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 | -3.72% | 5.20% | 2022-05-04 | -18.08% |
| buy & hold | participation factor overlay | 6 months | complete | -10.35% | 5.20% | 2022-05-04 | -20.77% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.12% | 5.30% | 2022-05-04 | -17.88% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -9.41% | 5.30% | 2022-05-04 | -20.04% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.95% | 4.96% | 2022-05-04 | -15.92% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.65% | 4.96% | 2022-05-04 | -17.98% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.98% | 4.84% | 2022-05-04 | -18.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.28% | 4.84% | 2022-05-04 | -20.45% |
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 |
|---|---|---|---|---|---|
| ALGN | 2022-04-25 | 363.45 | 1.0337 | 0.5322 | no |
| AMAT | 2022-04-25 | 107.26 | 1.3234 | 0.5893 | no |
| AMD | 2022-04-25 | 89.86 | 1.1279 | 0.5747 | no |
| APTV | 2022-04-25 | 106.13 | 1.2386 | 0.4379 | no |
| BEN | 2022-04-25 | 21.04 | 1.2433 | 0.4885 | no |
| BLK | 2022-04-25 | 591.49 | 1.0492 | — | no |
| CBRE | 2022-04-25 | 83.64 | 0.9366 | 0.4947 | no |
| CRL | 2022-04-25 | 257.05 | 1.0172 | 0.4690 | no |
| CRM | 2022-04-25 | 166.51 | 1.0780 | 0.6068 | no |
| CZR | 2022-04-25 | 65.65 | 1.8906 | 0.5714 | no |
| DD | 2022-04-25 | 76.82 | 1.1019 | 0.5145 | no |
| DHI | 2022-04-25 | 68.02 | 1.5991 | 0.4481 | no |
| DIS | 2022-04-25 | 114.08 | 0.9208 | 0.5020 | no |
| DXC | 2022-04-25 | 29.06 | 0.9403 | 0.4383 | no |
| F | 2022-04-25 | 11.12 | 0.9572 | 0.4892 | no |
| FITB | 2022-04-25 | 32.37 | 1.1947 | 0.4838 | no |
| GLW | 2022-04-25 | 30.02 | 1.2579 | 0.4805 | no |
| GNRC | 2022-04-25 | 234.03 | 1.2431 | 0.4754 | no |
| INTU | 2022-04-25 | 427.38 | 0.8689 | 0.4733 | no |
| KEY | 2022-04-25 | 16.37 | 1.2135 | 0.4988 | no |
| LEN | 2022-04-25 | 68.79 | 1.8825 | 0.4346 | no |
| LOW | 2022-04-25 | 180.83 | 1.2818 | 0.5469 | no |
| LRCX | 2022-04-25 | 44.06 | 1.3616 | 0.5825 | no |
| MCHP | 2022-04-25 | 59.32 | 1.2802 | 0.5709 | no |
| MHK | 2022-04-25 | 123.12 | 1.5075 | 0.4369 | no |
| MS | 2022-04-25 | 72.66 | 1.4483 | 0.4680 | no |
| MU | 2022-04-25 | 66.97 | 0.9508 | 0.5761 | no |
| NKE | 2022-04-25 | 117.09 | 0.8630 | 0.4638 | no |
| NOW | 2022-04-25 | 92.95 | 1.1817 | 0.5512 | no |
| NTAP | 2022-04-25 | 68.99 | 0.8706 | 0.5054 | no |
| NVDA | 2022-04-25 | 19.12 | 1.0420 | 0.5665 | no |
| NVR | 2022-04-25 | 4271.39 | 1.2948 | — | no |
| NXPI | 2022-04-25 | 156.17 | 1.2937 | 0.5726 | no |
| ODFL | 2022-04-25 | 130.79 | 1.4505 | 0.5094 | no |
| PENN | 2022-04-25 | 37.03 | 1.7611 | 0.5057 | no |
| PH | 2022-04-25 | 259.46 | 0.9125 | 0.5103 | no |
| PHM | 2022-04-25 | 40.02 | 1.7870 | 0.4721 | no |
| PNC | 2022-04-25 | 145.91 | 0.9771 | 0.5059 | no |
| PTC | 2022-04-25 | 99.06 | 1.0685 | 0.4981 | no |
| QCOM | 2022-04-25 | 118.73 | 1.2768 | 0.5320 | no |
| QRVO | 2022-04-25 | 110.99 | 1.3192 | — | no |
| RF | 2022-04-25 | 17.47 | 1.4297 | 0.4993 | no |
| SBUX | 2022-04-25 | 69.38 | 0.9870 | 0.4515 | no |
| SWKS | 2022-04-25 | 100.31 | 1.1143 | 0.5501 | no |
| SYF | 2022-04-25 | 33.82 | 0.9053 | 0.4548 | no |
| TEL | 2022-04-25 | 113.39 | 1.2981 | — | no |
| WFC | 2022-04-25 | 40.85 | 1.2819 | 0.4780 | no |
| WHR | 2022-04-25 | 138.02 | 1.5751 | 0.4829 | no |
| WYNN | 2022-04-25 | 68.53 | 1.0034 | 0.5520 | no |
| ZION | 2022-04-25 | 50.50 | 1.0336 | 0.4530 | no |