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 | -1.68% | 9.15% | 2022-03-29 | -16.87% |
| buy & hold | participation factor overlay | 6 months | complete | -7.01% | 9.15% | 2022-03-29 | -23.62% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.28% | 9.25% | 2022-03-29 | -17.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -7.82% | 9.25% | 2022-03-29 | -24.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.04% | 7.38% | 2022-03-29 | -17.53% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.93% | 7.38% | 2022-03-29 | -21.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.14% | 7.32% | 2022-03-29 | -18.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.10% | 7.32% | 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 | 2022-03-07 | 129.22 | 1.0625 | 0.4747 | no |
| AAL | 2022-03-07 | 14.32 | 1.8076 | 0.4795 | no |
| AMAT | 2022-03-07 | 122.81 | 1.4796 | 0.6195 | no |
| AMT | 2022-03-07 | 204.77 | 0.8011 | 0.4662 | no |
| ANET | 2022-03-07 | 29.71 | 0.8270 | 0.5311 | no |
| BA | 2022-03-07 | 181.03 | 1.0976 | 0.5119 | no |
| BKNG | 2022-03-07 | 76.99 | 0.9174 | 0.4831 | no |
| BR | 2022-03-07 | 135.34 | 1.1737 | 0.4616 | no |
| BWA | 2022-03-07 | 30.43 | 1.0925 | 0.5240 | no |
| C | 2022-03-07 | 47.10 | 0.8097 | 0.5236 | no |
| CCL | 2022-03-07 | 17.03 | 1.4231 | 0.4372 | no |
| CDW | 2022-03-07 | 160.19 | 1.4610 | 0.5318 | no |
| DAL | 2022-03-07 | 32.82 | 1.3639 | 0.5005 | no |
| DHI | 2022-03-07 | 81.87 | 1.4274 | 0.4999 | no |
| DHR | 2022-03-07 | 234.62 | 1.4807 | 0.4776 | no |
| DOV | 2022-03-07 | 142.33 | 0.8083 | 0.4920 | no |
| EBAY | 2022-03-07 | 50.96 | 0.8585 | 0.5095 | no |
| EQIX | 2022-03-07 | 655.05 | 0.8116 | 0.4478 | no |
| FAST | 2022-03-07 | 24.20 | 0.8235 | 0.5234 | no |
| FDX | 2022-03-07 | 155.59 | 1.0266 | 0.5367 | no |
| GPC | 2022-03-07 | 107.58 | 0.7955 | 0.5751 | no |
| IFF | 2022-03-07 | 108.71 | 1.0139 | 0.5107 | no |
| IQV | 2022-03-07 | 223.87 | 1.0364 | 0.5023 | no |
| IT | 2022-03-07 | 269.98 | 0.9106 | 0.4358 | no |
| IVZ | 2022-03-07 | 15.44 | 0.8769 | 0.4887 | no |
| KLAC | 2022-03-07 | 32.03 | 2.0365 | 0.6164 | no |
| LEN | 2022-03-07 | 80.35 | 1.0926 | 0.4876 | no |
| LOW | 2022-03-07 | 204.76 | 0.8230 | 0.5445 | no |
| LRCX | 2022-03-07 | 50.32 | 1.3901 | 0.6178 | no |
| MCHP | 2022-03-07 | 61.25 | 1.1244 | 0.6119 | no |
| MPWR | 2022-03-07 | 402.61 | 1.2007 | 0.6165 | no |
| MS | 2022-03-07 | 73.52 | 1.2975 | 0.4682 | no |
| MSI | 2022-03-07 | 210.37 | 1.0846 | 0.5183 | no |
| NCLH | 2022-03-07 | 17.17 | 1.4059 | 0.4462 | no |
| NTRS | 2022-03-07 | 92.47 | 0.9028 | 0.4897 | no |
| NVR | 2022-03-07 | 4905.47 | 1.6989 | — | no |
| PFE | 2022-03-07 | 37.64 | 1.3324 | 0.4958 | no |
| PHM | 2022-03-07 | 47.04 | 0.8790 | 0.5199 | no |
| POOL | 2022-03-07 | 433.79 | 1.1163 | 0.5585 | no |
| RCL | 2022-03-07 | 66.04 | 0.9828 | 0.4811 | no |
| SCHW | 2022-03-07 | 73.64 | 0.9525 | — | no |
| SNPS | 2022-03-07 | 309.72 | 1.2308 | 0.5631 | no |
| SPG | 2022-03-07 | 105.24 | 1.6344 | 0.5000 | no |
| STT | 2022-03-07 | 69.16 | 0.9365 | 0.4929 | no |
| SWK | 2022-03-07 | 135.31 | 1.1047 | 0.5112 | no |
| SYF | 2022-03-07 | 33.27 | 0.9530 | 0.4799 | no |
| TMO | 2022-03-07 | 534.53 | 1.2887 | 0.4632 | no |
| TSLA | 2022-03-07 | 285.43 | 1.9782 | 0.4855 | no |
| UAL | 2022-03-07 | 36.14 | 1.3435 | 0.5125 | no |
| WST | 2022-03-07 | 380.56 | 1.4452 | 0.5204 | no |