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 | -19.03% | 2.89% | 2022-03-29 | -25.42% |
| buy & hold | participation factor overlay | 6 months | complete | -21.50% | 2.89% | 2022-03-29 | -25.58% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -18.38% | 2.90% | 2022-03-29 | -24.86% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -20.95% | 2.90% | 2022-03-29 | -24.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | -14.50% | 2.89% | 2022-03-29 | -21.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | -18.92% | 2.89% | 2022-03-29 | -23.10% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -16.50% | 2.90% | 2022-03-29 | -23.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -19.80% | 2.90% | 2022-03-29 | -24.50% |
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 |
|---|---|---|---|---|---|
| AMAT | 2022-03-28 | 130.06 | 1.2767 | 0.6191 | no |
| AMD | 2022-03-28 | 117.70 | 0.9712 | 0.6176 | no |
| BA | 2022-03-28 | 188.43 | 1.7833 | 0.5116 | no |
| BAC | 2022-03-28 | 39.05 | 1.1534 | 0.4849 | no |
| BEN | 2022-03-28 | 22.05 | 1.6706 | 0.5020 | no |
| BIO | 2022-03-28 | 567.22 | 0.7312 | 0.5368 | no |
| BWA | 2022-03-28 | 32.00 | 1.2068 | 0.5240 | no |
| C | 2022-03-28 | 48.10 | 1.6887 | 0.5093 | no |
| CARR | 2022-03-28 | 43.49 | 0.8933 | 0.4702 | no |
| CBRE | 2022-03-28 | 90.69 | 1.1203 | 0.4841 | no |
| CCL | 2022-03-28 | 18.30 | 1.9890 | 0.4283 | no |
| CDNS | 2022-03-28 | 159.00 | 1.0196 | 0.5592 | no |
| CDW | 2022-03-28 | 164.74 | 1.0475 | 0.5359 | no |
| CFG | 2022-03-28 | 39.87 | 1.0243 | 0.4957 | no |
| CHRW | 2022-03-28 | 98.42 | 0.8410 | 0.5573 | no |
| COF | 2022-03-28 | 124.52 | 1.0676 | 0.5075 | no |
| CRL | 2022-03-28 | 278.65 | 0.7603 | 0.4820 | no |
| CZR | 2022-03-28 | 77.60 | 1.1375 | 0.5989 | no |
| DAL | 2022-03-28 | 37.09 | 0.7754 | 0.5008 | no |
| DHI | 2022-03-28 | 74.02 | 0.6817 | 0.4945 | no |
| DIS | 2022-03-28 | 134.65 | 0.7052 | 0.5208 | no |
| DOV | 2022-03-28 | 149.27 | 0.7021 | 0.4919 | no |
| DXC | 2022-03-28 | 33.33 | 0.8264 | 0.4485 | no |
| GM | 2022-03-28 | 42.08 | 0.9324 | 0.5131 | no |
| IDXX | 2022-03-28 | 541.07 | 0.7310 | 0.4903 | no |
| IQV | 2022-03-28 | 225.41 | 0.7078 | 0.5023 | no |
| JPM | 2022-03-28 | 125.03 | 1.1325 | 0.4860 | no |
| KLAC | 2022-03-28 | 35.35 | 1.0086 | 0.6164 | no |
| LEN | 2022-03-28 | 74.40 | 0.7688 | 0.4896 | no |
| LRCX | 2022-03-28 | 52.58 | 1.2066 | 0.6178 | no |
| LW | 2022-03-28 | 52.55 | 0.7476 | 0.4866 | no |
| MS | 2022-03-28 | 79.79 | 1.1954 | 0.4586 | no |
| MSCI | 2022-03-28 | 467.59 | 1.0428 | 0.4415 | no |
| MTCH | 2022-03-28 | 102.93 | 0.6912 | 0.4364 | no |
| MTD | 2022-03-28 | 1398.86 | 0.7437 | 0.4442 | no |
| MU | 2022-03-28 | 76.82 | 2.0741 | 0.6183 | no |
| NCLH | 2022-03-28 | 19.94 | 1.2305 | 0.4460 | no |
| NXPI | 2022-03-28 | 173.09 | 1.4698 | 0.6170 | no |
| PAYC | 2022-03-28 | 333.07 | 1.2255 | 0.4370 | no |
| PENN | 2022-03-28 | 41.61 | 1.4127 | 0.5427 | no |
| PHM | 2022-03-28 | 42.03 | 0.8410 | 0.5149 | no |
| PNC | 2022-03-28 | 164.00 | 0.8610 | 0.5261 | no |
| QCOM | 2022-03-28 | 141.50 | 1.3549 | 0.5735 | no |
| QRVO | 2022-03-28 | 126.37 | 1.1172 | — | no |
| RCL | 2022-03-28 | 74.72 | 0.9408 | 0.4809 | no |
| STT | 2022-03-28 | 78.21 | 1.1096 | 0.4827 | no |
| STX | 2022-03-28 | 79.72 | 0.7584 | 0.5585 | no |
| SYF | 2022-03-28 | 32.06 | 1.5501 | 0.4739 | no |
| WFC | 2022-03-28 | 46.45 | 0.8267 | 0.4911 | no |
| WYNN | 2022-03-28 | 77.68 | 1.2740 | 0.5809 | no |