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 | -3.99% | 4.93% | 2022-05-04 | -18.03% |
| buy & hold | participation factor overlay | 6 months | complete | -10.74% | 4.93% | 2022-05-04 | -21.21% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.76% | 4.98% | 2022-05-04 | -17.79% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -10.30% | 4.98% | 2022-05-04 | -20.83% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.99% | 4.43% | 2022-05-04 | -16.92% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.40% | 4.43% | 2022-05-04 | -19.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.10% | 4.40% | 2022-05-04 | -18.32% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.42% | 4.40% | 2022-05-04 | -20.63% |
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 | 0.9122 | 0.5421 | no |
| ALGN | 2022-04-25 | 363.45 | 1.1762 | 0.5322 | no |
| AMAT | 2022-04-25 | 107.26 | 1.1823 | 0.5893 | no |
| AMD | 2022-04-25 | 89.86 | 0.9125 | 0.5747 | no |
| APTV | 2022-04-25 | 106.13 | 1.1115 | 0.4379 | no |
| BA | 2022-04-25 | 174.51 | 1.0050 | 0.5599 | no |
| BEN | 2022-04-25 | 21.04 | 1.2160 | 0.4885 | no |
| BLK | 2022-04-25 | 591.49 | 1.0405 | — | no |
| CRL | 2022-04-25 | 257.05 | 1.3150 | 0.4690 | no |
| CRM | 2022-04-25 | 166.51 | 1.0439 | 0.6068 | no |
| CZR | 2022-04-25 | 65.65 | 1.9493 | 0.5714 | no |
| DD | 2022-04-25 | 76.82 | 1.0145 | 0.5145 | no |
| DHI | 2022-04-25 | 68.02 | 1.5886 | 0.4481 | no |
| DIS | 2022-04-25 | 114.08 | 1.1382 | 0.5020 | no |
| F | 2022-04-25 | 11.12 | 1.0776 | 0.4892 | no |
| FDX | 2022-04-25 | 149.75 | 1.1170 | 0.5025 | no |
| FITB | 2022-04-25 | 32.37 | 0.9992 | 0.4838 | no |
| GLW | 2022-04-25 | 30.02 | 1.0618 | 0.4805 | no |
| GM | 2022-04-25 | 37.72 | 1.0699 | 0.4452 | no |
| GNRC | 2022-04-25 | 234.03 | 0.9578 | 0.4754 | no |
| INTU | 2022-04-25 | 427.38 | 0.9816 | 0.4733 | no |
| JPM | 2022-04-25 | 113.37 | 0.9011 | 0.4788 | no |
| KEY | 2022-04-25 | 16.37 | 1.2974 | 0.4988 | no |
| LEN | 2022-04-25 | 68.79 | 1.5885 | 0.4346 | no |
| LOW | 2022-04-25 | 180.83 | 1.2049 | 0.5469 | no |
| LRCX | 2022-04-25 | 44.06 | 1.1657 | 0.5825 | no |
| MCHP | 2022-04-25 | 59.32 | 1.2647 | 0.5709 | no |
| MHK | 2022-04-25 | 123.12 | 1.3019 | 0.4369 | no |
| MS | 2022-04-25 | 72.66 | 1.2260 | 0.4680 | no |
| MU | 2022-04-25 | 66.97 | 1.1390 | 0.5761 | no |
| NOW | 2022-04-25 | 92.95 | 1.1094 | 0.5512 | no |
| NVDA | 2022-04-25 | 19.12 | 0.9516 | 0.5665 | no |
| NVR | 2022-04-25 | 4271.39 | 1.2212 | — | no |
| NXPI | 2022-04-25 | 156.17 | 1.3728 | 0.5726 | no |
| ODFL | 2022-04-25 | 130.79 | 1.4427 | 0.5094 | no |
| PENN | 2022-04-25 | 37.03 | 1.3743 | 0.5057 | no |
| PHM | 2022-04-25 | 40.02 | 1.6456 | 0.4721 | no |
| PNC | 2022-04-25 | 145.91 | 1.0210 | 0.5059 | no |
| PTC | 2022-04-25 | 99.06 | 1.0795 | 0.4981 | no |
| QCOM | 2022-04-25 | 118.73 | 0.9508 | 0.5320 | no |
| QRVO | 2022-04-25 | 110.99 | 1.1892 | — | no |
| RF | 2022-04-25 | 17.47 | 1.2491 | 0.4993 | no |
| SWKS | 2022-04-25 | 100.31 | 0.8980 | 0.5501 | no |
| SYF | 2022-04-25 | 33.82 | 0.9501 | 0.4548 | no |
| TEL | 2022-04-25 | 113.39 | 1.1155 | — | no |
| WFC | 2022-04-25 | 40.85 | 1.3467 | 0.4780 | no |
| WHR | 2022-04-25 | 138.02 | 1.3039 | 0.4829 | no |
| WYNN | 2022-04-25 | 68.53 | 1.2167 | 0.5520 | no |
| ZBRA | 2022-04-25 | 375.82 | 0.8998 | 0.4547 | no |
| ZION | 2022-04-25 | 50.50 | 1.0813 | 0.4530 | no |