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 | -10.21% | 3.41% | 2022-04-20 | -18.31% |
| buy & hold | participation factor overlay | 6 months | complete | -15.73% | 3.41% | 2022-04-20 | -21.58% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.39% | 3.49% | 2022-04-19 | -18.46% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -16.87% | 3.49% | 2022-04-19 | -22.66% |
| weekly rebalance | participation factor overlay | 3 months | complete | -12.15% | 3.41% | 2022-04-20 | -17.97% |
| weekly rebalance | participation factor overlay | 6 months | complete | -14.21% | 3.41% | 2022-04-20 | -20.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -14.19% | 3.49% | 2022-04-19 | -19.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -14.93% | 3.49% | 2022-04-19 | -21.92% |
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 | 0.8179 | 0.5418 | no |
| ALGN | 2022-04-18 | 408.02 | 1.3556 | 0.5292 | no |
| AMAT | 2022-04-18 | 108.31 | 1.0358 | 0.5947 | no |
| AMD | 2022-04-18 | 92.03 | 1.2711 | 0.5870 | no |
| APD | 2022-04-18 | 220.38 | 0.6326 | 0.5396 | no |
| APTV | 2022-04-18 | 103.21 | 0.6570 | 0.4446 | no |
| BA | 2022-04-18 | 181.45 | 1.0633 | 0.5581 | no |
| BLK | 2022-04-18 | 615.41 | 1.0312 | — | no |
| CRL | 2022-04-18 | 283.76 | 0.9837 | 0.4796 | no |
| CZR | 2022-04-18 | 68.16 | 1.3902 | 0.5849 | no |
| DHI | 2022-04-18 | 68.25 | 1.2189 | 0.4556 | no |
| ETSY | 2022-04-18 | 115.33 | 0.9435 | — | no |
| FDX | 2022-04-18 | 150.83 | 0.6484 | 0.5117 | no |
| FITB | 2022-04-18 | 32.98 | 0.6615 | 0.5179 | no |
| GLW | 2022-04-18 | 30.15 | 0.8630 | 0.4975 | no |
| GNRC | 2022-04-18 | 250.00 | 1.0488 | 0.4696 | no |
| INTU | 2022-04-18 | 446.83 | 0.8946 | 0.4740 | no |
| IVZ | 2022-04-18 | 17.18 | 0.6286 | 0.4640 | no |
| JPM | 2022-04-18 | 113.06 | 0.9834 | 0.4784 | no |
| KLAC | 2022-04-18 | 30.64 | 0.7796 | 0.5951 | no |
| LEN | 2022-04-18 | 68.51 | 1.4954 | 0.4424 | no |
| LOW | 2022-04-18 | 183.36 | 0.9688 | 0.5426 | no |
| LRCX | 2022-04-18 | 43.18 | 0.9615 | 0.5932 | no |
| MCHP | 2022-04-18 | 58.65 | 0.7303 | 0.5784 | no |
| MHK | 2022-04-18 | 123.37 | 0.7175 | 0.4430 | no |
| MS | 2022-04-18 | 72.97 | 0.7393 | 0.4685 | no |
| MU | 2022-04-18 | 68.77 | 1.4217 | 0.5862 | no |
| NOW | 2022-04-18 | 101.33 | 0.6379 | 0.5493 | no |
| NTRS | 2022-04-18 | 96.50 | 0.5895 | 0.4643 | no |
| NVDA | 2022-04-18 | 21.11 | 0.6965 | 0.5758 | no |
| NVR | 2022-04-18 | 4308.98 | 1.1298 | — | no |
| NXPI | 2022-04-18 | 155.93 | 1.1433 | 0.5836 | no |
| PENN | 2022-04-18 | 36.97 | 1.0961 | 0.5261 | no |
| PH | 2022-04-18 | 257.67 | 0.6481 | 0.5096 | no |
| PHM | 2022-04-18 | 40.31 | 1.1659 | 0.4809 | no |
| PNC | 2022-04-18 | 147.70 | 0.8933 | 0.5059 | no |
| POOL | 2022-04-18 | 383.50 | 0.7986 | 0.5340 | no |
| PTC | 2022-04-18 | 98.44 | 0.5590 | 0.5025 | no |
| QCOM | 2022-04-18 | 122.62 | 1.1919 | 0.5478 | no |
| QRVO | 2022-04-18 | 112.12 | 1.2127 | — | no |
| RF | 2022-04-18 | 17.01 | 1.4723 | 0.5124 | no |
| SHW | 2022-04-18 | 239.63 | 0.6664 | 0.5163 | no |
| STT | 2022-04-18 | 64.84 | 0.8331 | 0.4775 | no |
| SWKS | 2022-04-18 | 102.64 | 1.4936 | 0.5546 | no |
| TFC | 2022-04-18 | 41.47 | 0.8268 | 0.4987 | no |
| VRSK | 2022-04-18 | 205.70 | 0.5758 | 0.4584 | no |
| WFC | 2022-04-18 | 41.26 | 1.1621 | 0.4780 | no |
| WHR | 2022-04-18 | 135.31 | 0.7970 | 0.4852 | no |
| WYNN | 2022-04-18 | 70.93 | 1.0179 | 0.5631 | no |
| ZBRA | 2022-04-18 | 391.00 | 0.7338 | 0.4562 | no |