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 | -2.66% | 9.02% | 2022-03-29 | -16.73% |
| buy & hold | participation factor overlay | 6 months | complete | -8.95% | 9.02% | 2022-03-29 | -24.43% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.77% | 9.22% | 2022-03-29 | -17.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.82% | 9.22% | 2022-03-29 | -24.68% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.78% | 7.80% | 2022-03-29 | -17.14% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.05% | 7.80% | 2022-03-29 | -22.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.40% | 8.22% | 2022-03-29 | -19.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.46% | 8.22% | 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 | 2022-03-07 | 129.22 | 0.7413 | 0.4747 | no |
| AAL | 2022-03-07 | 14.32 | 1.6151 | 0.4795 | no |
| AAP | 2022-03-07 | 184.56 | 0.9546 | 0.5759 | no |
| AMAT | 2022-03-07 | 122.81 | 1.0872 | 0.6195 | no |
| ANET | 2022-03-07 | 29.71 | 0.8402 | 0.5311 | no |
| BA | 2022-03-07 | 181.03 | 1.0644 | 0.5119 | no |
| BAC | 2022-03-07 | 35.67 | 0.8912 | 0.5067 | no |
| BEN | 2022-03-07 | 22.24 | 0.8659 | 0.5085 | no |
| BIIB | 2022-03-07 | 208.23 | 0.8691 | 0.5082 | no |
| BKNG | 2022-03-07 | 76.99 | 0.9859 | 0.4831 | no |
| BR | 2022-03-07 | 135.34 | 0.9405 | 0.4616 | no |
| BWA | 2022-03-07 | 30.43 | 1.0551 | 0.5240 | no |
| C | 2022-03-07 | 47.10 | 0.8777 | 0.5236 | no |
| CCL | 2022-03-07 | 17.03 | 1.2068 | 0.4372 | no |
| CDW | 2022-03-07 | 160.19 | 1.3140 | 0.5318 | no |
| DAL | 2022-03-07 | 32.82 | 1.5216 | 0.5005 | no |
| DHI | 2022-03-07 | 81.87 | 1.2674 | 0.4999 | no |
| DHR | 2022-03-07 | 234.62 | 1.3203 | 0.4776 | no |
| EBAY | 2022-03-07 | 50.96 | 0.7471 | 0.5095 | no |
| FDX | 2022-03-07 | 155.59 | 1.1353 | 0.5367 | no |
| IFF | 2022-03-07 | 108.71 | 1.0353 | 0.5107 | no |
| IQV | 2022-03-07 | 223.87 | 0.9836 | 0.5023 | no |
| IVZ | 2022-03-07 | 15.44 | 0.8631 | 0.4887 | no |
| KLAC | 2022-03-07 | 32.03 | 1.8226 | 0.6164 | no |
| LEN | 2022-03-07 | 80.35 | 1.0961 | 0.4876 | no |
| LOW | 2022-03-07 | 204.76 | 0.8588 | 0.5445 | no |
| LRCX | 2022-03-07 | 50.32 | 1.3054 | 0.6178 | no |
| LUV | 2022-03-07 | 37.08 | 0.7494 | 0.5408 | no |
| MCHP | 2022-03-07 | 61.25 | 0.9066 | 0.6119 | no |
| MPWR | 2022-03-07 | 402.61 | 1.1992 | 0.6165 | no |
| MS | 2022-03-07 | 73.52 | 1.5231 | 0.4682 | no |
| MSI | 2022-03-07 | 210.37 | 0.8114 | 0.5183 | no |
| NCLH | 2022-03-07 | 17.17 | 1.3246 | 0.4462 | no |
| NTRS | 2022-03-07 | 92.47 | 1.0330 | 0.4897 | no |
| NVR | 2022-03-07 | 4905.47 | 1.3960 | — | no |
| PFE | 2022-03-07 | 37.64 | 1.1730 | 0.4958 | no |
| PH | 2022-03-07 | 267.42 | 0.7760 | 0.5326 | no |
| POOL | 2022-03-07 | 433.79 | 0.8505 | 0.5585 | no |
| QCOM | 2022-03-07 | 146.76 | 0.7315 | 0.5749 | no |
| RCL | 2022-03-07 | 66.04 | 0.8018 | 0.4811 | no |
| SCHW | 2022-03-07 | 73.64 | 0.9327 | — | no |
| SPG | 2022-03-07 | 105.24 | 1.3252 | 0.5000 | no |
| STT | 2022-03-07 | 69.16 | 1.0421 | 0.4929 | no |
| SWK | 2022-03-07 | 135.31 | 0.9888 | 0.5112 | no |
| SYF | 2022-03-07 | 33.27 | 0.9637 | 0.4799 | no |
| TECH | 2022-03-07 | 101.87 | 0.8722 | 0.5326 | no |
| TMO | 2022-03-07 | 534.53 | 1.1198 | 0.4632 | no |
| TSLA | 2022-03-07 | 285.43 | 2.0097 | 0.4855 | no |
| UAL | 2022-03-07 | 36.14 | 1.2502 | 0.5125 | no |
| WST | 2022-03-07 | 380.56 | 1.1182 | 0.5204 | no |