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 | -15.16% | 9.54% | 2022-03-29 | -22.55% |
| buy & hold | participation factor overlay | 6 months | complete | -9.07% | 9.54% | 2022-03-29 | -24.97% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -14.31% | 9.66% | 2022-03-29 | -21.85% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.25% | 9.66% | 2022-03-29 | -24.24% |
| weekly rebalance | participation factor overlay | 3 months | complete | -11.83% | 9.07% | 2022-03-29 | -19.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.77% | 9.07% | 2022-03-29 | -21.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.68% | 9.26% | 2022-03-29 | -21.11% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.29% | 9.26% | 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 | 2022-03-14 | 126.76 | 1.1632 | 0.4747 | no |
| AAL | 2022-03-14 | 14.04 | 1.2845 | 0.4795 | no |
| AAP | 2022-03-14 | 181.28 | 0.8656 | 0.5759 | no |
| ALK | 2022-03-14 | 49.50 | 1.3174 | 0.4952 | no |
| ALLE | 2022-03-14 | 105.03 | 0.9518 | 0.4710 | no |
| AMAT | 2022-03-14 | 119.13 | 1.2014 | 0.6191 | no |
| AMP | 2022-03-14 | 259.13 | 0.9274 | 0.4524 | no |
| AMT | 2022-03-14 | 203.78 | 1.2118 | 0.4662 | no |
| APH | 2022-03-14 | 17.79 | 1.0410 | 0.4952 | no |
| BA | 2022-03-14 | 175.88 | 1.5991 | 0.5119 | no |
| BEN | 2022-03-14 | 22.08 | 1.0754 | 0.5085 | no |
| CCI | 2022-03-14 | 137.00 | 0.9571 | 0.4825 | no |
| CCL | 2022-03-14 | 17.03 | 1.3290 | 0.4372 | no |
| CDW | 2022-03-14 | 160.43 | 1.3085 | 0.5318 | no |
| CHTR | 2022-03-14 | 561.82 | 0.9031 | 0.4353 | no |
| COF | 2022-03-14 | 122.68 | 0.9617 | 0.5156 | no |
| CZR | 2022-03-14 | 74.69 | 0.8667 | 0.5989 | no |
| DHI | 2022-03-14 | 77.03 | 1.1568 | 0.4999 | no |
| DHR | 2022-03-14 | 228.75 | 1.3520 | 0.4776 | no |
| EXR | 2022-03-14 | 161.92 | 1.1314 | 0.4904 | no |
| FRT | 2022-03-14 | 98.15 | 0.9440 | 0.4844 | no |
| IQV | 2022-03-14 | 215.05 | 0.9589 | 0.5023 | no |
| IT | 2022-03-14 | 280.00 | 0.9561 | 0.4358 | no |
| KLAC | 2022-03-14 | 31.05 | 1.1416 | 0.6164 | no |
| LEN | 2022-03-14 | 78.11 | 1.4919 | 0.4876 | no |
| MCHP | 2022-03-14 | 62.03 | 1.2575 | 0.6119 | no |
| MGM | 2022-03-14 | 40.09 | 0.8922 | 0.5572 | no |
| MKTX | 2022-03-14 | 325.52 | 0.9773 | 0.5037 | no |
| MS | 2022-03-14 | 74.23 | 1.0344 | 0.4682 | no |
| MSI | 2022-03-14 | 210.51 | 0.9267 | 0.5183 | no |
| MTD | 2022-03-14 | 1324.54 | 1.0185 | 0.4442 | no |
| MU | 2022-03-14 | 70.14 | 1.4209 | 0.6173 | no |
| NCLH | 2022-03-14 | 17.49 | 1.1386 | 0.4462 | no |
| NTRS | 2022-03-14 | 93.55 | 1.0048 | 0.4897 | no |
| NVDA | 2022-03-14 | 21.78 | 1.4653 | 0.6075 | no |
| NVR | 2022-03-14 | 4747.99 | 1.0892 | — | no |
| NXPI | 2022-03-14 | 163.91 | 1.0472 | 0.6170 | no |
| OTIS | 2022-03-14 | 67.88 | 0.9472 | 0.4810 | no |
| PAYC | 2022-03-14 | 292.93 | 1.1286 | 0.4370 | no |
| PFE | 2022-03-14 | 39.57 | 1.1606 | 0.4958 | no |
| PHM | 2022-03-14 | 44.54 | 1.6433 | 0.5199 | no |
| QCOM | 2022-03-14 | 136.34 | 1.4680 | 0.5749 | no |
| QRVO | 2022-03-14 | 123.47 | 0.9507 | — | no |
| REG | 2022-03-14 | 55.83 | 1.1288 | 0.5104 | no |
| SNPS | 2022-03-14 | 292.07 | 1.2703 | 0.5631 | no |
| STT | 2022-03-14 | 72.35 | 1.3202 | 0.4929 | no |
| TSLA | 2022-03-14 | 260.20 | 2.2522 | 0.4855 | no |
| VMC | 2022-03-14 | 171.55 | 1.1751 | 0.5019 | no |
| WST | 2022-03-14 | 360.91 | 2.1065 | 0.5196 | no |
| WYNN | 2022-03-14 | 67.74 | 1.2366 | 0.5809 | no |