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 | -9.95% | 3.37% | 2022-04-20 | -17.86% |
| buy & hold | participation factor overlay | 6 months | complete | -14.85% | 3.37% | 2022-04-20 | -20.63% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.04% | 3.39% | 2022-04-19 | -18.09% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -15.76% | 3.39% | 2022-04-19 | -21.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | -10.72% | 3.37% | 2022-04-20 | -16.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | -12.91% | 3.37% | 2022-04-20 | -19.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.88% | 3.39% | 2022-04-19 | -19.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -16.77% | 3.39% | 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 | 2022-04-18 | 195.09 | 0.8621 | 0.5418 | no |
| ALGN | 2022-04-18 | 408.02 | 1.2296 | 0.5292 | no |
| AMAT | 2022-04-18 | 108.31 | 1.2093 | 0.5947 | no |
| AMD | 2022-04-18 | 92.03 | 1.6321 | 0.5870 | no |
| APD | 2022-04-18 | 220.38 | 0.6545 | 0.5396 | no |
| BA | 2022-04-18 | 181.45 | 0.9526 | 0.5581 | no |
| BLK | 2022-04-18 | 615.41 | 0.8225 | — | no |
| CRL | 2022-04-18 | 283.76 | 1.0336 | 0.4796 | no |
| CRM | 2022-04-18 | 184.77 | 0.6863 | 0.6001 | no |
| CZR | 2022-04-18 | 68.16 | 1.4736 | 0.5849 | no |
| DHI | 2022-04-18 | 68.25 | 1.3590 | 0.4556 | no |
| ETSY | 2022-04-18 | 115.33 | 0.9520 | — | no |
| FDX | 2022-04-18 | 150.83 | 0.7424 | 0.5117 | no |
| FITB | 2022-04-18 | 32.98 | 0.9447 | 0.5179 | no |
| GLW | 2022-04-18 | 30.15 | 0.7781 | 0.4975 | no |
| GNRC | 2022-04-18 | 250.00 | 1.1894 | 0.4696 | no |
| INTU | 2022-04-18 | 446.83 | 0.8626 | 0.4740 | no |
| IVZ | 2022-04-18 | 17.18 | 0.6504 | 0.4640 | no |
| JBHT | 2022-04-18 | 164.63 | 0.6949 | 0.5063 | no |
| JPM | 2022-04-18 | 113.06 | 0.8434 | 0.4784 | no |
| KEY | 2022-04-18 | 16.30 | 0.7710 | 0.4885 | no |
| KEYS | 2022-04-18 | 143.79 | 0.7016 | 0.4383 | no |
| KLAC | 2022-04-18 | 30.64 | 1.1044 | 0.5951 | no |
| LEN | 2022-04-18 | 68.51 | 1.6377 | 0.4424 | no |
| LOW | 2022-04-18 | 183.36 | 0.9016 | 0.5426 | no |
| LRCX | 2022-04-18 | 43.18 | 1.2600 | 0.5932 | no |
| MHK | 2022-04-18 | 123.37 | 0.9586 | 0.4430 | no |
| MS | 2022-04-18 | 72.97 | 1.0720 | 0.4685 | no |
| MU | 2022-04-18 | 68.77 | 1.3221 | 0.5862 | no |
| NKE | 2022-04-18 | 120.93 | 0.6835 | 0.4639 | no |
| NOW | 2022-04-18 | 101.33 | 0.6174 | 0.5493 | no |
| NVR | 2022-04-18 | 4308.98 | 1.1385 | — | no |
| NXPI | 2022-04-18 | 155.93 | 1.3819 | 0.5836 | no |
| ODFL | 2022-04-18 | 128.52 | 0.7812 | 0.5102 | no |
| PENN | 2022-04-18 | 36.97 | 1.2391 | 0.5261 | no |
| PH | 2022-04-18 | 257.67 | 0.6547 | 0.5096 | no |
| PHM | 2022-04-18 | 40.31 | 1.2270 | 0.4809 | no |
| PNC | 2022-04-18 | 147.70 | 0.8786 | 0.5059 | no |
| POOL | 2022-04-18 | 383.50 | 0.7143 | 0.5340 | no |
| QCOM | 2022-04-18 | 122.62 | 1.1967 | 0.5478 | no |
| QRVO | 2022-04-18 | 112.12 | 1.1702 | — | no |
| RF | 2022-04-18 | 17.01 | 1.5706 | 0.5124 | no |
| STT | 2022-04-18 | 64.84 | 0.8267 | 0.4775 | no |
| SWKS | 2022-04-18 | 102.64 | 1.6433 | 0.5546 | no |
| TEL | 2022-04-18 | 112.85 | 0.6545 | — | no |
| TFC | 2022-04-18 | 41.47 | 1.1235 | 0.4987 | no |
| WFC | 2022-04-18 | 41.26 | 1.0518 | 0.4780 | no |
| WHR | 2022-04-18 | 135.31 | 1.0330 | 0.4852 | no |
| WYNN | 2022-04-18 | 70.93 | 0.8377 | 0.5631 | no |
| ZBRA | 2022-04-18 | 391.00 | 0.8861 | 0.4562 | no |