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 | -9.74% | 3.37% | 2022-04-19 | -18.11% |
| buy & hold | participation factor overlay | 6 months | complete | -15.59% | 3.37% | 2022-04-19 | -21.25% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.02% | 3.40% | 2022-04-19 | -18.26% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -16.36% | 3.40% | 2022-04-19 | -22.01% |
| weekly rebalance | participation factor overlay | 3 months | complete | -10.86% | 3.37% | 2022-04-19 | -16.54% |
| weekly rebalance | participation factor overlay | 6 months | complete | -12.27% | 3.37% | 2022-04-19 | -18.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -12.71% | 3.40% | 2022-04-19 | -19.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -12.53% | 3.40% | 2022-04-19 | -20.20% |
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 | 2022-04-18 | 195.09 | 0.9007 | 0.5418 | no |
| ALGN | 2022-04-18 | 408.02 | 1.2381 | 0.5292 | no |
| AMAT | 2022-04-18 | 108.31 | 1.1643 | 0.5947 | no |
| AMD | 2022-04-18 | 92.03 | 1.5436 | 0.5870 | no |
| APD | 2022-04-18 | 220.38 | 0.6732 | 0.5396 | no |
| BA | 2022-04-18 | 181.45 | 1.0960 | 0.5581 | no |
| BLK | 2022-04-18 | 615.41 | 0.7527 | — | no |
| C | 2022-04-18 | 43.51 | 0.6112 | 0.5031 | no |
| CRL | 2022-04-18 | 283.76 | 1.3022 | 0.4796 | no |
| CZR | 2022-04-18 | 68.16 | 1.3682 | 0.5849 | no |
| DHI | 2022-04-18 | 68.25 | 1.1897 | 0.4556 | no |
| ETSY | 2022-04-18 | 115.33 | 0.8581 | — | no |
| FDX | 2022-04-18 | 150.83 | 0.7110 | 0.5117 | no |
| GLW | 2022-04-18 | 30.15 | 0.7973 | 0.4975 | no |
| GNRC | 2022-04-18 | 250.00 | 1.1617 | 0.4696 | no |
| INTU | 2022-04-18 | 446.83 | 0.9233 | 0.4740 | no |
| IVZ | 2022-04-18 | 17.18 | 0.6655 | 0.4640 | no |
| JBHT | 2022-04-18 | 164.63 | 0.6464 | 0.5063 | no |
| JPM | 2022-04-18 | 113.06 | 0.7712 | 0.4784 | no |
| KLAC | 2022-04-18 | 30.64 | 0.9477 | 0.5951 | no |
| LEN | 2022-04-18 | 68.51 | 1.4926 | 0.4424 | no |
| LOW | 2022-04-18 | 183.36 | 0.9996 | 0.5426 | no |
| LRCX | 2022-04-18 | 43.18 | 0.9635 | 0.5932 | no |
| MCHP | 2022-04-18 | 58.65 | 0.7739 | 0.5784 | no |
| MHK | 2022-04-18 | 123.37 | 0.9278 | 0.4430 | no |
| MS | 2022-04-18 | 72.97 | 1.0660 | 0.4685 | no |
| MU | 2022-04-18 | 68.77 | 1.3542 | 0.5862 | no |
| NOW | 2022-04-18 | 101.33 | 0.6584 | 0.5493 | no |
| NVDA | 2022-04-18 | 21.11 | 0.8428 | 0.5758 | no |
| NVR | 2022-04-18 | 4308.98 | 1.1174 | — | no |
| NXPI | 2022-04-18 | 155.93 | 1.0864 | 0.5836 | no |
| ODFL | 2022-04-18 | 128.52 | 0.8193 | 0.5102 | no |
| PENN | 2022-04-18 | 36.97 | 1.2036 | 0.5261 | no |
| PH | 2022-04-18 | 257.67 | 0.6208 | 0.5096 | no |
| PHM | 2022-04-18 | 40.31 | 1.4144 | 0.4809 | no |
| PNC | 2022-04-18 | 147.70 | 0.7039 | 0.5059 | no |
| POOL | 2022-04-18 | 383.50 | 0.7620 | 0.5340 | no |
| QCOM | 2022-04-18 | 122.62 | 1.2591 | 0.5478 | no |
| QRVO | 2022-04-18 | 112.12 | 1.3128 | — | no |
| RF | 2022-04-18 | 17.01 | 1.4260 | 0.5124 | no |
| SBUX | 2022-04-18 | 70.87 | 0.6725 | 0.4679 | no |
| SHW | 2022-04-18 | 239.63 | 0.7553 | 0.5163 | no |
| STT | 2022-04-18 | 64.84 | 0.6760 | 0.4775 | no |
| SWK | 2022-04-18 | 117.10 | 0.7584 | 0.4846 | no |
| SWKS | 2022-04-18 | 102.64 | 1.4848 | 0.5546 | no |
| TFC | 2022-04-18 | 41.47 | 0.9306 | 0.4987 | no |
| WFC | 2022-04-18 | 41.26 | 1.0012 | 0.4780 | no |
| WHR | 2022-04-18 | 135.31 | 1.0499 | 0.4852 | no |
| WYNN | 2022-04-18 | 70.93 | 1.1430 | 0.5631 | no |
| ZBRA | 2022-04-18 | 391.00 | 0.8145 | 0.4562 | no |