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 | -17.51% | 0.74% | 2022-04-04 | -20.57% |
| buy & hold | participation factor overlay | 6 months | complete | -16.31% | 0.74% | 2022-04-04 | -22.59% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -18.57% | 0.78% | 2022-04-04 | -21.43% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -17.99% | 0.78% | 2022-04-04 | -24.17% |
| weekly rebalance | participation factor overlay | 3 months | complete | -15.61% | 0.74% | 2022-04-04 | -18.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | -13.70% | 0.74% | 2022-04-04 | -20.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -17.53% | 0.78% | 2022-04-04 | -21.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -15.10% | 0.78% | 2022-04-04 | -21.84% |
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 |
|---|---|---|---|---|---|
| ADSK | 2022-04-04 | 213.88 | 1.2017 | 0.5314 | no |
| ALGN | 2022-04-04 | 445.43 | 1.8073 | 0.5224 | no |
| AMD | 2022-04-04 | 109.97 | 0.9796 | 0.6131 | no |
| AVY | 2022-04-04 | 160.37 | 0.7889 | 0.5291 | no |
| BA | 2022-04-04 | 190.02 | 1.3567 | 0.5461 | no |
| BAC | 2022-04-04 | 36.16 | 1.1360 | 0.4841 | no |
| BEN | 2022-04-04 | 22.39 | 1.2702 | 0.5031 | no |
| BWA | 2022-04-04 | 32.41 | 1.0087 | 0.5104 | no |
| C | 2022-04-04 | 44.72 | 1.1476 | 0.5074 | no |
| CFG | 2022-04-04 | 36.23 | 1.5168 | 0.4849 | no |
| CHRW | 2022-04-04 | 91.75 | 0.8556 | 0.5554 | no |
| COF | 2022-04-04 | 120.85 | 1.5850 | 0.4919 | no |
| CRL | 2022-04-04 | 288.59 | 1.2837 | 0.4825 | no |
| DHI | 2022-04-04 | 73.20 | 0.8703 | 0.4775 | no |
| DIS | 2022-04-04 | 132.80 | 0.8863 | 0.5151 | no |
| EFX | 2022-04-04 | 225.04 | 0.8079 | 0.4377 | no |
| GLW | 2022-04-04 | 32.49 | 0.8290 | 0.5135 | no |
| INTC | 2022-04-04 | 45.02 | 0.8631 | 0.5993 | no |
| INTU | 2022-04-04 | 469.12 | 0.8845 | 0.4776 | no |
| JCI | 2022-04-04 | 60.97 | 0.7801 | 0.4787 | no |
| JPM | 2022-04-04 | 119.78 | 1.1654 | 0.4837 | no |
| KEYS | 2022-04-04 | 158.12 | 0.7295 | 0.4450 | no |
| KLAC | 2022-04-04 | 34.64 | 0.7589 | 0.6122 | no |
| KMX | 2022-04-04 | 98.56 | 0.8739 | 0.5200 | no |
| LRCX | 2022-04-04 | 50.36 | 1.2782 | 0.6155 | no |
| MCHP | 2022-04-04 | 67.06 | 1.0472 | 0.6080 | no |
| MS | 2022-04-04 | 74.83 | 1.2938 | 0.4576 | no |
| MTD | 2022-04-04 | 1368.73 | 0.9168 | 0.4448 | no |
| MU | 2022-04-04 | 75.17 | 2.2246 | 0.6064 | no |
| NKE | 2022-04-04 | 121.90 | 0.7613 | 0.4712 | no |
| NVR | 2022-04-04 | 4535.95 | 0.7373 | — | no |
| NXPI | 2022-04-04 | 166.97 | 1.2859 | 0.6120 | no |
| PENN | 2022-04-04 | 42.26 | 1.0338 | 0.5408 | no |
| PH | 2022-04-04 | 266.00 | 1.0387 | 0.5261 | no |
| PHM | 2022-04-04 | 41.06 | 1.3285 | 0.4999 | no |
| PNC | 2022-04-04 | 151.78 | 1.2466 | 0.5173 | no |
| POOL | 2022-04-04 | 397.48 | 0.7276 | 0.5383 | no |
| QCOM | 2022-04-04 | 133.58 | 1.3041 | 0.5697 | no |
| QRVO | 2022-04-04 | 122.53 | 1.3104 | — | no |
| SBUX | 2022-04-04 | 78.80 | 0.8884 | 0.4686 | no |
| SPG | 2022-04-04 | 104.05 | 0.8245 | 0.5057 | no |
| STT | 2022-04-04 | 74.49 | 1.4916 | 0.4842 | no |
| SWKS | 2022-04-04 | 116.59 | 1.2970 | 0.6184 | no |
| SYF | 2022-04-04 | 32.13 | 0.7964 | 0.4645 | no |
| TEL | 2022-04-04 | 123.02 | 1.0475 | — | no |
| TFC | 2022-04-04 | 43.80 | 0.9392 | 0.4987 | no |
| USB | 2022-04-04 | 43.27 | 0.7485 | 0.5173 | no |
| WFC | 2022-04-04 | 43.25 | 1.3110 | 0.4860 | no |
| WYNN | 2022-04-04 | 78.20 | 1.4682 | 0.5737 | no |
| XRAY | 2022-04-04 | 44.36 | 0.9753 | 0.5211 | no |