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 | -2.37% | 8.68% | 2022-03-29 | -17.05% |
| buy & hold | participation factor overlay | 6 months | complete | -7.61% | 8.68% | 2022-03-29 | -23.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.17% | 8.95% | 2022-03-29 | -17.14% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -7.29% | 8.95% | 2022-03-29 | -23.67% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.54% | 8.20% | 2022-03-29 | -17.66% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.33% | 8.20% | 2022-03-29 | -21.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.06% | 8.33% | 2022-03-29 | -19.32% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.14% | 8.33% | 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 | 2022-03-07 | 129.22 | 0.9704 | 0.4747 | no |
| AAL | 2022-03-07 | 14.32 | 1.7052 | 0.4795 | no |
| AMAT | 2022-03-07 | 122.81 | 1.3345 | 0.6195 | no |
| ANET | 2022-03-07 | 29.71 | 0.9144 | 0.5311 | no |
| BA | 2022-03-07 | 181.03 | 1.0474 | 0.5119 | no |
| BEN | 2022-03-07 | 22.24 | 0.9150 | 0.5085 | no |
| BIIB | 2022-03-07 | 208.23 | 0.8761 | 0.5082 | no |
| BKNG | 2022-03-07 | 76.99 | 0.9513 | 0.4831 | no |
| BR | 2022-03-07 | 135.34 | 1.1416 | 0.4616 | no |
| BWA | 2022-03-07 | 30.43 | 0.8401 | 0.5240 | no |
| C | 2022-03-07 | 47.10 | 1.0058 | 0.5236 | no |
| CCL | 2022-03-07 | 17.03 | 1.4281 | 0.4372 | no |
| CDW | 2022-03-07 | 160.19 | 1.4118 | 0.5318 | no |
| DAL | 2022-03-07 | 32.82 | 1.2856 | 0.5005 | no |
| DHI | 2022-03-07 | 81.87 | 1.4021 | 0.4999 | no |
| DHR | 2022-03-07 | 234.62 | 1.4601 | 0.4776 | no |
| EBAY | 2022-03-07 | 50.96 | 0.8955 | 0.5095 | no |
| FDX | 2022-03-07 | 155.59 | 1.0283 | 0.5367 | no |
| IFF | 2022-03-07 | 108.71 | 0.8837 | 0.5107 | no |
| IQV | 2022-03-07 | 223.87 | 0.9364 | 0.5023 | no |
| IT | 2022-03-07 | 269.98 | 0.9584 | 0.4358 | no |
| IVZ | 2022-03-07 | 15.44 | 0.8851 | 0.4887 | no |
| KLAC | 2022-03-07 | 32.03 | 1.9176 | 0.6164 | no |
| LEN | 2022-03-07 | 80.35 | 1.2483 | 0.4876 | no |
| LOW | 2022-03-07 | 204.76 | 0.8450 | 0.5445 | no |
| LRCX | 2022-03-07 | 50.32 | 1.3930 | 0.6178 | no |
| MCHP | 2022-03-07 | 61.25 | 0.9980 | 0.6119 | no |
| MPWR | 2022-03-07 | 402.61 | 1.0777 | 0.6165 | no |
| MS | 2022-03-07 | 73.52 | 1.3187 | 0.4682 | no |
| MSI | 2022-03-07 | 210.37 | 0.8887 | 0.5183 | no |
| NCLH | 2022-03-07 | 17.17 | 1.4410 | 0.4462 | no |
| NTRS | 2022-03-07 | 92.47 | 1.0299 | 0.4897 | no |
| NVR | 2022-03-07 | 4905.47 | 1.5013 | — | no |
| PFE | 2022-03-07 | 37.64 | 1.1187 | 0.4958 | no |
| PH | 2022-03-07 | 267.42 | 0.8140 | 0.5326 | no |
| PHM | 2022-03-07 | 47.04 | 1.0250 | 0.5199 | no |
| PLD | 2022-03-07 | 130.48 | 0.9575 | 0.4452 | no |
| POOL | 2022-03-07 | 433.79 | 0.9993 | 0.5585 | no |
| QCOM | 2022-03-07 | 146.76 | 0.8280 | 0.5749 | no |
| SCHW | 2022-03-07 | 73.64 | 0.8330 | — | no |
| SNPS | 2022-03-07 | 309.72 | 0.9152 | 0.5631 | no |
| SPG | 2022-03-07 | 105.24 | 1.5095 | 0.5000 | no |
| STT | 2022-03-07 | 69.16 | 1.0583 | 0.4929 | no |
| SWK | 2022-03-07 | 135.31 | 0.8912 | 0.5112 | no |
| SYF | 2022-03-07 | 33.27 | 1.0841 | 0.4799 | no |
| TMO | 2022-03-07 | 534.53 | 1.2452 | 0.4632 | no |
| TSLA | 2022-03-07 | 285.43 | 1.8821 | 0.4855 | no |
| UAL | 2022-03-07 | 36.14 | 1.1970 | 0.5125 | no |
| VMC | 2022-03-07 | 171.06 | 0.9125 | 0.5019 | no |
| WST | 2022-03-07 | 380.56 | 1.2675 | 0.5204 | no |