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 | -4.53% | 5.95% | 2022-03-29 | -17.47% |
| buy & hold | participation factor overlay | 6 months | complete | -7.31% | 5.95% | 2022-03-29 | -22.06% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.68% | 5.73% | 2022-03-29 | -17.47% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -6.93% | 5.73% | 2022-03-29 | -22.02% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.66% | 5.98% | 2022-03-29 | -17.53% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.36% | 5.98% | 2022-03-29 | -21.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.19% | 6.14% | 2022-03-29 | -18.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -8.65% | 6.14% | 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 | 2022-02-28 | 127.75 | 1.0890 | 0.4747 | no |
| ADSK | 2022-02-28 | 218.19 | 1.2803 | 0.5358 | no |
| AMAT | 2022-02-28 | 128.84 | 1.4391 | 0.6195 | no |
| AMD | 2022-02-28 | 120.31 | 0.9674 | 0.6176 | no |
| APTV | 2022-02-28 | 132.79 | 1.0984 | 0.4893 | no |
| BR | 2022-02-28 | 134.30 | 1.2922 | 0.4616 | no |
| CARR | 2022-02-28 | 41.63 | 0.9155 | 0.4701 | no |
| CCI | 2022-02-28 | 131.05 | 1.0899 | 0.4825 | no |
| CDNS | 2022-02-28 | 151.20 | 0.9205 | 0.5592 | no |
| CDW | 2022-02-28 | 163.87 | 0.8214 | 0.5318 | no |
| CPRT | 2022-02-28 | 30.86 | 1.0342 | 0.5205 | no |
| DG | 2022-02-28 | 182.68 | 1.2115 | 0.5693 | no |
| DGX | 2022-02-28 | 118.61 | 0.8616 | 0.4761 | no |
| DHI | 2022-02-28 | 80.79 | 1.1729 | 0.4999 | no |
| DHR | 2022-02-28 | 242.55 | 0.8256 | 0.4776 | no |
| DPZ | 2022-02-28 | 393.78 | 0.8069 | 0.4968 | no |
| DXCM | 2022-02-28 | 102.34 | 0.8868 | 0.4966 | no |
| EQIX | 2022-02-28 | 642.90 | 1.2175 | 0.4478 | no |
| EXPD | 2022-02-28 | 98.85 | 0.7596 | — | no |
| FAST | 2022-02-28 | 22.84 | 1.1459 | 0.5234 | no |
| FDS | 2022-02-28 | 381.08 | 1.1278 | 0.4494 | no |
| GM | 2022-02-28 | 44.32 | 1.2110 | 0.5131 | no |
| ILMN | 2022-02-28 | 316.52 | 0.8147 | 0.4617 | no |
| IQV | 2022-02-28 | 231.37 | 1.0206 | 0.5023 | no |
| KEYS | 2022-02-28 | 158.28 | 0.9561 | 0.4482 | no |
| KLAC | 2022-02-28 | 33.84 | 1.4653 | 0.6164 | no |
| LEN | 2022-02-28 | 80.88 | 1.1100 | 0.4876 | no |
| LRCX | 2022-02-28 | 54.02 | 1.4859 | 0.6178 | no |
| MCHP | 2022-02-28 | 64.25 | 1.0382 | 0.6119 | no |
| MHK | 2022-02-28 | 141.16 | 1.4571 | 0.4849 | no |
| MSI | 2022-02-28 | 207.43 | 1.0217 | 0.5183 | no |
| MTCH | 2022-02-28 | 107.77 | 1.0657 | 0.4364 | no |
| NCLH | 2022-02-28 | 19.27 | 0.9372 | 0.4462 | no |
| NVDA | 2022-02-28 | 23.89 | 0.7534 | 0.6079 | no |
| NXPI | 2022-02-28 | 175.06 | 0.9492 | 0.6170 | no |
| PFE | 2022-02-28 | 36.53 | 0.9669 | 0.4958 | no |
| PHM | 2022-02-28 | 47.48 | 1.1647 | 0.5199 | no |
| POOL | 2022-02-28 | 410.74 | 0.8522 | 0.5585 | no |
| ROST | 2022-02-28 | 86.57 | 1.0705 | 0.4298 | no |
| SBAC | 2022-02-28 | 279.88 | 1.3371 | 0.4843 | no |
| SNPS | 2022-02-28 | 307.70 | 1.2487 | 0.5631 | no |
| SPG | 2022-02-28 | 106.76 | 0.8484 | 0.5000 | no |
| SWK | 2022-02-28 | 132.88 | 1.3255 | 0.5112 | no |
| TMO | 2022-02-28 | 537.60 | 1.0690 | 0.4632 | no |
| TRMB | 2022-02-28 | 68.75 | 0.9843 | 0.5681 | no |
| TSLA | 2022-02-28 | 271.67 | 1.5491 | 0.4813 | no |
| TXN | 2022-02-28 | 148.24 | 0.7933 | 0.6227 | no |
| VRSN | 2022-02-28 | 207.29 | 0.9106 | 0.5197 | no |
| WAT | 2022-02-28 | 320.37 | 0.7675 | 0.4631 | no |
| WST | 2022-02-28 | 380.59 | 1.3117 | 0.5204 | no |