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 | -19.09% | 3.07% | 2022-03-29 | -25.85% |
| buy & hold | participation factor overlay | 6 months | complete | -21.34% | 3.07% | 2022-03-29 | -25.85% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -18.71% | 3.01% | 2022-03-29 | -25.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -20.95% | 3.01% | 2022-03-29 | -25.33% |
| weekly rebalance | participation factor overlay | 3 months | complete | -14.10% | 3.07% | 2022-03-29 | -20.70% |
| weekly rebalance | participation factor overlay | 6 months | complete | -18.19% | 3.07% | 2022-03-29 | -22.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -16.73% | 3.01% | 2022-03-29 | -23.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -19.20% | 3.01% | 2022-03-29 | -23.56% |
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 | 2022-03-28 | 17.27 | 0.7491 | 0.4783 | no |
| AMAT | 2022-03-28 | 130.06 | 1.2089 | 0.6191 | no |
| AMD | 2022-03-28 | 117.70 | 0.6962 | 0.6176 | no |
| BA | 2022-03-28 | 188.43 | 1.5894 | 0.5116 | no |
| BAC | 2022-03-28 | 39.05 | 1.2178 | 0.4849 | no |
| BEN | 2022-03-28 | 22.05 | 1.4943 | 0.5020 | no |
| BIO | 2022-03-28 | 567.22 | 0.7042 | 0.5368 | no |
| BKNG | 2022-03-28 | 88.34 | 0.8638 | 0.4831 | no |
| BWA | 2022-03-28 | 32.00 | 1.2664 | 0.5240 | no |
| C | 2022-03-28 | 48.10 | 1.6417 | 0.5093 | no |
| CARR | 2022-03-28 | 43.49 | 0.8268 | 0.4702 | no |
| CBRE | 2022-03-28 | 90.69 | 0.9334 | 0.4841 | no |
| CCL | 2022-03-28 | 18.30 | 1.9474 | 0.4283 | no |
| CDNS | 2022-03-28 | 159.00 | 0.9602 | 0.5592 | no |
| CDW | 2022-03-28 | 164.74 | 0.9443 | 0.5359 | no |
| CFG | 2022-03-28 | 39.87 | 1.0504 | 0.4957 | no |
| CHRW | 2022-03-28 | 98.42 | 0.8919 | 0.5573 | no |
| COF | 2022-03-28 | 124.52 | 1.3323 | 0.5075 | no |
| CRL | 2022-03-28 | 278.65 | 0.7246 | 0.4820 | no |
| CZR | 2022-03-28 | 77.60 | 1.0631 | 0.5989 | no |
| DAL | 2022-03-28 | 37.09 | 0.7552 | 0.5008 | no |
| DHI | 2022-03-28 | 74.02 | 0.8504 | 0.4945 | no |
| DXC | 2022-03-28 | 33.33 | 0.8148 | 0.4485 | no |
| GM | 2022-03-28 | 42.08 | 0.9056 | 0.5131 | no |
| IDXX | 2022-03-28 | 541.07 | 0.7388 | 0.4903 | no |
| IVZ | 2022-03-28 | 18.21 | 0.7403 | 0.4840 | no |
| JPM | 2022-03-28 | 125.03 | 1.0758 | 0.4860 | no |
| KLAC | 2022-03-28 | 35.35 | 0.9750 | 0.6164 | no |
| LEN | 2022-03-28 | 74.40 | 0.7016 | 0.4896 | no |
| LRCX | 2022-03-28 | 52.58 | 1.1922 | 0.6178 | no |
| LW | 2022-03-28 | 52.55 | 0.8542 | 0.4866 | no |
| MGM | 2022-03-28 | 42.27 | 0.7366 | 0.5572 | no |
| MS | 2022-03-28 | 79.79 | 1.1160 | 0.4586 | no |
| MSCI | 2022-03-28 | 467.59 | 0.9753 | 0.4415 | no |
| MU | 2022-03-28 | 76.82 | 1.8952 | 0.6183 | no |
| NCLH | 2022-03-28 | 19.94 | 1.2608 | 0.4460 | no |
| NXPI | 2022-03-28 | 173.09 | 1.2467 | 0.6170 | no |
| PAYC | 2022-03-28 | 333.07 | 1.0989 | 0.4370 | no |
| PENN | 2022-03-28 | 41.61 | 1.2988 | 0.5427 | no |
| PHM | 2022-03-28 | 42.03 | 0.8626 | 0.5149 | no |
| PNC | 2022-03-28 | 164.00 | 0.7840 | 0.5261 | no |
| QCOM | 2022-03-28 | 141.50 | 1.2800 | 0.5735 | no |
| QRVO | 2022-03-28 | 126.37 | 0.9307 | — | no |
| RCL | 2022-03-28 | 74.72 | 1.0157 | 0.4809 | no |
| SPG | 2022-03-28 | 102.64 | 0.7254 | 0.5007 | no |
| STT | 2022-03-28 | 78.21 | 1.1418 | 0.4827 | no |
| STX | 2022-03-28 | 79.72 | 0.7326 | 0.5585 | no |
| SYF | 2022-03-28 | 32.06 | 1.2446 | 0.4739 | no |
| WFC | 2022-03-28 | 46.45 | 0.8122 | 0.4911 | no |
| WYNN | 2022-03-28 | 77.68 | 1.1986 | 0.5809 | no |