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 | -14.68% | 3.24% | 2022-04-19 | -20.63% |
| buy & hold | participation factor overlay | 6 months | complete | -20.58% | 3.24% | 2022-04-19 | -23.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -16.84% | 3.40% | 2022-04-19 | -22.28% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -22.05% | 3.40% | 2022-04-19 | -25.00% |
| weekly rebalance | participation factor overlay | 3 months | complete | -11.99% | 3.26% | 2022-04-19 | -16.53% |
| weekly rebalance | participation factor overlay | 6 months | complete | -15.37% | 3.26% | 2022-04-19 | -18.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -14.04% | 3.32% | 2022-04-19 | -19.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -16.06% | 3.32% | 2022-04-19 | -20.19% |
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 | 2022-04-11 | 198.41 | 0.7461 | 0.5375 | no |
| ALGN | 2022-04-11 | 414.00 | 1.5471 | 0.5276 | no |
| ALK | 2022-04-11 | 52.25 | 0.7508 | 0.4903 | no |
| AMAT | 2022-04-11 | 113.80 | 0.7335 | 0.5988 | no |
| AMD | 2022-04-11 | 98.60 | 1.2814 | 0.5936 | no |
| BA | 2022-04-11 | 173.84 | 1.4786 | 0.5543 | no |
| BAC | 2022-04-11 | 35.27 | 0.5979 | 0.4798 | no |
| BEN | 2022-04-11 | 20.98 | 0.5757 | 0.4944 | no |
| BKNG | 2022-04-11 | 84.01 | 0.9563 | 0.4776 | no |
| C | 2022-04-11 | 43.47 | 0.5241 | 0.5028 | no |
| CRL | 2022-04-11 | 302.39 | 0.8785 | 0.4803 | no |
| CZR | 2022-04-11 | 68.24 | 0.9291 | 0.5918 | no |
| DAL | 2022-04-11 | 35.42 | 0.5714 | 0.5085 | no |
| DPZ | 2022-04-11 | 362.95 | 0.5252 | 0.4783 | no |
| ETSY | 2022-04-11 | 115.13 | 0.8387 | — | no |
| EXPE | 2022-04-11 | 175.07 | 0.6160 | 0.4537 | no |
| FDX | 2022-04-11 | 146.49 | 0.5199 | 0.5200 | no |
| FITB | 2022-04-11 | 34.35 | 1.0451 | 0.5179 | no |
| GLW | 2022-04-11 | 30.37 | 0.7786 | 0.4997 | no |
| GRMN | 2022-04-11 | 103.57 | 0.6344 | 0.5607 | no |
| IFF | 2022-04-11 | 110.11 | 0.5869 | 0.4931 | no |
| INTU | 2022-04-11 | 462.98 | 0.8316 | 0.4795 | no |
| IVZ | 2022-04-11 | 17.47 | 0.5790 | 0.4735 | no |
| JBHT | 2022-04-11 | 165.74 | 0.6954 | 0.5137 | no |
| KLAC | 2022-04-11 | 32.26 | 0.6064 | 0.5975 | no |
| LEN | 2022-04-11 | 66.92 | 0.5399 | 0.4502 | no |
| LRCX | 2022-04-11 | 46.61 | 0.8815 | 0.6012 | no |
| MCHP | 2022-04-11 | 59.09 | 1.3598 | 0.5857 | no |
| MGM | 2022-04-11 | 38.65 | 0.7249 | 0.5487 | no |
| MS | 2022-04-11 | 72.27 | 1.1620 | 0.4523 | no |
| MU | 2022-04-11 | 69.06 | 1.6539 | 0.5894 | no |
| NCLH | 2022-04-11 | 19.65 | 0.5920 | 0.4368 | no |
| NKE | 2022-04-11 | 114.61 | 1.1441 | 0.4679 | no |
| NOW | 2022-04-11 | 101.57 | 0.6120 | 0.5518 | no |
| NVDA | 2022-04-11 | 22.12 | 0.7028 | 0.5815 | no |
| NXPI | 2022-04-11 | 152.01 | 0.8860 | 0.5883 | no |
| ODFL | 2022-04-11 | 126.36 | 1.2753 | 0.5186 | no |
| PENN | 2022-04-11 | 35.92 | 1.5897 | 0.5390 | no |
| PH | 2022-04-11 | 258.82 | 0.5142 | 0.5141 | no |
| PHM | 2022-04-11 | 38.53 | 0.8606 | 0.4877 | no |
| POOL | 2022-04-11 | 391.24 | 0.8451 | 0.5355 | no |
| QCOM | 2022-04-11 | 121.41 | 1.0689 | 0.5541 | no |
| QRVO | 2022-04-11 | 113.40 | 0.9120 | — | no |
| RF | 2022-04-11 | 17.21 | 0.7877 | 0.5124 | no |
| SBUX | 2022-04-11 | 72.52 | 0.6060 | 0.4682 | no |
| SWKS | 2022-04-11 | 106.24 | 1.1765 | 0.5649 | no |
| TFC | 2022-04-11 | 42.61 | 0.8336 | 0.4987 | no |
| WFC | 2022-04-11 | 43.69 | 0.8148 | 0.4850 | no |
| WYNN | 2022-04-11 | 68.80 | 1.4540 | 0.5727 | no |
| ZBRA | 2022-04-11 | 410.78 | 0.8555 | 0.4564 | no |