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 | -3.36% | 5.05% | 2022-05-04 | -17.68% |
| buy & hold | participation factor overlay | 6 months | complete | -10.40% | 5.05% | 2022-05-04 | -20.71% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.40% | 4.96% | 2022-05-04 | -17.76% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -10.40% | 5.22% | 2022-08-12 | -20.82% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.43% | 4.02% | 2022-05-04 | -15.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.99% | 4.02% | 2022-05-04 | -17.32% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.89% | 3.82% | 2022-05-04 | -17.74% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.97% | 3.82% | 2022-05-04 | -18.59% |
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 | 2022-04-25 | 186.65 | 1.0682 | 0.5421 | no |
| ALGN | 2022-04-25 | 363.45 | 1.1164 | 0.5322 | no |
| AMAT | 2022-04-25 | 107.26 | 1.4448 | 0.5893 | no |
| AMD | 2022-04-25 | 89.86 | 1.0962 | 0.5747 | no |
| APTV | 2022-04-25 | 106.13 | 1.2883 | 0.4379 | no |
| BA | 2022-04-25 | 174.51 | 0.9912 | 0.5599 | no |
| BEN | 2022-04-25 | 21.04 | 1.2234 | 0.4885 | no |
| BLK | 2022-04-25 | 591.49 | 0.9035 | — | no |
| CRL | 2022-04-25 | 257.05 | 1.3077 | 0.4690 | no |
| CRM | 2022-04-25 | 166.51 | 1.3725 | 0.6068 | no |
| CZR | 2022-04-25 | 65.65 | 1.8067 | 0.5714 | no |
| DD | 2022-04-25 | 76.82 | 1.1009 | 0.5145 | no |
| DHI | 2022-04-25 | 68.02 | 1.7206 | 0.4481 | no |
| DIS | 2022-04-25 | 114.08 | 1.2236 | 0.5020 | no |
| DXC | 2022-04-25 | 29.06 | 0.8695 | 0.4383 | no |
| F | 2022-04-25 | 11.12 | 1.0271 | 0.4892 | no |
| FDX | 2022-04-25 | 149.75 | 1.1005 | 0.5025 | no |
| FITB | 2022-04-25 | 32.37 | 1.0284 | 0.4838 | no |
| GLW | 2022-04-25 | 30.02 | 1.1096 | 0.4805 | no |
| GNRC | 2022-04-25 | 234.03 | 1.0555 | 0.4754 | no |
| INTU | 2022-04-25 | 427.38 | 1.0311 | 0.4733 | no |
| KEY | 2022-04-25 | 16.37 | 1.3383 | 0.4988 | no |
| LEN | 2022-04-25 | 68.79 | 1.7706 | 0.4346 | no |
| LOW | 2022-04-25 | 180.83 | 1.3466 | 0.5469 | no |
| LRCX | 2022-04-25 | 44.06 | 1.4636 | 0.5825 | no |
| MCHP | 2022-04-25 | 59.32 | 1.4981 | 0.5709 | no |
| MHK | 2022-04-25 | 123.12 | 1.6096 | 0.4369 | no |
| MS | 2022-04-25 | 72.66 | 1.3852 | 0.4680 | no |
| MU | 2022-04-25 | 66.97 | 1.1343 | 0.5761 | no |
| NOW | 2022-04-25 | 92.95 | 1.2977 | 0.5512 | no |
| NVDA | 2022-04-25 | 19.12 | 1.1936 | 0.5665 | no |
| NVR | 2022-04-25 | 4271.39 | 1.4793 | — | no |
| NXPI | 2022-04-25 | 156.17 | 1.2477 | 0.5726 | no |
| ODFL | 2022-04-25 | 130.79 | 1.4545 | 0.5094 | no |
| PENN | 2022-04-25 | 37.03 | 1.5856 | 0.5057 | no |
| PHM | 2022-04-25 | 40.02 | 1.6915 | 0.4721 | no |
| PNC | 2022-04-25 | 145.91 | 0.9679 | 0.5059 | no |
| PTC | 2022-04-25 | 99.06 | 0.9981 | 0.4981 | no |
| QCOM | 2022-04-25 | 118.73 | 1.1900 | 0.5320 | no |
| QRVO | 2022-04-25 | 110.99 | 1.3093 | — | no |
| RF | 2022-04-25 | 17.47 | 1.2237 | 0.4993 | no |
| SBUX | 2022-04-25 | 69.38 | 1.0617 | 0.4515 | no |
| SWKS | 2022-04-25 | 100.31 | 1.1355 | 0.5501 | no |
| SYF | 2022-04-25 | 33.82 | 0.9665 | 0.4548 | no |
| TEL | 2022-04-25 | 113.39 | 1.2125 | — | no |
| WFC | 2022-04-25 | 40.85 | 1.2079 | 0.4780 | no |
| WHR | 2022-04-25 | 138.02 | 1.3369 | 0.4829 | no |
| WYNN | 2022-04-25 | 68.53 | 1.1900 | 0.5520 | no |
| ZBRA | 2022-04-25 | 375.82 | 0.9788 | 0.4547 | no |
| ZION | 2022-04-25 | 50.50 | 1.0112 | 0.4530 | no |