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 | 1.30% | 5.77% | 2022-05-04 | -16.95% |
| buy & hold | participation factor overlay | 6 months | complete | -6.78% | 6.87% | 2022-08-12 | -19.75% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.64% | 5.40% | 2022-05-04 | -18.16% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.47% | 5.71% | 2022-08-15 | -19.84% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.26% | 5.77% | 2022-05-04 | -15.92% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.34% | 5.77% | 2022-05-04 | -17.98% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.19% | 5.40% | 2022-05-04 | -18.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.00% | 5.40% | 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 |
|---|---|---|---|---|---|
| ADSK | 2022-05-02 | 189.23 | 1.5678 | 0.5480 | no |
| AES | 2022-05-02 | 17.17 | 0.9499 | — | no |
| ALB | 2022-05-02 | 181.22 | 0.7800 | 0.5928 | no |
| AMAT | 2022-05-02 | 106.96 | 1.3633 | 0.5857 | no |
| ANET | 2022-05-02 | 28.93 | 0.9712 | 0.5127 | no |
| BIO | 2022-05-02 | 506.66 | 1.4707 | 0.4958 | no |
| BKR | 2022-05-02 | 27.79 | 1.0919 | 0.6110 | no |
| BWA | 2022-05-02 | 30.30 | 0.7896 | 0.4490 | no |
| CMI | 2022-05-02 | 170.96 | 0.8887 | 0.5399 | no |
| COF | 2022-05-02 | 115.84 | 1.1572 | 0.4844 | no |
| CRM | 2022-05-02 | 171.81 | 1.1120 | 0.5930 | no |
| CZR | 2022-05-02 | 66.26 | 1.2788 | 0.5687 | no |
| DHI | 2022-05-02 | 66.11 | 1.6901 | 0.4371 | no |
| DXCM | 2022-05-02 | 102.24 | 1.1661 | 0.4801 | no |
| FCX | 2022-05-02 | 37.60 | 0.7909 | 0.7799 | no |
| FDX | 2022-05-02 | 146.00 | 0.8784 | 0.5027 | no |
| FITB | 2022-05-02 | 32.01 | 0.8367 | 0.4838 | no |
| FTNT | 2022-05-02 | 57.71 | 0.9132 | 0.5280 | no |
| GNRC | 2022-05-02 | 218.70 | 0.9058 | 0.4695 | no |
| HBAN | 2022-05-02 | 10.82 | 0.7880 | 0.4826 | no |
| IDXX | 2022-05-02 | 429.37 | 0.9944 | 0.4778 | no |
| INTU | 2022-05-02 | 406.56 | 1.6527 | 0.4656 | no |
| IVZ | 2022-05-02 | 15.07 | 1.1583 | 0.4556 | no |
| KLAC | 2022-05-02 | 30.80 | 1.3894 | 0.5848 | no |
| LRCX | 2022-05-02 | 44.71 | 1.0806 | 0.5760 | no |
| MCHP | 2022-05-02 | 59.23 | 1.2639 | 0.5695 | no |
| MPWR | 2022-05-02 | 380.27 | 1.6735 | 0.5678 | no |
| MRNA | 2022-05-02 | 134.87 | 0.9672 | 0.5074 | no |
| MS | 2022-05-02 | 70.28 | 0.9770 | 0.4680 | no |
| MSCI | 2022-05-02 | 396.93 | 1.1309 | 0.4544 | no |
| MU | 2022-05-02 | 66.72 | 1.1128 | 0.5708 | no |
| NOW | 2022-05-02 | 94.94 | 1.0755 | 0.5137 | no |
| NTAP | 2022-05-02 | 66.71 | 0.8914 | 0.5016 | no |
| NVDA | 2022-05-02 | 18.47 | 0.7518 | 0.5633 | no |
| NXPI | 2022-05-02 | 158.28 | 1.0326 | 0.5680 | no |
| ODFL | 2022-05-02 | 136.91 | 1.3802 | 0.5104 | no |
| PENN | 2022-05-02 | 36.91 | 1.4775 | 0.4990 | no |
| PH | 2022-05-02 | 255.35 | 0.8151 | 0.5088 | no |
| PHM | 2022-05-02 | 40.02 | 1.4025 | 0.4358 | no |
| POOL | 2022-05-02 | 379.10 | 1.0349 | 0.4845 | no |
| QRVO | 2022-05-02 | 114.43 | 1.2961 | — | no |
| RF | 2022-05-02 | 17.40 | 1.3167 | 0.4993 | no |
| RJF | 2022-05-02 | 91.81 | 1.0938 | 0.4658 | no |
| SWKS | 2022-05-02 | 99.76 | 0.8349 | 0.5446 | no |
| SYF | 2022-05-02 | 33.69 | 0.8623 | 0.4501 | no |
| TEL | 2022-05-02 | 116.43 | 1.0512 | — | no |
| TER | 2022-05-02 | 103.79 | 0.8100 | 0.5633 | no |
| TSCO | 2022-05-02 | 37.10 | 0.9598 | 0.5590 | no |
| TYL | 2022-05-02 | 396.11 | 1.0516 | 0.4379 | no |
| WYNN | 2022-05-02 | 68.47 | 1.5597 | 0.5438 | no |