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 | -21.69% | 2.81% | 2022-03-29 | -26.25% |
| buy & hold | participation factor overlay | 6 months | complete | -19.20% | 2.81% | 2022-03-29 | -26.25% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -21.14% | 2.95% | 2022-03-29 | -25.81% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -18.81% | 2.95% | 2022-03-29 | -25.81% |
| weekly rebalance | participation factor overlay | 3 months | complete | -17.36% | 2.47% | 2022-03-29 | -21.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | -17.26% | 2.47% | 2022-03-29 | -21.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -19.29% | 2.57% | 2022-03-29 | -23.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -18.95% | 2.57% | 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 |
|---|---|---|---|---|---|
| AAL | 2022-03-21 | 16.50 | 0.9905 | 0.4782 | no |
| AMAT | 2022-03-21 | 129.11 | 0.9680 | 0.6191 | no |
| AOS | 2022-03-21 | 62.35 | 1.0098 | 0.5014 | no |
| BA | 2022-03-21 | 184.40 | 1.5987 | 0.5117 | no |
| BAC | 2022-03-21 | 38.73 | 1.0685 | 0.4958 | no |
| BEN | 2022-03-21 | 22.19 | 1.3042 | 0.5075 | no |
| BKNG | 2022-03-21 | 86.14 | 0.9490 | 0.4831 | no |
| BWA | 2022-03-21 | 32.07 | 1.2699 | 0.5240 | no |
| C | 2022-03-21 | 49.50 | 1.2970 | 0.5192 | no |
| CCL | 2022-03-21 | 18.91 | 1.7826 | 0.4372 | no |
| CDW | 2022-03-21 | 168.02 | 1.0239 | 0.5350 | no |
| COF | 2022-03-21 | 127.52 | 0.9030 | 0.5141 | no |
| CRL | 2022-03-21 | 284.58 | 1.1150 | 0.4820 | no |
| CZR | 2022-03-21 | 79.78 | 0.8752 | 0.5989 | no |
| DAL | 2022-03-21 | 35.84 | 0.9548 | 0.5005 | no |
| DHI | 2022-03-21 | 81.37 | 1.0378 | 0.4945 | no |
| EBAY | 2022-03-21 | 51.24 | 1.1423 | 0.5095 | no |
| EXR | 2022-03-21 | 161.08 | 0.8978 | 0.4904 | no |
| FTNT | 2022-03-21 | 63.07 | 0.8663 | 0.5181 | no |
| GM | 2022-03-21 | 42.44 | 1.1736 | 0.5131 | no |
| IFF | 2022-03-21 | 114.06 | 1.1117 | 0.5089 | no |
| IQV | 2022-03-21 | 224.78 | 1.2133 | 0.5023 | no |
| IVZ | 2022-03-21 | 17.65 | 0.8467 | 0.4880 | no |
| JCI | 2022-03-21 | 60.32 | 0.9692 | 0.4908 | no |
| JPM | 2022-03-21 | 125.34 | 1.1378 | 0.4974 | no |
| KLAC | 2022-03-21 | 34.51 | 0.9117 | 0.6164 | no |
| LEN | 2022-03-21 | 82.53 | 0.8442 | 0.4896 | no |
| LRCX | 2022-03-21 | 51.47 | 1.1663 | 0.6178 | no |
| LW | 2022-03-21 | 49.90 | 1.0005 | 0.4866 | no |
| MAS | 2022-03-21 | 52.10 | 0.9382 | 0.5287 | no |
| MS | 2022-03-21 | 81.90 | 0.9071 | 0.4631 | no |
| MSCI | 2022-03-21 | 487.01 | 0.9081 | 0.4415 | no |
| MU | 2022-03-21 | 77.22 | 1.5318 | 0.6177 | no |
| NCLH | 2022-03-21 | 19.53 | 1.6521 | 0.4460 | no |
| NVDA | 2022-03-21 | 26.40 | 0.8585 | 0.6075 | no |
| NVR | 2022-03-21 | 4957.47 | 1.1484 | — | no |
| PAYC | 2022-03-21 | 345.86 | 1.2025 | 0.4370 | no |
| PENN | 2022-03-21 | 44.58 | 0.9673 | 0.5427 | no |
| PHM | 2022-03-21 | 46.27 | 0.9778 | 0.5149 | no |
| PNC | 2022-03-21 | 164.16 | 1.0196 | 0.5375 | no |
| QCOM | 2022-03-21 | 139.23 | 1.2376 | 0.5749 | no |
| RCL | 2022-03-21 | 72.80 | 1.2966 | 0.4809 | no |
| STT | 2022-03-21 | 76.99 | 1.3720 | 0.4888 | no |
| SWK | 2022-03-21 | 125.40 | 1.0488 | 0.5093 | no |
| SWKS | 2022-03-21 | 117.84 | 0.8742 | 0.6200 | no |
| SYF | 2022-03-21 | 33.86 | 1.0199 | 0.4789 | no |
| TEL | 2022-03-21 | 124.42 | 0.9292 | — | no |
| TSLA | 2022-03-21 | 304.99 | 1.1017 | 0.4855 | no |
| WFC | 2022-03-21 | 46.12 | 0.8619 | 0.5032 | no |
| WYNN | 2022-03-21 | 76.20 | 1.2855 | 0.5809 | no |