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 | -19.24% | 2.94% | 2022-03-29 | -25.85% |
| buy & hold | participation factor overlay | 6 months | complete | -21.40% | 2.94% | 2022-03-29 | -25.85% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -19.96% | 2.85% | 2022-03-29 | -26.13% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -22.59% | 2.85% | 2022-03-29 | -26.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | -15.25% | 2.94% | 2022-03-29 | -21.50% |
| weekly rebalance | participation factor overlay | 6 months | complete | -19.38% | 2.94% | 2022-03-29 | -23.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -18.07% | 2.85% | 2022-03-29 | -23.74% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -22.12% | 2.85% | 2022-03-29 | -26.45% |
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 | 0.7896 | 0.4783 | no |
| AMAT | 2022-03-28 | 130.06 | 1.1379 | 0.6191 | no |
| AMD | 2022-03-28 | 117.70 | 0.9553 | 0.6176 | no |
| BA | 2022-03-28 | 188.43 | 1.5748 | 0.5116 | no |
| BAC | 2022-03-28 | 39.05 | 1.1369 | 0.4849 | no |
| BEN | 2022-03-28 | 22.05 | 1.6717 | 0.5020 | no |
| BWA | 2022-03-28 | 32.00 | 1.0673 | 0.5240 | no |
| C | 2022-03-28 | 48.10 | 1.6004 | 0.5093 | no |
| CARR | 2022-03-28 | 43.49 | 0.7766 | 0.4702 | no |
| CBRE | 2022-03-28 | 90.69 | 1.0912 | 0.4841 | no |
| CCL | 2022-03-28 | 18.30 | 1.9667 | 0.4283 | no |
| CDNS | 2022-03-28 | 159.00 | 0.9673 | 0.5592 | no |
| CDW | 2022-03-28 | 164.74 | 0.9797 | 0.5359 | no |
| CFG | 2022-03-28 | 39.87 | 1.2614 | 0.4957 | no |
| CHRW | 2022-03-28 | 98.42 | 0.8469 | 0.5573 | no |
| COF | 2022-03-28 | 124.52 | 1.1705 | 0.5075 | no |
| CZR | 2022-03-28 | 77.60 | 1.0053 | 0.5989 | no |
| DAL | 2022-03-28 | 37.09 | 0.8786 | 0.5008 | no |
| DOV | 2022-03-28 | 149.27 | 0.6871 | 0.4919 | no |
| GM | 2022-03-28 | 42.08 | 1.0162 | 0.5131 | no |
| IDXX | 2022-03-28 | 541.07 | 0.7676 | 0.4903 | no |
| IQV | 2022-03-28 | 225.41 | 0.7297 | 0.5023 | no |
| IVZ | 2022-03-28 | 18.21 | 0.6692 | 0.4840 | no |
| JPM | 2022-03-28 | 125.03 | 1.0855 | 0.4860 | no |
| KLAC | 2022-03-28 | 35.35 | 0.8410 | 0.6164 | no |
| LOW | 2022-03-28 | 193.20 | 0.6607 | 0.5455 | no |
| LRCX | 2022-03-28 | 52.58 | 1.1603 | 0.6178 | no |
| LW | 2022-03-28 | 52.55 | 0.6627 | 0.4866 | no |
| MGM | 2022-03-28 | 42.27 | 0.6812 | 0.5572 | no |
| MS | 2022-03-28 | 79.79 | 1.2775 | 0.4586 | no |
| MSCI | 2022-03-28 | 467.59 | 0.9875 | 0.4415 | no |
| MTD | 2022-03-28 | 1398.86 | 0.7244 | 0.4442 | no |
| MU | 2022-03-28 | 76.82 | 2.0681 | 0.6183 | no |
| NCLH | 2022-03-28 | 19.94 | 1.1507 | 0.4460 | no |
| NTRS | 2022-03-28 | 103.71 | 0.6892 | 0.4750 | no |
| NXPI | 2022-03-28 | 173.09 | 1.2097 | 0.6170 | no |
| PAYC | 2022-03-28 | 333.07 | 1.1380 | 0.4370 | no |
| PENN | 2022-03-28 | 41.61 | 1.4594 | 0.5427 | no |
| PHM | 2022-03-28 | 42.03 | 0.9773 | 0.5149 | no |
| PNC | 2022-03-28 | 164.00 | 0.9174 | 0.5261 | no |
| POOL | 2022-03-28 | 404.22 | 0.7075 | 0.5586 | no |
| QCOM | 2022-03-28 | 141.50 | 1.2222 | 0.5735 | no |
| QRVO | 2022-03-28 | 126.37 | 0.9467 | — | no |
| RCL | 2022-03-28 | 74.72 | 0.9346 | 0.4809 | no |
| STT | 2022-03-28 | 78.21 | 1.0244 | 0.4827 | no |
| STX | 2022-03-28 | 79.72 | 0.7603 | 0.5585 | no |
| SYF | 2022-03-28 | 32.06 | 1.2464 | 0.4739 | no |
| TECH | 2022-03-28 | 106.88 | 0.6676 | 0.5326 | no |
| WFC | 2022-03-28 | 46.45 | 0.8817 | 0.4911 | no |
| WYNN | 2022-03-28 | 77.68 | 1.1716 | 0.5809 | no |