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 | -14.66% | 3.13% | 2022-04-19 | -20.54% |
| buy & hold | participation factor overlay | 6 months | complete | -19.95% | 3.13% | 2022-04-19 | -22.76% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -15.53% | 3.58% | 2022-04-19 | -21.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -20.46% | 3.58% | 2022-04-19 | -23.65% |
| weekly rebalance | participation factor overlay | 3 months | complete | -13.03% | 3.25% | 2022-04-20 | -17.97% |
| weekly rebalance | participation factor overlay | 6 months | complete | -17.30% | 3.25% | 2022-04-20 | -20.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -14.97% | 3.50% | 2022-04-19 | -19.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -18.23% | 3.50% | 2022-04-19 | -21.91% |
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 | 0.7238 | 0.5375 | no |
| ALGN | 2022-04-11 | 414.00 | 1.4300 | 0.5276 | no |
| ALK | 2022-04-11 | 52.25 | 1.0331 | 0.4903 | no |
| AMAT | 2022-04-11 | 113.80 | 0.8051 | 0.5988 | no |
| AMD | 2022-04-11 | 98.60 | 1.4417 | 0.5936 | no |
| BA | 2022-04-11 | 173.84 | 1.5463 | 0.5543 | no |
| BEN | 2022-04-11 | 20.98 | 0.6599 | 0.4944 | no |
| BKNG | 2022-04-11 | 84.01 | 1.0698 | 0.4776 | no |
| BLK | 2022-04-11 | 656.21 | 0.6026 | — | no |
| BWA | 2022-04-11 | 29.90 | 0.6845 | 0.4654 | no |
| CAT | 2022-04-11 | 201.22 | 0.5449 | 0.5414 | no |
| CRL | 2022-04-11 | 302.39 | 0.5378 | 0.4803 | no |
| CZR | 2022-04-11 | 68.24 | 1.1980 | 0.5918 | no |
| DPZ | 2022-04-11 | 362.95 | 0.7609 | 0.4783 | no |
| ETSY | 2022-04-11 | 115.13 | 1.0365 | — | no |
| FDX | 2022-04-11 | 146.49 | 0.6849 | 0.5200 | no |
| FITB | 2022-04-11 | 34.35 | 1.1555 | 0.5179 | no |
| GLW | 2022-04-11 | 30.37 | 0.8913 | 0.4997 | no |
| HBAN | 2022-04-11 | 11.29 | 0.5864 | 0.4745 | no |
| INTU | 2022-04-11 | 462.98 | 0.5938 | 0.4795 | no |
| IVZ | 2022-04-11 | 17.47 | 0.7265 | 0.4735 | no |
| JBHT | 2022-04-11 | 165.74 | 0.6703 | 0.5137 | no |
| KLAC | 2022-04-11 | 32.26 | 0.5832 | 0.5975 | no |
| LRCX | 2022-04-11 | 46.61 | 0.8671 | 0.6012 | no |
| LUMN | 2022-04-11 | 10.88 | 0.5902 | 0.4882 | no |
| LVS | 2022-04-11 | 32.94 | 0.7150 | 0.5409 | no |
| MCHP | 2022-04-11 | 59.09 | 1.4454 | 0.5857 | no |
| MGM | 2022-04-11 | 38.65 | 0.7642 | 0.5487 | no |
| MRNA | 2022-04-11 | 156.00 | 0.5908 | 0.5022 | no |
| MS | 2022-04-11 | 72.27 | 0.8925 | 0.4523 | no |
| MU | 2022-04-11 | 69.06 | 1.6335 | 0.5894 | no |
| NCLH | 2022-04-11 | 19.65 | 0.6855 | 0.4368 | no |
| NKE | 2022-04-11 | 114.61 | 1.1849 | 0.4679 | no |
| NVDA | 2022-04-11 | 22.12 | 0.6097 | 0.5815 | no |
| NXPI | 2022-04-11 | 152.01 | 1.1581 | 0.5883 | no |
| ODFL | 2022-04-11 | 126.36 | 1.1346 | 0.5186 | no |
| PENN | 2022-04-11 | 35.92 | 1.5997 | 0.5390 | no |
| PH | 2022-04-11 | 258.82 | 0.8218 | 0.5141 | no |
| PHM | 2022-04-11 | 38.53 | 1.0839 | 0.4877 | no |
| POOL | 2022-04-11 | 391.24 | 0.7332 | 0.5355 | no |
| QCOM | 2022-04-11 | 121.41 | 1.0544 | 0.5541 | no |
| QRVO | 2022-04-11 | 113.40 | 0.9847 | — | no |
| RCL | 2022-04-11 | 74.44 | 0.5347 | 0.4731 | no |
| RF | 2022-04-11 | 17.21 | 0.7937 | 0.5124 | no |
| SBUX | 2022-04-11 | 72.52 | 0.6107 | 0.4682 | no |
| SWKS | 2022-04-11 | 106.24 | 1.2533 | 0.5649 | no |
| TFC | 2022-04-11 | 42.61 | 0.8634 | 0.4987 | no |
| WFC | 2022-04-11 | 43.69 | 0.6942 | 0.4850 | no |
| WYNN | 2022-04-11 | 68.80 | 1.5570 | 0.5727 | no |
| ZBRA | 2022-04-11 | 410.78 | 1.0349 | 0.4564 | no |