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 | -14.60% | 11.25% | 2022-03-29 | -23.24% |
| buy & hold | participation factor overlay | 6 months | complete | -8.82% | 11.25% | 2022-03-29 | -25.62% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -14.51% | 11.09% | 2022-03-29 | -23.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.60% | 11.09% | 2022-03-29 | -25.27% |
| weekly rebalance | participation factor overlay | 3 months | complete | -11.17% | 10.23% | 2022-03-29 | -19.49% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.63% | 10.23% | 2022-03-29 | -21.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.58% | 10.17% | 2022-03-29 | -21.61% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.70% | 10.17% | 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 | 2022-03-14 | 126.76 | 1.1013 | 0.4747 | no |
| AAL | 2022-03-14 | 14.04 | 1.1794 | 0.4795 | no |
| ALK | 2022-03-14 | 49.50 | 1.1538 | 0.4952 | no |
| AMAT | 2022-03-14 | 119.13 | 1.2939 | 0.6191 | no |
| AMT | 2022-03-14 | 203.78 | 1.3511 | 0.4662 | no |
| ANET | 2022-03-14 | 30.01 | 0.9266 | 0.5311 | no |
| APH | 2022-03-14 | 17.79 | 1.0059 | 0.4952 | no |
| BA | 2022-03-14 | 175.88 | 1.8159 | 0.5119 | no |
| BAC | 2022-03-14 | 36.54 | 1.0174 | 0.5067 | no |
| BEN | 2022-03-14 | 22.08 | 1.0320 | 0.5085 | no |
| BWA | 2022-03-14 | 30.00 | 1.1439 | 0.5240 | no |
| CCL | 2022-03-14 | 17.03 | 1.4678 | 0.4372 | no |
| CDW | 2022-03-14 | 160.43 | 1.3546 | 0.5318 | no |
| COF | 2022-03-14 | 122.68 | 1.1586 | 0.5156 | no |
| DAL | 2022-03-14 | 30.89 | 0.9896 | 0.5005 | no |
| DHI | 2022-03-14 | 77.03 | 1.3498 | 0.4999 | no |
| DHR | 2022-03-14 | 228.75 | 1.3951 | 0.4776 | no |
| DOV | 2022-03-14 | 144.19 | 0.9224 | 0.4919 | no |
| EXR | 2022-03-14 | 161.92 | 1.1245 | 0.4904 | no |
| FRT | 2022-03-14 | 98.15 | 1.0635 | 0.4844 | no |
| FTNT | 2022-03-14 | 55.27 | 1.0792 | 0.5181 | no |
| IFF | 2022-03-14 | 105.67 | 0.8646 | 0.5089 | no |
| KLAC | 2022-03-14 | 31.05 | 1.1412 | 0.6164 | no |
| LEN | 2022-03-14 | 78.11 | 1.4643 | 0.4876 | no |
| LRCX | 2022-03-14 | 46.57 | 1.0165 | 0.6178 | no |
| MCHP | 2022-03-14 | 62.03 | 0.9479 | 0.6119 | no |
| MKTX | 2022-03-14 | 325.52 | 0.9199 | 0.5037 | no |
| MPWR | 2022-03-14 | 384.89 | 0.8981 | 0.6165 | no |
| MS | 2022-03-14 | 74.23 | 1.0444 | 0.4682 | no |
| MTD | 2022-03-14 | 1324.54 | 1.0650 | 0.4442 | no |
| MU | 2022-03-14 | 70.14 | 1.4456 | 0.6173 | no |
| NCLH | 2022-03-14 | 17.49 | 1.1015 | 0.4462 | no |
| NOW | 2022-03-14 | 102.99 | 0.8577 | 0.5554 | no |
| NTRS | 2022-03-14 | 93.55 | 1.2179 | 0.4897 | no |
| NVDA | 2022-03-14 | 21.78 | 1.5712 | 0.6075 | no |
| NVR | 2022-03-14 | 4747.99 | 1.1299 | — | no |
| PAYC | 2022-03-14 | 292.93 | 0.9584 | 0.4370 | no |
| PENN | 2022-03-14 | 42.50 | 0.8790 | 0.5427 | no |
| PFE | 2022-03-14 | 39.57 | 1.0755 | 0.4958 | no |
| PHM | 2022-03-14 | 44.54 | 1.5589 | 0.5199 | no |
| PLD | 2022-03-14 | 128.59 | 0.9084 | 0.4452 | no |
| QCOM | 2022-03-14 | 136.34 | 1.4329 | 0.5749 | no |
| QRVO | 2022-03-14 | 123.47 | 0.9496 | — | no |
| REG | 2022-03-14 | 55.83 | 1.2205 | 0.5104 | no |
| SNPS | 2022-03-14 | 292.07 | 1.3000 | 0.5631 | no |
| STT | 2022-03-14 | 72.35 | 1.4256 | 0.4929 | no |
| TSLA | 2022-03-14 | 260.20 | 2.3224 | 0.4855 | no |
| VMC | 2022-03-14 | 171.55 | 1.0167 | 0.5019 | no |
| WST | 2022-03-14 | 360.91 | 1.9472 | 0.5196 | no |
| WYNN | 2022-03-14 | 67.74 | 1.2448 | 0.5809 | no |