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 | -14.27% | 10.84% | 2022-03-29 | -22.65% |
| buy & hold | participation factor overlay | 6 months | complete | -7.15% | 10.84% | 2022-03-29 | -24.94% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -14.29% | 10.47% | 2022-03-29 | -22.42% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -7.62% | 10.47% | 2022-03-29 | -24.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | -10.53% | 10.27% | 2022-03-29 | -18.87% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.92% | 10.27% | 2022-03-29 | -20.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.51% | 9.91% | 2022-03-29 | -21.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.88% | 9.91% | 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 | 2022-03-14 | 126.76 | 0.9846 | 0.4747 | no |
| AAL | 2022-03-14 | 14.04 | 1.2044 | 0.4795 | no |
| ALK | 2022-03-14 | 49.50 | 1.3375 | 0.4952 | no |
| AMAT | 2022-03-14 | 119.13 | 1.3722 | 0.6191 | no |
| AMT | 2022-03-14 | 203.78 | 1.1275 | 0.4662 | no |
| ANET | 2022-03-14 | 30.01 | 0.9800 | 0.5311 | no |
| APH | 2022-03-14 | 17.79 | 0.8804 | 0.4952 | no |
| BA | 2022-03-14 | 175.88 | 1.6871 | 0.5119 | no |
| BAC | 2022-03-14 | 36.54 | 1.0498 | 0.5067 | no |
| BEN | 2022-03-14 | 22.08 | 1.1087 | 0.5085 | no |
| BWA | 2022-03-14 | 30.00 | 1.1706 | 0.5240 | no |
| CCL | 2022-03-14 | 17.03 | 1.3808 | 0.4372 | no |
| CDW | 2022-03-14 | 160.43 | 1.3703 | 0.5318 | no |
| COF | 2022-03-14 | 122.68 | 1.2303 | 0.5156 | no |
| DAL | 2022-03-14 | 30.89 | 0.9046 | 0.5005 | no |
| DHI | 2022-03-14 | 77.03 | 1.0326 | 0.4999 | no |
| DHR | 2022-03-14 | 228.75 | 1.1154 | 0.4776 | no |
| DOV | 2022-03-14 | 144.19 | 0.9711 | 0.4919 | no |
| EXR | 2022-03-14 | 161.92 | 1.1402 | 0.4904 | no |
| FTNT | 2022-03-14 | 55.27 | 0.9812 | 0.5181 | no |
| IT | 2022-03-14 | 280.00 | 0.9306 | 0.4358 | no |
| KLAC | 2022-03-14 | 31.05 | 1.3349 | 0.6164 | no |
| LEN | 2022-03-14 | 78.11 | 1.5550 | 0.4876 | no |
| MCHP | 2022-03-14 | 62.03 | 1.0635 | 0.6119 | no |
| MGM | 2022-03-14 | 40.09 | 0.9148 | 0.5572 | no |
| MKTX | 2022-03-14 | 325.52 | 1.0154 | 0.5037 | no |
| MS | 2022-03-14 | 74.23 | 0.9562 | 0.4682 | no |
| MTD | 2022-03-14 | 1324.54 | 1.0759 | 0.4442 | no |
| MU | 2022-03-14 | 70.14 | 1.1237 | 0.6173 | no |
| NCLH | 2022-03-14 | 17.49 | 1.2140 | 0.4462 | no |
| NOW | 2022-03-14 | 102.99 | 0.9190 | 0.5554 | no |
| NTRS | 2022-03-14 | 93.55 | 1.2946 | 0.4897 | no |
| NVDA | 2022-03-14 | 21.78 | 1.4750 | 0.6075 | no |
| NVR | 2022-03-14 | 4747.99 | 1.2170 | — | no |
| NXPI | 2022-03-14 | 163.91 | 0.9203 | 0.6170 | no |
| PAYC | 2022-03-14 | 292.93 | 0.9156 | 0.4370 | no |
| PFE | 2022-03-14 | 39.57 | 1.2666 | 0.4958 | no |
| PHM | 2022-03-14 | 44.54 | 1.3837 | 0.5199 | no |
| PNC | 2022-03-14 | 154.78 | 1.0191 | 0.5471 | no |
| QCOM | 2022-03-14 | 136.34 | 1.3277 | 0.5749 | no |
| REG | 2022-03-14 | 55.83 | 1.1100 | 0.5104 | no |
| RJF | 2022-03-14 | 91.99 | 0.9248 | 0.4972 | no |
| SBAC | 2022-03-14 | 296.39 | 0.9212 | 0.4794 | no |
| SNPS | 2022-03-14 | 292.07 | 1.2578 | 0.5631 | no |
| STT | 2022-03-14 | 72.35 | 1.4997 | 0.4929 | no |
| TMO | 2022-03-14 | 528.29 | 0.8918 | 0.4632 | no |
| TSLA | 2022-03-14 | 260.20 | 2.2854 | 0.4855 | no |
| VMC | 2022-03-14 | 171.55 | 1.1982 | 0.5019 | no |
| WST | 2022-03-14 | 360.91 | 1.9002 | 0.5196 | no |
| WYNN | 2022-03-14 | 67.74 | 1.2650 | 0.5809 | no |