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 | -10.62% | 5.03% | 2022-03-29 | -18.57% |
| buy & hold | participation factor overlay | 6 months | complete | -1.08% | 5.03% | 2022-03-29 | -22.67% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.57% | 5.00% | 2022-03-29 | -18.71% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.99% | 5.00% | 2022-03-29 | -22.12% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.71% | 5.45% | 2022-03-29 | -17.66% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.65% | 5.45% | 2022-03-29 | -21.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -10.35% | 5.33% | 2022-03-29 | -19.32% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.10% | 5.33% | 2022-03-29 | -23.74% |
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 | 1.4373 | 0.4887 | no |
| ADI | 2022-02-14 | 143.05 | 0.9184 | 0.6328 | no |
| ALB | 2022-02-14 | 216.88 | 1.2149 | 0.5579 | no |
| AMAT | 2022-02-14 | 127.21 | 1.7505 | 0.6427 | no |
| AMD | 2022-02-14 | 115.51 | 1.2400 | 0.6169 | no |
| AMT | 2022-02-14 | 205.45 | 0.9402 | 0.4963 | no |
| ANET | 2022-02-14 | 30.00 | 1.7860 | 0.5359 | no |
| AVGO | 2022-02-14 | 53.07 | 1.6951 | 0.6274 | no |
| CDNS | 2022-02-14 | 142.50 | 1.1344 | 0.5523 | no |
| COST | 2022-02-14 | 483.87 | 0.8812 | 0.5927 | no |
| CRL | 2022-02-14 | 329.25 | 1.2056 | 0.4651 | no |
| CTAS | 2022-02-14 | 90.13 | 1.0619 | 0.4551 | no |
| CZR | 2022-02-14 | 83.18 | 1.3134 | 0.5552 | no |
| DHI | 2022-02-14 | 79.74 | 1.5449 | 0.5025 | no |
| DHR | 2022-02-14 | 235.29 | 1.5745 | 0.4776 | no |
| DPZ | 2022-02-14 | 402.55 | 1.3211 | 0.4907 | no |
| FDS | 2022-02-14 | 386.50 | 1.2122 | 0.4505 | no |
| FTNT | 2022-02-14 | 62.22 | 1.5623 | 0.5204 | no |
| GM | 2022-02-14 | 46.84 | 1.0768 | 0.5142 | no |
| HD | 2022-02-14 | 307.85 | 1.1737 | 0.5709 | no |
| IDXX | 2022-02-14 | 514.88 | 1.1529 | 0.4888 | no |
| INTU | 2022-02-14 | 518.18 | 1.4898 | 0.4485 | no |
| IPGP | 2022-02-14 | 147.25 | 1.8571 | 0.5832 | no |
| IQV | 2022-02-14 | 243.52 | 1.2183 | 0.5027 | no |
| IRM | 2022-02-14 | 37.11 | 1.5574 | 0.4920 | no |
| IT | 2022-02-14 | 287.76 | 1.1140 | 0.4393 | no |
| KLAC | 2022-02-14 | 35.45 | 1.4131 | 0.6146 | no |
| LEN | 2022-02-14 | 82.04 | 1.1889 | 0.4876 | no |
| LRCX | 2022-02-14 | 53.47 | 2.0799 | 0.6169 | no |
| MCHP | 2022-02-14 | 64.63 | 1.4501 | 0.6114 | no |
| MHK | 2022-02-14 | 144.16 | 0.8883 | 0.4872 | no |
| NVDA | 2022-02-14 | 23.83 | 1.2063 | 0.5975 | no |
| NXPI | 2022-02-14 | 171.78 | 1.3458 | 0.6159 | no |
| ORCL | 2022-02-14 | 74.93 | 0.9764 | 0.6092 | no |
| PENN | 2022-02-14 | 48.72 | 0.9073 | 0.5411 | no |
| PFE | 2022-02-14 | 38.87 | 0.9413 | 0.4958 | no |
| PHM | 2022-02-14 | 45.61 | 0.9151 | 0.5220 | no |
| PWR | 2022-02-14 | 99.36 | 1.7175 | 0.5093 | no |
| QRVO | 2022-02-14 | 127.65 | 1.3068 | — | no |
| SBAC | 2022-02-14 | 287.48 | 0.9765 | 0.4843 | no |
| SNPS | 2022-02-14 | 293.70 | 1.7154 | 0.5524 | no |
| TECH | 2022-02-14 | 102.51 | 1.3171 | 0.5326 | no |
| TSLA | 2022-02-14 | 287.19 | 1.6704 | 0.4813 | no |
| TYL | 2022-02-14 | 467.44 | 1.6613 | 0.4936 | no |
| ULTA | 2022-02-14 | 363.68 | 0.9273 | 0.4678 | no |
| URI | 2022-02-14 | 298.90 | 1.3051 | 0.5132 | no |
| VRSK | 2022-02-14 | 186.95 | 1.1664 | 0.4617 | no |
| VRSN | 2022-02-14 | 210.85 | 1.4603 | 0.5230 | no |
| WHR | 2022-02-14 | 154.53 | 0.9536 | 0.5210 | no |
| WST | 2022-02-14 | 386.07 | 1.6462 | 0.4876 | no |