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 | -11.21% | 4.75% | 2022-03-29 | -18.88% |
| buy & hold | participation factor overlay | 6 months | complete | -1.58% | 4.75% | 2022-03-29 | -23.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -11.95% | 3.97% | 2022-03-29 | -19.19% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.62% | 3.97% | 2022-03-29 | -23.17% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.30% | 5.43% | 2022-03-29 | -17.14% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.17% | 5.43% | 2022-03-29 | -22.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -10.01% | 5.23% | 2022-03-29 | -19.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.37% | 5.23% | 2022-03-29 | -23.77% |
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 | 1.1724 | 0.4887 | no |
| ADI | 2022-02-14 | 143.05 | 0.9269 | 0.6328 | no |
| ALB | 2022-02-14 | 216.88 | 0.9945 | 0.5579 | no |
| AMAT | 2022-02-14 | 127.21 | 1.8153 | 0.6427 | no |
| AMD | 2022-02-14 | 115.51 | 1.4674 | 0.6169 | no |
| ANET | 2022-02-14 | 30.00 | 1.6232 | 0.5359 | no |
| AVGO | 2022-02-14 | 53.07 | 1.5515 | 0.6274 | no |
| AWK | 2022-02-14 | 135.19 | 1.0439 | — | no |
| CDNS | 2022-02-14 | 142.50 | 1.0320 | 0.5523 | no |
| COST | 2022-02-14 | 483.87 | 0.8554 | 0.5927 | no |
| CRL | 2022-02-14 | 329.25 | 1.0932 | 0.4651 | no |
| CZR | 2022-02-14 | 83.18 | 1.2723 | 0.5552 | no |
| DHI | 2022-02-14 | 79.74 | 1.5603 | 0.5025 | no |
| DHR | 2022-02-14 | 235.29 | 1.4935 | 0.4776 | no |
| DPZ | 2022-02-14 | 402.55 | 1.4385 | 0.4907 | no |
| FDS | 2022-02-14 | 386.50 | 1.1128 | 0.4505 | no |
| FTNT | 2022-02-14 | 62.22 | 1.4045 | 0.5204 | no |
| GM | 2022-02-14 | 46.84 | 1.0991 | 0.5142 | no |
| HD | 2022-02-14 | 307.85 | 1.2094 | 0.5709 | no |
| IDXX | 2022-02-14 | 514.88 | 1.3081 | 0.4888 | no |
| INTU | 2022-02-14 | 518.18 | 1.4976 | 0.4485 | no |
| IPGP | 2022-02-14 | 147.25 | 1.9201 | 0.5832 | no |
| IQV | 2022-02-14 | 243.52 | 1.1413 | 0.5027 | no |
| IRM | 2022-02-14 | 37.11 | 1.3578 | 0.4920 | no |
| IT | 2022-02-14 | 287.76 | 0.9377 | 0.4393 | no |
| KEYS | 2022-02-14 | 164.85 | 0.9936 | 0.5275 | no |
| KLAC | 2022-02-14 | 35.45 | 1.3891 | 0.6146 | no |
| LEN | 2022-02-14 | 82.04 | 1.2764 | 0.4876 | no |
| LRCX | 2022-02-14 | 53.47 | 2.2204 | 0.6169 | no |
| MCHP | 2022-02-14 | 64.63 | 1.5600 | 0.6114 | no |
| MHK | 2022-02-14 | 144.16 | 0.9775 | 0.4872 | no |
| MSFT | 2022-02-14 | 282.45 | 0.8789 | 0.5606 | no |
| NVDA | 2022-02-14 | 23.83 | 1.1123 | 0.5975 | no |
| NXPI | 2022-02-14 | 171.78 | 1.3424 | 0.6159 | no |
| PENN | 2022-02-14 | 48.72 | 0.9682 | 0.5411 | no |
| PFE | 2022-02-14 | 38.87 | 1.0169 | 0.4958 | no |
| PHM | 2022-02-14 | 45.61 | 0.9422 | 0.5220 | no |
| PWR | 2022-02-14 | 99.36 | 1.5361 | 0.5093 | no |
| QRVO | 2022-02-14 | 127.65 | 1.3213 | — | no |
| SBAC | 2022-02-14 | 287.48 | 0.9372 | 0.4843 | no |
| SNPS | 2022-02-14 | 293.70 | 1.5924 | 0.5524 | no |
| TECH | 2022-02-14 | 102.51 | 1.3693 | 0.5326 | no |
| TMO | 2022-02-14 | 556.74 | 0.8920 | 0.4632 | no |
| TSLA | 2022-02-14 | 287.19 | 1.7782 | 0.4813 | no |
| TYL | 2022-02-14 | 467.44 | 1.5801 | 0.4936 | no |
| URI | 2022-02-14 | 298.90 | 1.1601 | 0.5132 | no |
| VRSK | 2022-02-14 | 186.95 | 1.0679 | 0.4617 | no |
| VRSN | 2022-02-14 | 210.85 | 1.6533 | 0.5230 | no |
| WHR | 2022-02-14 | 154.53 | 1.1027 | 0.5210 | no |
| WST | 2022-02-14 | 386.07 | 1.6791 | 0.4876 | no |