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 | -21.59% | 2.95% | 2022-03-29 | -26.19% |
| buy & hold | participation factor overlay | 6 months | complete | -19.59% | 2.95% | 2022-03-29 | -26.19% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -20.60% | 2.96% | 2022-03-29 | -25.19% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -18.38% | 2.96% | 2022-03-29 | -25.19% |
| weekly rebalance | participation factor overlay | 3 months | complete | -16.62% | 2.73% | 2022-03-29 | -20.70% |
| weekly rebalance | participation factor overlay | 6 months | complete | -16.45% | 2.73% | 2022-03-29 | -20.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -19.18% | 2.74% | 2022-03-29 | -23.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -17.41% | 2.74% | 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 |
|---|---|---|---|---|---|
| AAL | 2022-03-21 | 16.50 | 0.9646 | 0.4782 | no |
| ACN | 2022-03-21 | 299.33 | 0.8838 | 0.4326 | no |
| ADBE | 2022-03-21 | 451.42 | 0.8968 | 0.5082 | no |
| AMAT | 2022-03-21 | 129.11 | 1.0901 | 0.6191 | no |
| AOS | 2022-03-21 | 62.35 | 1.0259 | 0.5014 | no |
| BA | 2022-03-21 | 184.40 | 1.5513 | 0.5117 | no |
| BAC | 2022-03-21 | 38.73 | 1.2395 | 0.4958 | no |
| BEN | 2022-03-21 | 22.19 | 1.4212 | 0.5075 | no |
| BKNG | 2022-03-21 | 86.14 | 1.1263 | 0.4831 | no |
| BWA | 2022-03-21 | 32.07 | 1.3877 | 0.5240 | no |
| C | 2022-03-21 | 49.50 | 1.3437 | 0.5192 | no |
| CCL | 2022-03-21 | 18.91 | 1.5558 | 0.4372 | no |
| CDW | 2022-03-21 | 168.02 | 1.0438 | 0.5350 | no |
| COF | 2022-03-21 | 127.52 | 0.9563 | 0.5141 | no |
| CRL | 2022-03-21 | 284.58 | 0.8473 | 0.4820 | no |
| CZR | 2022-03-21 | 79.78 | 0.8002 | 0.5989 | no |
| DAL | 2022-03-21 | 35.84 | 0.8994 | 0.5005 | no |
| DHI | 2022-03-21 | 81.37 | 1.2648 | 0.4945 | no |
| DOV | 2022-03-21 | 150.72 | 0.8203 | 0.4919 | no |
| EBAY | 2022-03-21 | 51.24 | 1.0486 | 0.5095 | no |
| FTNT | 2022-03-21 | 63.07 | 0.7983 | 0.5181 | no |
| GM | 2022-03-21 | 42.44 | 1.2066 | 0.5131 | no |
| IFF | 2022-03-21 | 114.06 | 1.0468 | 0.5089 | no |
| IQV | 2022-03-21 | 224.78 | 1.1774 | 0.5023 | no |
| IVZ | 2022-03-21 | 17.65 | 1.1591 | 0.4880 | no |
| JPM | 2022-03-21 | 125.34 | 1.2887 | 0.4974 | no |
| KEYS | 2022-03-21 | 161.00 | 0.8707 | 0.4483 | no |
| KLAC | 2022-03-21 | 34.51 | 0.9974 | 0.6164 | no |
| LEN | 2022-03-21 | 82.53 | 1.0057 | 0.4896 | no |
| LRCX | 2022-03-21 | 51.47 | 1.1355 | 0.6178 | no |
| LW | 2022-03-21 | 49.90 | 1.0790 | 0.4866 | no |
| MAS | 2022-03-21 | 52.10 | 1.1150 | 0.5287 | no |
| MS | 2022-03-21 | 81.90 | 0.8074 | 0.4631 | no |
| MU | 2022-03-21 | 77.22 | 1.5216 | 0.6177 | no |
| NCLH | 2022-03-21 | 19.53 | 1.3343 | 0.4460 | no |
| NVDA | 2022-03-21 | 26.40 | 0.9272 | 0.6075 | no |
| NVR | 2022-03-21 | 4957.47 | 1.2144 | — | no |
| PAYC | 2022-03-21 | 345.86 | 1.3915 | 0.4370 | no |
| PENN | 2022-03-21 | 44.58 | 0.8004 | 0.5427 | no |
| PHM | 2022-03-21 | 46.27 | 0.9863 | 0.5149 | no |
| PNC | 2022-03-21 | 164.16 | 0.9692 | 0.5375 | no |
| QCOM | 2022-03-21 | 139.23 | 1.3047 | 0.5749 | no |
| RCL | 2022-03-21 | 72.80 | 1.0254 | 0.4809 | no |
| STT | 2022-03-21 | 76.99 | 1.3827 | 0.4888 | no |
| SWK | 2022-03-21 | 125.40 | 0.8164 | 0.5093 | no |
| SWKS | 2022-03-21 | 117.84 | 0.8185 | 0.6200 | no |
| TSLA | 2022-03-21 | 304.99 | 1.0460 | 0.4855 | no |
| VMC | 2022-03-21 | 175.97 | 0.8657 | 0.5019 | no |
| WFC | 2022-03-21 | 46.12 | 0.9954 | 0.5032 | no |
| WYNN | 2022-03-21 | 76.20 | 1.2764 | 0.5809 | no |