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 | -17.79% | 0.75% | 2022-04-04 | -20.77% |
| buy & hold | participation factor overlay | 6 months | complete | -16.89% | 0.75% | 2022-04-04 | -23.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -18.47% | 0.75% | 2022-04-04 | -21.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -17.69% | 0.75% | 2022-04-04 | -23.73% |
| weekly rebalance | participation factor overlay | 3 months | complete | -16.22% | 0.75% | 2022-04-04 | -19.06% |
| weekly rebalance | participation factor overlay | 6 months | complete | -15.00% | 0.75% | 2022-04-04 | -21.46% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -18.67% | 0.75% | 2022-04-04 | -21.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -18.91% | 0.75% | 2022-04-04 | -25.00% |
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 | 1.2495 | 0.5314 | no |
| ALGN | 2022-04-04 | 445.43 | 1.7541 | 0.5224 | no |
| AMAT | 2022-04-04 | 122.43 | 0.7437 | 0.6147 | no |
| AMD | 2022-04-04 | 109.97 | 1.0663 | 0.6131 | no |
| AVY | 2022-04-04 | 160.37 | 0.8632 | 0.5291 | no |
| BA | 2022-04-04 | 190.02 | 1.5395 | 0.5461 | no |
| BAC | 2022-04-04 | 36.16 | 1.1765 | 0.4841 | no |
| BEN | 2022-04-04 | 22.39 | 1.4861 | 0.5031 | no |
| BWA | 2022-04-04 | 32.41 | 0.9338 | 0.5104 | no |
| C | 2022-04-04 | 44.72 | 1.3114 | 0.5074 | no |
| CBRE | 2022-04-04 | 92.09 | 0.7333 | 0.4862 | no |
| CFG | 2022-04-04 | 36.23 | 1.5663 | 0.4849 | no |
| CHRW | 2022-04-04 | 91.75 | 0.9547 | 0.5554 | no |
| COF | 2022-04-04 | 120.85 | 1.6818 | 0.4919 | no |
| CRL | 2022-04-04 | 288.59 | 1.3245 | 0.4825 | no |
| DHI | 2022-04-04 | 73.20 | 0.8349 | 0.4775 | no |
| DIS | 2022-04-04 | 132.80 | 1.0607 | 0.5151 | no |
| DXC | 2022-04-04 | 31.27 | 0.7442 | 0.4476 | no |
| EFX | 2022-04-04 | 225.04 | 0.9083 | 0.4377 | no |
| FITB | 2022-04-04 | 35.13 | 0.8179 | 0.5179 | no |
| GLW | 2022-04-04 | 32.49 | 1.0387 | 0.5135 | no |
| INTU | 2022-04-04 | 469.12 | 0.8132 | 0.4776 | no |
| JCI | 2022-04-04 | 60.97 | 0.7855 | 0.4787 | no |
| JPM | 2022-04-04 | 119.78 | 1.2668 | 0.4837 | no |
| KEY | 2022-04-04 | 17.23 | 1.1240 | 0.4888 | no |
| KLAC | 2022-04-04 | 34.64 | 0.7961 | 0.6122 | no |
| KMX | 2022-04-04 | 98.56 | 0.9059 | 0.5200 | no |
| LRCX | 2022-04-04 | 50.36 | 1.3822 | 0.6155 | no |
| MCHP | 2022-04-04 | 67.06 | 1.0602 | 0.6080 | no |
| MS | 2022-04-04 | 74.83 | 1.3279 | 0.4576 | no |
| MTD | 2022-04-04 | 1368.73 | 0.7755 | 0.4448 | no |
| MU | 2022-04-04 | 75.17 | 2.3100 | 0.6064 | no |
| NKE | 2022-04-04 | 121.90 | 0.8226 | 0.4712 | no |
| NXPI | 2022-04-04 | 166.97 | 1.1406 | 0.6120 | no |
| PENN | 2022-04-04 | 42.26 | 1.1224 | 0.5408 | no |
| PH | 2022-04-04 | 266.00 | 0.9381 | 0.5261 | no |
| PHM | 2022-04-04 | 41.06 | 1.2209 | 0.4999 | no |
| PNC | 2022-04-04 | 151.78 | 1.3088 | 0.5173 | no |
| POOL | 2022-04-04 | 397.48 | 0.9828 | 0.5383 | no |
| QCOM | 2022-04-04 | 133.58 | 1.3822 | 0.5697 | no |
| QRVO | 2022-04-04 | 122.53 | 1.4155 | — | no |
| SBUX | 2022-04-04 | 78.80 | 0.9756 | 0.4686 | no |
| SPG | 2022-04-04 | 104.05 | 0.9507 | 0.5057 | no |
| STT | 2022-04-04 | 74.49 | 1.6423 | 0.4842 | no |
| SWKS | 2022-04-04 | 116.59 | 1.5201 | 0.6184 | no |
| TEL | 2022-04-04 | 123.02 | 1.2393 | — | no |
| TFC | 2022-04-04 | 43.80 | 0.8477 | 0.4987 | no |
| WFC | 2022-04-04 | 43.25 | 1.2588 | 0.4860 | no |
| WYNN | 2022-04-04 | 78.20 | 1.2092 | 0.5737 | no |
| XRAY | 2022-04-04 | 44.36 | 0.9171 | 0.5211 | no |