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 | -14.68% | 10.28% | 2022-03-29 | -22.63% |
| buy & hold | participation factor overlay | 6 months | complete | -8.70% | 10.28% | 2022-03-29 | -25.06% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -14.69% | 10.39% | 2022-03-29 | -22.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.67% | 10.39% | 2022-03-29 | -25.05% |
| weekly rebalance | participation factor overlay | 3 months | complete | -12.16% | 9.70% | 2022-03-29 | -19.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | -8.42% | 9.70% | 2022-03-29 | -22.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.96% | 9.90% | 2022-03-29 | -21.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.07% | 9.90% | 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 | 2022-03-14 | 126.76 | 1.0436 | 0.4747 | no |
| AAL | 2022-03-14 | 14.04 | 1.0632 | 0.4795 | no |
| ALK | 2022-03-14 | 49.50 | 1.2858 | 0.4952 | no |
| AMAT | 2022-03-14 | 119.13 | 1.1782 | 0.6191 | no |
| AMP | 2022-03-14 | 259.13 | 0.8431 | 0.4524 | no |
| AMT | 2022-03-14 | 203.78 | 0.9142 | 0.4662 | no |
| ANET | 2022-03-14 | 30.01 | 0.9784 | 0.5311 | no |
| APH | 2022-03-14 | 17.79 | 1.0524 | 0.4952 | no |
| BA | 2022-03-14 | 175.88 | 1.6880 | 0.5119 | no |
| BAC | 2022-03-14 | 36.54 | 1.1578 | 0.5067 | no |
| BEN | 2022-03-14 | 22.08 | 1.2321 | 0.5085 | no |
| BWA | 2022-03-14 | 30.00 | 0.9942 | 0.5240 | no |
| CCL | 2022-03-14 | 17.03 | 1.3495 | 0.4372 | no |
| CDW | 2022-03-14 | 160.43 | 1.3197 | 0.5318 | no |
| CHTR | 2022-03-14 | 561.82 | 0.8644 | 0.4353 | no |
| COF | 2022-03-14 | 122.68 | 1.2422 | 0.5156 | no |
| DAL | 2022-03-14 | 30.89 | 0.9432 | 0.5005 | no |
| DHI | 2022-03-14 | 77.03 | 1.2583 | 0.4999 | no |
| DHR | 2022-03-14 | 228.75 | 1.2782 | 0.4776 | no |
| FRT | 2022-03-14 | 98.15 | 1.0084 | 0.4844 | no |
| FTNT | 2022-03-14 | 55.27 | 0.9852 | 0.5181 | no |
| IT | 2022-03-14 | 280.00 | 0.8975 | 0.4358 | no |
| KLAC | 2022-03-14 | 31.05 | 1.3528 | 0.6164 | no |
| LEN | 2022-03-14 | 78.11 | 1.6110 | 0.4876 | no |
| LOW | 2022-03-14 | 204.72 | 0.9537 | 0.5445 | no |
| MCHP | 2022-03-14 | 62.03 | 1.0014 | 0.6119 | no |
| MKTX | 2022-03-14 | 325.52 | 0.9929 | 0.5037 | no |
| MS | 2022-03-14 | 74.23 | 0.8730 | 0.4682 | no |
| MTD | 2022-03-14 | 1324.54 | 0.9050 | 0.4442 | no |
| MU | 2022-03-14 | 70.14 | 1.3385 | 0.6173 | no |
| NCLH | 2022-03-14 | 17.49 | 1.2038 | 0.4462 | no |
| NOW | 2022-03-14 | 102.99 | 0.9774 | 0.5554 | no |
| NTRS | 2022-03-14 | 93.55 | 1.1746 | 0.4897 | no |
| NVDA | 2022-03-14 | 21.78 | 1.4522 | 0.6075 | no |
| NVR | 2022-03-14 | 4747.99 | 1.1071 | — | no |
| NXPI | 2022-03-14 | 163.91 | 0.9337 | 0.6170 | no |
| OTIS | 2022-03-14 | 67.88 | 0.8768 | 0.4810 | no |
| PENN | 2022-03-14 | 42.50 | 0.9902 | 0.5427 | no |
| PFE | 2022-03-14 | 39.57 | 0.9369 | 0.4958 | no |
| PHM | 2022-03-14 | 44.54 | 1.6062 | 0.5199 | no |
| PNC | 2022-03-14 | 154.78 | 1.0981 | 0.5471 | no |
| QCOM | 2022-03-14 | 136.34 | 1.3031 | 0.5749 | no |
| REG | 2022-03-14 | 55.83 | 1.0567 | 0.5104 | no |
| RJF | 2022-03-14 | 91.99 | 0.8721 | 0.4972 | no |
| SNPS | 2022-03-14 | 292.07 | 1.1448 | 0.5631 | no |
| STT | 2022-03-14 | 72.35 | 1.4598 | 0.4929 | no |
| TSLA | 2022-03-14 | 260.20 | 2.2130 | 0.4855 | no |
| VMC | 2022-03-14 | 171.55 | 1.0764 | 0.5019 | no |
| WST | 2022-03-14 | 360.91 | 1.8909 | 0.5196 | no |
| WYNN | 2022-03-14 | 67.74 | 1.0293 | 0.5809 | no |