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 | -18.53% | 0.78% | 2022-04-04 | -21.02% |
| buy & hold | participation factor overlay | 6 months | complete | -17.95% | 0.78% | 2022-04-04 | -24.17% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -19.75% | 0.81% | 2022-04-04 | -22.26% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -19.48% | 0.81% | 2022-04-04 | -25.60% |
| weekly rebalance | participation factor overlay | 3 months | complete | -17.32% | 0.78% | 2022-04-04 | -20.14% |
| weekly rebalance | participation factor overlay | 6 months | complete | -16.37% | 0.78% | 2022-04-04 | -22.69% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -18.91% | 0.81% | 2022-04-04 | -21.60% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -17.63% | 0.81% | 2022-04-04 | -23.82% |
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 | 1.0910 | 0.5314 | no |
| ALGN | 2022-04-04 | 445.43 | 1.8655 | 0.5224 | no |
| AMAT | 2022-04-04 | 122.43 | 0.7921 | 0.6147 | no |
| AMD | 2022-04-04 | 109.97 | 1.2146 | 0.6131 | no |
| BA | 2022-04-04 | 190.02 | 1.4746 | 0.5461 | no |
| BAC | 2022-04-04 | 36.16 | 1.0154 | 0.4841 | no |
| BEN | 2022-04-04 | 22.39 | 1.3279 | 0.5031 | no |
| BWA | 2022-04-04 | 32.41 | 0.8706 | 0.5104 | no |
| C | 2022-04-04 | 44.72 | 0.9565 | 0.5074 | no |
| CDW | 2022-04-04 | 166.89 | 0.6715 | 0.5347 | no |
| CFG | 2022-04-04 | 36.23 | 1.4227 | 0.4849 | no |
| CHRW | 2022-04-04 | 91.75 | 0.7717 | 0.5554 | no |
| COF | 2022-04-04 | 120.85 | 1.6185 | 0.4919 | no |
| CRL | 2022-04-04 | 288.59 | 1.3121 | 0.4825 | no |
| CZR | 2022-04-04 | 77.30 | 0.8853 | 0.5948 | no |
| DIS | 2022-04-04 | 132.80 | 0.9343 | 0.5151 | no |
| EFX | 2022-04-04 | 225.04 | 0.9609 | 0.4377 | no |
| FDX | 2022-04-04 | 160.28 | 0.7020 | 0.5435 | no |
| GLW | 2022-04-04 | 32.49 | 0.8709 | 0.5135 | no |
| HBAN | 2022-04-04 | 11.80 | 0.8432 | 0.4748 | no |
| JPM | 2022-04-04 | 119.78 | 1.3369 | 0.4837 | no |
| KEY | 2022-04-04 | 17.23 | 1.0044 | 0.4888 | no |
| KEYS | 2022-04-04 | 158.12 | 0.6938 | 0.4450 | no |
| KLAC | 2022-04-04 | 34.64 | 0.6800 | 0.6122 | no |
| KMX | 2022-04-04 | 98.56 | 0.9353 | 0.5200 | no |
| LRCX | 2022-04-04 | 50.36 | 1.3734 | 0.6155 | no |
| MCHP | 2022-04-04 | 67.06 | 0.9262 | 0.6080 | no |
| MS | 2022-04-04 | 74.83 | 1.1207 | 0.4576 | no |
| MTCH | 2022-04-04 | 105.75 | 0.7790 | 0.4362 | no |
| MTD | 2022-04-04 | 1368.73 | 0.6960 | 0.4448 | no |
| MU | 2022-04-04 | 75.17 | 2.3258 | 0.6064 | no |
| NKE | 2022-04-04 | 121.90 | 0.9033 | 0.4712 | no |
| NXPI | 2022-04-04 | 166.97 | 1.2082 | 0.6120 | no |
| PENN | 2022-04-04 | 42.26 | 1.2594 | 0.5408 | no |
| PH | 2022-04-04 | 266.00 | 0.9799 | 0.5261 | no |
| PHM | 2022-04-04 | 41.06 | 1.2786 | 0.4999 | no |
| PNC | 2022-04-04 | 151.78 | 1.2926 | 0.5173 | no |
| POOL | 2022-04-04 | 397.48 | 0.8538 | 0.5383 | no |
| QCOM | 2022-04-04 | 133.58 | 1.2870 | 0.5697 | no |
| QRVO | 2022-04-04 | 122.53 | 1.2777 | — | no |
| SBUX | 2022-04-04 | 78.80 | 0.9404 | 0.4686 | no |
| STT | 2022-04-04 | 74.49 | 1.4140 | 0.4842 | no |
| SWKS | 2022-04-04 | 116.59 | 1.2717 | 0.6184 | no |
| SYF | 2022-04-04 | 32.13 | 0.7127 | 0.4645 | no |
| TEL | 2022-04-04 | 123.02 | 1.1255 | — | no |
| TFC | 2022-04-04 | 43.80 | 0.9474 | 0.4987 | no |
| TROW | 2022-04-04 | 123.82 | 0.7075 | — | no |
| WFC | 2022-04-04 | 43.25 | 1.3873 | 0.4860 | no |
| WYNN | 2022-04-04 | 78.20 | 1.3988 | 0.5737 | no |
| XRAY | 2022-04-04 | 44.36 | 0.7333 | 0.5211 | no |