022-02-09 | -21.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -9.60% | 4.11% | 2022-02-09 | -13.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -12.15% | 4.11% | 2022-02-09 | -23.99% |
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 | 2022-02-07 | 136.92 | 0.9215 | 0.4887 | no |
| ADI | 2022-02-07 | 148.74 | 0.9406 | 0.6342 | no |
| ALB | 2022-02-07 | 204.90 | 1.2885 | 0.5579 | no |
| AMAT | 2022-02-07 | 130.47 | 1.4056 | 0.6437 | no |
| AMD | 2022-02-07 | 123.56 | 1.0178 | 0.6179 | no |
| ANET | 2022-02-07 | 30.57 | 1.4156 | 0.5392 | no |
| AVGO | 2022-02-07 | 54.47 | 0.8984 | 0.6274 | no |
| BIO | 2022-02-07 | 630.46 | 1.2927 | 0.5368 | no |
| CCL | 2022-02-07 | 19.82 | 1.2266 | 0.4432 | no |
| CPRT | 2022-02-07 | 32.08 | 0.7526 | 0.4828 | no |
| CRL | 2022-02-07 | 336.48 | 0.7467 | 0.4651 | no |
| CTAS | 2022-02-07 | 91.50 | 0.9987 | 0.4554 | no |
| CZR | 2022-02-07 | 79.91 | 0.9209 | 0.5562 | no |
| DHI | 2022-02-07 | 80.66 | 0.9951 | 0.5138 | no |
| DPZ | 2022-02-07 | 409.06 | 1.7891 | 0.4904 | no |
| EFX | 2022-02-07 | 226.91 | 0.9907 | 0.4340 | no |
| EQIX | 2022-02-07 | 637.83 | 0.9682 | 0.4428 | no |
| F | 2022-02-07 | 13.13 | 0.7474 | 0.5172 | no |
| FTNT | 2022-02-07 | 62.28 | 1.2630 | 0.5260 | no |
| GM | 2022-02-07 | 49.35 | 1.3534 | 0.5142 | no |
| IDXX | 2022-02-07 | 523.66 | 1.4472 | 0.4888 | no |
| INTU | 2022-02-07 | 526.16 | 1.5156 | 0.4579 | no |
| IPGP | 2022-02-07 | 150.23 | 1.0672 | 0.5832 | no |
| IRM | 2022-02-07 | 38.21 | 1.2037 | 0.4927 | no |
| IT | 2022-02-07 | 294.83 | 1.3592 | 0.4583 | no |
| KEYS | 2022-02-07 | 166.21 | 0.8868 | 0.5288 | no |
| KLAC | 2022-02-07 | 36.14 | 1.0131 | 0.6157 | no |
| LEN | 2022-02-07 | 81.98 | 1.3005 | 0.4986 | no |
| LRCX | 2022-02-07 | 55.42 | 1.5667 | 0.6176 | no |
| MCHP | 2022-02-07 | 66.26 | 1.2983 | 0.6119 | no |
| MHK | 2022-02-07 | 151.43 | 1.3354 | 0.5083 | no |
| MSCI | 2022-02-07 | 521.88 | 1.2480 | 0.4453 | no |
| NCLH | 2022-02-07 | 20.41 | 1.0970 | 0.4992 | no |
| NUE | 2022-02-07 | 105.61 | 0.7946 | 0.6724 | no |
| NVDA | 2022-02-07 | 24.27 | 1.3590 | 0.5986 | no |
| NXPI | 2022-02-07 | 181.44 | 0.8665 | 0.6169 | no |
| PENN | 2022-02-07 | 45.31 | 1.5450 | 0.5440 | no |
| POOL | 2022-02-07 | 420.58 | 1.0273 | 0.5015 | no |
| PWR | 2022-02-07 | 99.32 | 1.2739 | 0.5097 | no |
| QRVO | 2022-02-07 | 131.86 | 0.7509 | — | no |
| SBAC | 2022-02-07 | 296.25 | 0.8691 | 0.4843 | no |
| SNPS | 2022-02-07 | 309.52 | 1.4561 | 0.5541 | no |
| SWK | 2022-02-07 | 135.12 | 0.8023 | 0.5140 | no |
| TECH | 2022-02-07 | 100.34 | 1.1371 | 0.5326 | no |
| TSLA | 2022-02-07 | 307.93 | 1.4501 | 0.4813 | no |
| TYL | 2022-02-07 | 471.34 | 0.9426 | 0.4967 | no |
| VRSK | 2022-02-07 | 191.17 | 1.0649 | 0.4596 | no |
| VRSN | 2022-02-07 | 214.85 | 0.8823 | 0.4854 | no |
| WST | 2022-02-07 | 396.14 | 0.9577 | 0.4876 | no |
| ZBRA | 2022-02-07 | 505.54 | 0.8166 | 0.4494 | no |