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 | -12.10% | 3.98% | 2022-02-09 | -15.47% |
| buy & hold | participation factor overlay | 6 months | complete | -9.64% | 3.98% | 2022-02-09 | -26.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -12.79% | 4.08% | 2022-02-09 | -16.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -10.04% | 4.08% | 2022-02-09 | -27.15% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.47% | 3.98% | 2022-02-09 | -11.98% |
| weekly rebalance | participation factor overlay | 6 months | complete | -10.97% | 3.98% | 2022-02-09 | -22.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -9.75% | 4.08% | 2022-02-09 | -13.28% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -12.43% | 4.08% | 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 | 2022-02-07 | 136.92 | 1.0908 | 0.4887 | no |
| ADI | 2022-02-07 | 148.74 | 0.7670 | 0.6342 | no |
| ALB | 2022-02-07 | 204.90 | 1.3515 | 0.5579 | no |
| AMAT | 2022-02-07 | 130.47 | 1.7658 | 0.6437 | no |
| AMD | 2022-02-07 | 123.56 | 0.8120 | 0.6179 | no |
| ANET | 2022-02-07 | 30.57 | 1.4407 | 0.5392 | no |
| AVGO | 2022-02-07 | 54.47 | 1.0371 | 0.6274 | no |
| BIO | 2022-02-07 | 630.46 | 1.1044 | 0.5368 | no |
| CCL | 2022-02-07 | 19.82 | 0.9286 | 0.4432 | no |
| CRL | 2022-02-07 | 336.48 | 1.1008 | 0.4651 | no |
| CTAS | 2022-02-07 | 91.50 | 1.0964 | 0.4554 | no |
| CZR | 2022-02-07 | 79.91 | 0.9900 | 0.5562 | no |
| DHI | 2022-02-07 | 80.66 | 1.1137 | 0.5138 | no |
| DPZ | 2022-02-07 | 409.06 | 1.7690 | 0.4904 | no |
| EQIX | 2022-02-07 | 637.83 | 1.2129 | 0.4428 | no |
| FDS | 2022-02-07 | 398.32 | 0.9476 | 0.4507 | no |
| FTNT | 2022-02-07 | 62.28 | 1.3316 | 0.5260 | no |
| GM | 2022-02-07 | 49.35 | 1.0119 | 0.5142 | no |
| IDXX | 2022-02-07 | 523.66 | 1.4188 | 0.4888 | no |
| INTU | 2022-02-07 | 526.16 | 1.5517 | 0.4579 | no |
| IPGP | 2022-02-07 | 150.23 | 1.2526 | 0.5832 | no |
| IRM | 2022-02-07 | 38.21 | 1.0241 | 0.4927 | no |
| IT | 2022-02-07 | 294.83 | 1.4308 | 0.4583 | no |
| KEYS | 2022-02-07 | 166.21 | 0.7780 | 0.5288 | no |
| KLAC | 2022-02-07 | 36.14 | 0.9560 | 0.6157 | no |
| LEN | 2022-02-07 | 81.98 | 1.2964 | 0.4986 | no |
| LRCX | 2022-02-07 | 55.42 | 1.6909 | 0.6176 | no |
| MCHP | 2022-02-07 | 66.26 | 1.3279 | 0.6119 | no |
| MHK | 2022-02-07 | 151.43 | 1.0883 | 0.5083 | no |
| MSCI | 2022-02-07 | 521.88 | 1.1498 | 0.4453 | no |
| NCLH | 2022-02-07 | 20.41 | 1.0248 | 0.4992 | no |
| NUE | 2022-02-07 | 105.61 | 0.9473 | 0.6724 | no |
| NVDA | 2022-02-07 | 24.27 | 1.3433 | 0.5986 | no |
| NXPI | 2022-02-07 | 181.44 | 0.9147 | 0.6169 | no |
| PENN | 2022-02-07 | 45.31 | 1.3838 | 0.5440 | no |
| PFE | 2022-02-07 | 41.58 | 0.7492 | 0.4834 | no |
| POOL | 2022-02-07 | 420.58 | 1.1262 | 0.5015 | no |
| PWR | 2022-02-07 | 99.32 | 1.0900 | 0.5097 | no |
| SBAC | 2022-02-07 | 296.25 | 0.8203 | 0.4843 | no |
| SNPS | 2022-02-07 | 309.52 | 1.7131 | 0.5541 | no |
| SWK | 2022-02-07 | 135.12 | 0.7823 | 0.5140 | no |
| TECH | 2022-02-07 | 100.34 | 0.8886 | 0.5326 | no |
| TSLA | 2022-02-07 | 307.93 | 1.7554 | 0.4813 | no |
| TYL | 2022-02-07 | 471.34 | 0.9614 | 0.4967 | no |
| UAA | 2022-02-07 | 19.61 | 0.7689 | 0.4777 | no |
| ULTA | 2022-02-07 | 366.25 | 0.7383 | 0.4766 | no |
| VRSK | 2022-02-07 | 191.17 | 1.0473 | 0.4596 | no |
| VRSN | 2022-02-07 | 214.85 | 1.1214 | 0.4854 | no |
| WHR | 2022-02-07 | 159.66 | 0.8673 | 0.5240 | no |
| ZBRA | 2022-02-07 | 505.54 | 0.8462 | 0.4494 | no |