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 | -3.19% | 5.10% | 2022-03-29 | -15.67% |
| buy & hold | participation factor overlay | 6 months | complete | -6.97% | 5.10% | 2022-03-29 | -20.54% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.14% | 5.38% | 2022-03-29 | -15.94% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -6.70% | 5.38% | 2022-03-29 | -20.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.60% | 7.74% | 2022-03-29 | -17.09% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.65% | 7.74% | 2022-03-29 | -20.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.54% | 7.22% | 2022-03-29 | -19.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.56% | 7.22% | 2022-03-29 | -23.23% |
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 | 0.9168 | 0.4747 | no |
| ADSK | 2022-02-28 | 218.19 | 1.2053 | 0.5358 | no |
| ALLE | 2022-02-28 | 107.09 | 0.7139 | 0.4716 | no |
| AMAT | 2022-02-28 | 128.84 | 1.4045 | 0.6195 | no |
| APTV | 2022-02-28 | 132.79 | 0.8249 | 0.4893 | no |
| BEN | 2022-02-28 | 23.43 | 0.9454 | 0.5085 | no |
| BR | 2022-02-28 | 134.30 | 1.0647 | 0.4616 | no |
| CCI | 2022-02-28 | 131.05 | 1.0360 | 0.4825 | no |
| CDNS | 2022-02-28 | 151.20 | 0.9139 | 0.5592 | no |
| CPRT | 2022-02-28 | 30.86 | 0.8188 | 0.5205 | no |
| CSCO | 2022-02-28 | 48.79 | 0.8246 | 0.5213 | no |
| DG | 2022-02-28 | 182.68 | 1.1091 | 0.5693 | no |
| DGX | 2022-02-28 | 118.61 | 0.7966 | 0.4761 | no |
| DHI | 2022-02-28 | 80.79 | 1.0238 | 0.4999 | no |
| DHR | 2022-02-28 | 242.55 | 0.8070 | 0.4776 | no |
| DPZ | 2022-02-28 | 393.78 | 0.8227 | 0.4968 | no |
| EQIX | 2022-02-28 | 642.90 | 1.0698 | 0.4478 | no |
| EXPD | 2022-02-28 | 98.85 | 0.9504 | — | no |
| FAST | 2022-02-28 | 22.84 | 1.0656 | 0.5234 | no |
| FDS | 2022-02-28 | 381.08 | 0.8359 | 0.4494 | no |
| FRT | 2022-02-28 | 97.29 | 0.8420 | 0.4844 | no |
| GM | 2022-02-28 | 44.32 | 1.0857 | 0.5131 | no |
| ILMN | 2022-02-28 | 316.52 | 0.7513 | 0.4617 | no |
| IQV | 2022-02-28 | 231.37 | 0.8155 | 0.5023 | no |
| J | 2022-02-28 | 96.60 | 0.8905 | 0.5205 | no |
| KLAC | 2022-02-28 | 33.84 | 1.3976 | 0.6164 | no |
| LEN | 2022-02-28 | 80.88 | 1.1313 | 0.4876 | no |
| LOW | 2022-02-28 | 198.57 | 0.8731 | 0.5445 | no |
| LRCX | 2022-02-28 | 54.02 | 1.5314 | 0.6178 | no |
| MAS | 2022-02-28 | 51.31 | 0.7083 | 0.5326 | no |
| MCHP | 2022-02-28 | 64.25 | 0.9418 | 0.6119 | no |
| MHK | 2022-02-28 | 141.16 | 1.4239 | 0.4849 | no |
| MSI | 2022-02-28 | 207.43 | 0.8431 | 0.5183 | no |
| MTCH | 2022-02-28 | 107.77 | 1.0912 | 0.4364 | no |
| NVDA | 2022-02-28 | 23.89 | 0.7233 | 0.6079 | no |
| NVR | 2022-02-28 | 4875.00 | 0.7347 | — | no |
| NXPI | 2022-02-28 | 175.06 | 0.9291 | 0.6170 | no |
| PFE | 2022-02-28 | 36.53 | 1.1768 | 0.4958 | no |
| PHM | 2022-02-28 | 47.48 | 1.1656 | 0.5199 | no |
| POOL | 2022-02-28 | 410.74 | 0.8415 | 0.5585 | no |
| ROST | 2022-02-28 | 86.57 | 0.9442 | 0.4298 | no |
| SBAC | 2022-02-28 | 279.88 | 1.2455 | 0.4843 | no |
| SNPS | 2022-02-28 | 307.70 | 1.1735 | 0.5631 | no |
| SPG | 2022-02-28 | 106.76 | 0.8545 | 0.5000 | no |
| SWK | 2022-02-28 | 132.88 | 1.1726 | 0.5112 | no |
| TMO | 2022-02-28 | 537.60 | 0.7795 | 0.4632 | no |
| TRMB | 2022-02-28 | 68.75 | 0.7186 | 0.5681 | no |
| TSLA | 2022-02-28 | 271.67 | 1.3188 | 0.4813 | no |
| TXN | 2022-02-28 | 148.24 | 0.9482 | 0.6227 | no |
| WST | 2022-02-28 | 380.59 | 0.7824 | 0.5204 | no |