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 | -14.46% | 2.87% | 2022-04-20 | -20.00% |
| buy & hold | participation factor overlay | 6 months | complete | -19.55% | 2.87% | 2022-04-20 | -22.11% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -15.49% | 3.51% | 2022-04-19 | -20.82% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -20.93% | 3.51% | 2022-04-19 | -24.13% |
| weekly rebalance | participation factor overlay | 3 months | complete | -12.21% | 2.81% | 2022-04-20 | -16.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | -16.39% | 2.81% | 2022-04-20 | -19.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -14.82% | 3.46% | 2022-04-19 | -19.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -19.90% | 3.46% | 2022-04-19 | -23.44% |
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 | 0.8308 | 0.5375 | no |
| ALGN | 2022-04-11 | 414.00 | 1.5132 | 0.5276 | no |
| ALK | 2022-04-11 | 52.25 | 0.7809 | 0.4903 | no |
| AMAT | 2022-04-11 | 113.80 | 0.8417 | 0.5988 | no |
| AMD | 2022-04-11 | 98.60 | 1.3863 | 0.5936 | no |
| BA | 2022-04-11 | 173.84 | 1.3630 | 0.5543 | no |
| BAC | 2022-04-11 | 35.27 | 0.6614 | 0.4798 | no |
| BKNG | 2022-04-11 | 84.01 | 0.9153 | 0.4776 | no |
| BLK | 2022-04-11 | 656.21 | 0.5503 | — | no |
| BWA | 2022-04-11 | 29.90 | 0.6329 | 0.4654 | no |
| CBRE | 2022-04-11 | 86.01 | 0.6247 | 0.4869 | no |
| CRL | 2022-04-11 | 302.39 | 0.8592 | 0.4803 | no |
| CZR | 2022-04-11 | 68.24 | 1.2322 | 0.5918 | no |
| DD | 2022-04-11 | 78.72 | 0.6703 | 0.5042 | no |
| ETSY | 2022-04-11 | 115.13 | 0.9847 | — | no |
| FDX | 2022-04-11 | 146.49 | 0.6306 | 0.5200 | no |
| FITB | 2022-04-11 | 34.35 | 1.2973 | 0.5179 | no |
| GLW | 2022-04-11 | 30.37 | 0.8328 | 0.4997 | no |
| GRMN | 2022-04-11 | 103.57 | 0.5484 | 0.5607 | no |
| HBAN | 2022-04-11 | 11.29 | 0.6982 | 0.4745 | no |
| IFF | 2022-04-11 | 110.11 | 0.7329 | 0.4931 | no |
| INTU | 2022-04-11 | 462.98 | 0.8102 | 0.4795 | no |
| IVZ | 2022-04-11 | 17.47 | 0.7593 | 0.4735 | no |
| JBHT | 2022-04-11 | 165.74 | 0.6403 | 0.5137 | no |
| JPM | 2022-04-11 | 119.66 | 0.5741 | 0.4799 | no |
| LRCX | 2022-04-11 | 46.61 | 0.9617 | 0.6012 | no |
| LUMN | 2022-04-11 | 10.88 | 0.8268 | 0.4882 | no |
| LVS | 2022-04-11 | 32.94 | 0.5894 | 0.5409 | no |
| MCHP | 2022-04-11 | 59.09 | 1.4349 | 0.5857 | no |
| MGM | 2022-04-11 | 38.65 | 0.7605 | 0.5487 | no |
| MS | 2022-04-11 | 72.27 | 1.0951 | 0.4523 | no |
| MU | 2022-04-11 | 69.06 | 1.6437 | 0.5894 | no |
| NCLH | 2022-04-11 | 19.65 | 0.7434 | 0.4368 | no |
| NKE | 2022-04-11 | 114.61 | 0.9719 | 0.4679 | no |
| NTAP | 2022-04-11 | 70.57 | 0.5660 | 0.5181 | no |
| NXPI | 2022-04-11 | 152.01 | 1.2941 | 0.5883 | no |
| ODFL | 2022-04-11 | 126.36 | 1.2787 | 0.5186 | no |
| PENN | 2022-04-11 | 35.92 | 1.4888 | 0.5390 | no |
| PH | 2022-04-11 | 258.82 | 0.7160 | 0.5141 | no |
| PHM | 2022-04-11 | 38.53 | 0.8965 | 0.4877 | no |
| POOL | 2022-04-11 | 391.24 | 0.6241 | 0.5355 | no |
| QCOM | 2022-04-11 | 121.41 | 1.1265 | 0.5541 | no |
| QRVO | 2022-04-11 | 113.40 | 0.8990 | — | no |
| RF | 2022-04-11 | 17.21 | 0.9587 | 0.5124 | no |
| SBUX | 2022-04-11 | 72.52 | 0.6680 | 0.4682 | no |
| SWKS | 2022-04-11 | 106.24 | 1.2386 | 0.5649 | no |
| TFC | 2022-04-11 | 42.61 | 0.9586 | 0.4987 | no |
| WFC | 2022-04-11 | 43.69 | 0.8643 | 0.4850 | no |
| WYNN | 2022-04-11 | 68.80 | 1.8239 | 0.5727 | no |
| ZBRA | 2022-04-11 | 410.78 | 0.9797 | 0.4564 | no |