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 | -19.53% | 2.97% | 2022-03-29 | -25.88% |
| buy & hold | participation factor overlay | 6 months | complete | -22.12% | 2.97% | 2022-03-29 | -26.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -19.38% | 2.91% | 2022-03-29 | -25.63% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -21.78% | 2.91% | 2022-03-29 | -25.75% |
| weekly rebalance | participation factor overlay | 3 months | complete | -15.97% | 2.97% | 2022-03-29 | -22.26% |
| weekly rebalance | participation factor overlay | 6 months | complete | -20.48% | 2.97% | 2022-03-29 | -24.64% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -17.88% | 2.91% | 2022-03-29 | -23.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -20.69% | 2.91% | 2022-03-29 | -25.25% |
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 | 0.7792 | 0.4783 | no |
| AMAT | 2022-03-28 | 130.06 | 1.0983 | 0.6191 | no |
| AMD | 2022-03-28 | 117.70 | 0.7080 | 0.6176 | no |
| BA | 2022-03-28 | 188.43 | 1.7022 | 0.5116 | no |
| BAC | 2022-03-28 | 39.05 | 1.1425 | 0.4849 | no |
| BEN | 2022-03-28 | 22.05 | 1.6947 | 0.5020 | no |
| BIO | 2022-03-28 | 567.22 | 0.6934 | 0.5368 | no |
| BKNG | 2022-03-28 | 88.34 | 0.6684 | 0.4831 | no |
| BWA | 2022-03-28 | 32.00 | 1.0697 | 0.5240 | no |
| C | 2022-03-28 | 48.10 | 1.7544 | 0.5093 | no |
| CARR | 2022-03-28 | 43.49 | 0.7152 | 0.4702 | no |
| CBRE | 2022-03-28 | 90.69 | 1.0274 | 0.4841 | no |
| CCL | 2022-03-28 | 18.30 | 2.0268 | 0.4283 | no |
| CDNS | 2022-03-28 | 159.00 | 0.8086 | 0.5592 | no |
| CDW | 2022-03-28 | 164.74 | 0.9053 | 0.5359 | no |
| CFG | 2022-03-28 | 39.87 | 1.2601 | 0.4957 | no |
| CHRW | 2022-03-28 | 98.42 | 0.8630 | 0.5573 | no |
| COF | 2022-03-28 | 124.52 | 1.4111 | 0.5075 | no |
| CZR | 2022-03-28 | 77.60 | 1.0281 | 0.5989 | no |
| DAL | 2022-03-28 | 37.09 | 0.7517 | 0.5008 | no |
| DIS | 2022-03-28 | 134.65 | 0.7713 | 0.5208 | no |
| DOV | 2022-03-28 | 149.27 | 0.7502 | 0.4919 | no |
| GM | 2022-03-28 | 42.08 | 1.0914 | 0.5131 | no |
| IDXX | 2022-03-28 | 541.07 | 0.7898 | 0.4903 | no |
| IFF | 2022-03-28 | 115.36 | 0.6366 | 0.5041 | no |
| IVZ | 2022-03-28 | 18.21 | 0.6902 | 0.4840 | no |
| JPM | 2022-03-28 | 125.03 | 1.1269 | 0.4860 | no |
| KLAC | 2022-03-28 | 35.35 | 0.8209 | 0.6164 | no |
| LRCX | 2022-03-28 | 52.58 | 1.5575 | 0.6178 | no |
| LW | 2022-03-28 | 52.55 | 0.9468 | 0.4866 | no |
| MS | 2022-03-28 | 79.79 | 1.1243 | 0.4586 | no |
| MSCI | 2022-03-28 | 467.59 | 1.0177 | 0.4415 | no |
| MTCH | 2022-03-28 | 102.93 | 0.7681 | 0.4364 | no |
| MTD | 2022-03-28 | 1398.86 | 0.6686 | 0.4442 | no |
| MU | 2022-03-28 | 76.82 | 2.1893 | 0.6183 | no |
| NCLH | 2022-03-28 | 19.94 | 1.3110 | 0.4460 | no |
| NXPI | 2022-03-28 | 173.09 | 1.1243 | 0.6170 | no |
| PAYC | 2022-03-28 | 333.07 | 1.1860 | 0.4370 | no |
| PENN | 2022-03-28 | 41.61 | 1.5203 | 0.5427 | no |
| PHM | 2022-03-28 | 42.03 | 0.8450 | 0.5149 | no |
| PNC | 2022-03-28 | 164.00 | 0.7716 | 0.5261 | no |
| QCOM | 2022-03-28 | 141.50 | 1.2081 | 0.5735 | no |
| QRVO | 2022-03-28 | 126.37 | 0.7734 | — | no |
| RCL | 2022-03-28 | 74.72 | 0.8287 | 0.4809 | no |
| STT | 2022-03-28 | 78.21 | 1.1103 | 0.4827 | no |
| STX | 2022-03-28 | 79.72 | 0.8682 | 0.5585 | no |
| SYF | 2022-03-28 | 32.06 | 1.3937 | 0.4739 | no |
| VRSK | 2022-03-28 | 201.50 | 0.6957 | 0.4542 | no |
| WFC | 2022-03-28 | 46.45 | 0.9343 | 0.4911 | no |
| WYNN | 2022-03-28 | 77.68 | 1.2599 | 0.5809 | no |