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 | -21.88% | 2.85% | 2022-03-29 | -26.33% |
| buy & hold | participation factor overlay | 6 months | complete | -19.98% | 2.85% | 2022-03-29 | -26.33% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -21.58% | 3.05% | 2022-03-29 | -26.22% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -19.59% | 3.05% | 2022-03-29 | -26.22% |
| weekly rebalance | participation factor overlay | 3 months | complete | -17.83% | 2.52% | 2022-03-29 | -21.49% |
| weekly rebalance | participation factor overlay | 6 months | complete | -17.63% | 2.52% | 2022-03-29 | -21.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -20.16% | 2.58% | 2022-03-29 | -23.74% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -20.54% | 2.58% | 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 |
|---|---|---|---|---|---|
| AAL | 2022-03-21 | 16.50 | 0.9314 | 0.4782 | no |
| ACN | 2022-03-21 | 299.33 | 0.8114 | 0.4326 | no |
| ADBE | 2022-03-21 | 451.42 | 0.8733 | 0.5082 | no |
| AMAT | 2022-03-21 | 129.11 | 0.9229 | 0.6191 | no |
| AOS | 2022-03-21 | 62.35 | 1.0407 | 0.5014 | no |
| BA | 2022-03-21 | 184.40 | 1.4994 | 0.5117 | no |
| BAC | 2022-03-21 | 38.73 | 1.3035 | 0.4958 | no |
| BEN | 2022-03-21 | 22.19 | 1.2282 | 0.5075 | no |
| BWA | 2022-03-21 | 32.07 | 1.1028 | 0.5240 | no |
| C | 2022-03-21 | 49.50 | 1.0388 | 0.5192 | no |
| CBRE | 2022-03-21 | 91.22 | 0.8140 | 0.4837 | no |
| CCL | 2022-03-21 | 18.91 | 1.2248 | 0.4372 | no |
| CDW | 2022-03-21 | 168.02 | 1.0704 | 0.5350 | no |
| COF | 2022-03-21 | 127.52 | 0.9108 | 0.5141 | no |
| CRL | 2022-03-21 | 284.58 | 0.8617 | 0.4820 | no |
| CZR | 2022-03-21 | 79.78 | 0.8494 | 0.5989 | no |
| DHI | 2022-03-21 | 81.37 | 1.1669 | 0.4945 | no |
| EBAY | 2022-03-21 | 51.24 | 0.8544 | 0.5095 | no |
| FTNT | 2022-03-21 | 63.07 | 0.9347 | 0.5181 | no |
| GM | 2022-03-21 | 42.44 | 1.2836 | 0.5131 | no |
| IFF | 2022-03-21 | 114.06 | 1.0715 | 0.5089 | no |
| IQV | 2022-03-21 | 224.78 | 1.0292 | 0.5023 | no |
| IVZ | 2022-03-21 | 17.65 | 0.9294 | 0.4880 | no |
| JCI | 2022-03-21 | 60.32 | 0.8489 | 0.4908 | no |
| JPM | 2022-03-21 | 125.34 | 1.0287 | 0.4974 | no |
| KEYS | 2022-03-21 | 161.00 | 0.8395 | 0.4483 | no |
| KLAC | 2022-03-21 | 34.51 | 0.9242 | 0.6164 | no |
| LEN | 2022-03-21 | 82.53 | 1.0443 | 0.4896 | no |
| LRCX | 2022-03-21 | 51.47 | 1.2051 | 0.6178 | no |
| LW | 2022-03-21 | 49.90 | 1.1045 | 0.4866 | no |
| MAS | 2022-03-21 | 52.10 | 1.0204 | 0.5287 | no |
| MS | 2022-03-21 | 81.90 | 0.8112 | 0.4631 | no |
| MSCI | 2022-03-21 | 487.01 | 0.8355 | 0.4415 | no |
| MTCH | 2022-03-21 | 97.52 | 0.8391 | 0.4364 | no |
| MU | 2022-03-21 | 77.22 | 1.6107 | 0.6177 | no |
| NCLH | 2022-03-21 | 19.53 | 1.4223 | 0.4460 | no |
| NVDA | 2022-03-21 | 26.40 | 1.0594 | 0.6075 | no |
| NVR | 2022-03-21 | 4957.47 | 0.9906 | — | no |
| PAYC | 2022-03-21 | 345.86 | 1.3679 | 0.4370 | no |
| PENN | 2022-03-21 | 44.58 | 0.9683 | 0.5427 | no |
| PHM | 2022-03-21 | 46.27 | 0.8262 | 0.5149 | no |
| PNC | 2022-03-21 | 164.16 | 1.0345 | 0.5375 | no |
| QCOM | 2022-03-21 | 139.23 | 1.3103 | 0.5749 | no |
| RCL | 2022-03-21 | 72.80 | 1.1335 | 0.4809 | no |
| STT | 2022-03-21 | 76.99 | 1.2174 | 0.4888 | no |
| SWK | 2022-03-21 | 125.40 | 0.7850 | 0.5093 | no |
| TSLA | 2022-03-21 | 304.99 | 1.1130 | 0.4855 | no |
| VMC | 2022-03-21 | 175.97 | 0.8694 | 0.5019 | no |
| WFC | 2022-03-21 | 46.12 | 1.0589 | 0.5032 | no |
| WYNN | 2022-03-21 | 76.20 | 1.2790 | 0.5809 | no |