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 | -13.25% | 4.03% | 2022-02-09 | -16.60% |
| buy & hold | participation factor overlay | 6 months | complete | -10.24% | 4.03% | 2022-02-09 | -27.28% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -13.50% | 3.66% | 2022-02-09 | -16.55% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -9.65% | 3.66% | 2022-02-09 | -26.27% |
| weekly rebalance | participation factor overlay | 3 months | complete | -6.76% | 5.22% | 2022-03-29 | -11.39% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.92% | 5.22% | 2022-03-29 | -20.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -9.26% | 4.34% | 2022-03-29 | -13.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.80% | 4.34% | 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 | 2022-02-07 | 136.92 | 1.2208 | 0.4887 | no |
| ADI | 2022-02-07 | 148.74 | 0.8867 | 0.6342 | no |
| ALB | 2022-02-07 | 204.90 | 1.2547 | 0.5579 | no |
| AMAT | 2022-02-07 | 130.47 | 1.3635 | 0.6437 | no |
| AMD | 2022-02-07 | 123.56 | 0.7545 | 0.6179 | no |
| ANET | 2022-02-07 | 30.57 | 1.4642 | 0.5392 | no |
| AVGO | 2022-02-07 | 54.47 | 1.1171 | 0.6274 | no |
| BIO | 2022-02-07 | 630.46 | 1.0376 | 0.5368 | no |
| CCL | 2022-02-07 | 19.82 | 0.8416 | 0.4432 | no |
| CHTR | 2022-02-07 | 610.12 | 0.8341 | 0.4353 | no |
| CPRT | 2022-02-07 | 32.08 | 0.7872 | 0.4828 | no |
| CRL | 2022-02-07 | 336.48 | 1.0797 | 0.4651 | no |
| CTAS | 2022-02-07 | 91.50 | 0.9439 | 0.4554 | no |
| CZR | 2022-02-07 | 79.91 | 1.0095 | 0.5562 | no |
| DHI | 2022-02-07 | 80.66 | 1.0571 | 0.5138 | no |
| DPZ | 2022-02-07 | 409.06 | 1.8477 | 0.4904 | no |
| EQIX | 2022-02-07 | 637.83 | 1.1125 | 0.4428 | no |
| F | 2022-02-07 | 13.13 | 0.7832 | 0.5172 | no |
| FTNT | 2022-02-07 | 62.28 | 1.4738 | 0.5260 | no |
| GM | 2022-02-07 | 49.35 | 1.3734 | 0.5142 | no |
| IDXX | 2022-02-07 | 523.66 | 1.1683 | 0.4888 | no |
| INTU | 2022-02-07 | 526.16 | 1.6172 | 0.4579 | no |
| IPGP | 2022-02-07 | 150.23 | 1.2734 | 0.5832 | no |
| IQV | 2022-02-07 | 249.89 | 0.7614 | 0.5027 | no |
| IRM | 2022-02-07 | 38.21 | 1.1235 | 0.4927 | no |
| IT | 2022-02-07 | 294.83 | 1.4020 | 0.4583 | no |
| KLAC | 2022-02-07 | 36.14 | 0.8047 | 0.6157 | no |
| LEN | 2022-02-07 | 81.98 | 1.3035 | 0.4986 | no |
| LRCX | 2022-02-07 | 55.42 | 1.6725 | 0.6176 | no |
| MCHP | 2022-02-07 | 66.26 | 1.0835 | 0.6119 | no |
| MHK | 2022-02-07 | 151.43 | 1.5399 | 0.5083 | no |
| MSCI | 2022-02-07 | 521.88 | 1.0695 | 0.4453 | no |
| NCLH | 2022-02-07 | 20.41 | 0.7587 | 0.4992 | no |
| NUE | 2022-02-07 | 105.61 | 0.7848 | 0.6724 | no |
| NVDA | 2022-02-07 | 24.27 | 1.3553 | 0.5986 | no |
| ORCL | 2022-02-07 | 77.34 | 0.7818 | 0.6152 | no |
| PENN | 2022-02-07 | 45.31 | 1.4164 | 0.5440 | no |
| PFE | 2022-02-07 | 41.58 | 0.8217 | 0.4834 | no |
| PHM | 2022-02-07 | 47.00 | 0.7546 | 0.5282 | no |
| POOL | 2022-02-07 | 420.58 | 1.1228 | 0.5015 | no |
| PWR | 2022-02-07 | 99.32 | 1.3426 | 0.5097 | no |
| SNPS | 2022-02-07 | 309.52 | 1.5553 | 0.5541 | no |
| SWK | 2022-02-07 | 135.12 | 0.7885 | 0.5140 | no |
| TECH | 2022-02-07 | 100.34 | 0.9293 | 0.5326 | no |
| TSLA | 2022-02-07 | 307.93 | 1.7123 | 0.4813 | no |
| TYL | 2022-02-07 | 471.34 | 1.1282 | 0.4967 | no |
| UAA | 2022-02-07 | 19.61 | 0.8855 | 0.4777 | no |
| VRSK | 2022-02-07 | 191.17 | 0.8784 | 0.4596 | no |
| VRSN | 2022-02-07 | 214.85 | 0.8820 | 0.4854 | no |
| WST | 2022-02-07 | 396.14 | 0.9411 | 0.4876 | no |