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 | -10.84% | 4.82% | 2022-03-29 | -18.68% |
| buy & hold | participation factor overlay | 6 months | complete | -1.63% | 4.82% | 2022-03-29 | -23.23% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -11.70% | 4.25% | 2022-03-29 | -19.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.02% | 4.25% | 2022-03-29 | -23.56% |
| weekly rebalance | participation factor overlay | 3 months | complete | -9.24% | 4.84% | 2022-03-29 | -17.53% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.20% | 4.84% | 2022-03-29 | -21.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -10.14% | 4.70% | 2022-03-29 | -18.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.07% | 4.70% | 2022-03-29 | -23.07% |
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 | 2022-02-14 | 132.52 | 1.1799 | 0.4887 | no |
| AAL | 2022-02-14 | 17.85 | 1.1105 | 0.4807 | no |
| ADI | 2022-02-14 | 143.05 | 0.8830 | 0.6328 | no |
| ALB | 2022-02-14 | 216.88 | 1.2041 | 0.5579 | no |
| AMAT | 2022-02-14 | 127.21 | 1.5891 | 0.6427 | no |
| AMD | 2022-02-14 | 115.51 | 1.4282 | 0.6169 | no |
| ANET | 2022-02-14 | 30.00 | 1.6188 | 0.5359 | no |
| AVGO | 2022-02-14 | 53.07 | 1.5508 | 0.6274 | no |
| AWK | 2022-02-14 | 135.19 | 0.9158 | — | no |
| CDNS | 2022-02-14 | 142.50 | 0.9842 | 0.5523 | no |
| CRL | 2022-02-14 | 329.25 | 1.0698 | 0.4651 | no |
| CTAS | 2022-02-14 | 90.13 | 1.0553 | 0.4551 | no |
| CZR | 2022-02-14 | 83.18 | 1.6014 | 0.5552 | no |
| DHI | 2022-02-14 | 79.74 | 1.3684 | 0.5025 | no |
| DHR | 2022-02-14 | 235.29 | 1.4540 | 0.4776 | no |
| DPZ | 2022-02-14 | 402.55 | 1.3812 | 0.4907 | no |
| FDS | 2022-02-14 | 386.50 | 1.1111 | 0.4505 | no |
| FTNT | 2022-02-14 | 62.22 | 1.4662 | 0.5204 | no |
| GM | 2022-02-14 | 46.84 | 0.9418 | 0.5142 | no |
| HD | 2022-02-14 | 307.85 | 1.0085 | 0.5709 | no |
| IDXX | 2022-02-14 | 514.88 | 1.3232 | 0.4888 | no |
| INTU | 2022-02-14 | 518.18 | 1.6001 | 0.4485 | no |
| IPGP | 2022-02-14 | 147.25 | 1.6626 | 0.5832 | no |
| IQV | 2022-02-14 | 243.52 | 0.8880 | 0.5027 | no |
| IRM | 2022-02-14 | 37.11 | 1.4321 | 0.4920 | no |
| IT | 2022-02-14 | 287.76 | 0.9854 | 0.4393 | no |
| KEYS | 2022-02-14 | 164.85 | 0.8869 | 0.5275 | no |
| KLAC | 2022-02-14 | 35.45 | 1.3885 | 0.6146 | no |
| LEN | 2022-02-14 | 82.04 | 1.1027 | 0.4876 | no |
| LRCX | 2022-02-14 | 53.47 | 1.9665 | 0.6169 | no |
| MCHP | 2022-02-14 | 64.63 | 1.6156 | 0.6114 | no |
| MHK | 2022-02-14 | 144.16 | 1.0917 | 0.4872 | no |
| NVDA | 2022-02-14 | 23.83 | 1.1506 | 0.5975 | no |
| NXPI | 2022-02-14 | 171.78 | 1.1765 | 0.6159 | no |
| PENN | 2022-02-14 | 48.72 | 1.0011 | 0.5411 | no |
| PFE | 2022-02-14 | 38.87 | 1.0582 | 0.4958 | no |
| PHM | 2022-02-14 | 45.61 | 0.9030 | 0.5220 | no |
| PWR | 2022-02-14 | 99.36 | 1.6704 | 0.5093 | no |
| QRVO | 2022-02-14 | 127.65 | 1.3626 | — | no |
| SBAC | 2022-02-14 | 287.48 | 1.0639 | 0.4843 | no |
| SNPS | 2022-02-14 | 293.70 | 1.5994 | 0.5524 | no |
| TECH | 2022-02-14 | 102.51 | 1.4002 | 0.5326 | no |
| TSLA | 2022-02-14 | 287.19 | 1.3941 | 0.4813 | no |
| TYL | 2022-02-14 | 467.44 | 1.5404 | 0.4936 | no |
| ULTA | 2022-02-14 | 363.68 | 0.8590 | 0.4678 | no |
| URI | 2022-02-14 | 298.90 | 1.2013 | 0.5132 | no |
| VRSK | 2022-02-14 | 186.95 | 1.0837 | 0.4617 | no |
| VRSN | 2022-02-14 | 210.85 | 1.4364 | 0.5230 | no |
| WHR | 2022-02-14 | 154.53 | 1.1428 | 0.5210 | no |
| WST | 2022-02-14 | 386.07 | 1.6820 | 0.4876 | no |