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 | 2.30% | 5.54% | 2022-05-04 | -16.35% |
| buy & hold | participation factor overlay | 6 months | complete | -6.54% | 7.91% | 2022-08-15 | -19.76% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.09% | 5.47% | 2022-05-04 | -19.36% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -8.87% | 5.83% | 2022-08-15 | -20.30% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.65% | 5.54% | 2022-05-04 | -16.92% |
| weekly rebalance | participation factor overlay | 6 months | complete | -8.31% | 5.54% | 2022-05-04 | -19.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.60% | 5.47% | 2022-05-04 | -18.32% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.34% | 5.47% | 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 | 2022-05-02 | 189.23 | 1.4739 | 0.5480 | no |
| AES | 2022-05-02 | 17.17 | 0.8907 | — | no |
| ALB | 2022-05-02 | 181.22 | 0.9094 | 0.5928 | no |
| AMAT | 2022-05-02 | 106.96 | 1.4274 | 0.5857 | no |
| ANET | 2022-05-02 | 28.93 | 1.0878 | 0.5127 | no |
| BIO | 2022-05-02 | 506.66 | 1.3944 | 0.4958 | no |
| BKR | 2022-05-02 | 27.79 | 0.7361 | 0.6110 | no |
| BWA | 2022-05-02 | 30.30 | 0.8266 | 0.4490 | no |
| CMI | 2022-05-02 | 170.96 | 0.9743 | 0.5399 | no |
| COF | 2022-05-02 | 115.84 | 1.2843 | 0.4844 | no |
| CRM | 2022-05-02 | 171.81 | 1.1401 | 0.5930 | no |
| CZR | 2022-05-02 | 66.26 | 1.3218 | 0.5687 | no |
| DHI | 2022-05-02 | 66.11 | 1.5018 | 0.4371 | no |
| DHR | 2022-05-02 | 216.91 | 0.8683 | 0.4416 | no |
| DXCM | 2022-05-02 | 102.24 | 1.0035 | 0.4801 | no |
| FDX | 2022-05-02 | 146.00 | 0.9448 | 0.5027 | no |
| FITB | 2022-05-02 | 32.01 | 1.0530 | 0.4838 | no |
| FTNT | 2022-05-02 | 57.71 | 0.9521 | 0.5280 | no |
| GNRC | 2022-05-02 | 218.70 | 0.9430 | 0.4695 | no |
| HBAN | 2022-05-02 | 10.82 | 0.7592 | 0.4826 | no |
| IDXX | 2022-05-02 | 429.37 | 0.8996 | 0.4778 | no |
| INTU | 2022-05-02 | 406.56 | 1.7639 | 0.4656 | no |
| IVZ | 2022-05-02 | 15.07 | 0.7466 | 0.4556 | no |
| KLAC | 2022-05-02 | 30.80 | 1.4484 | 0.5848 | no |
| LRCX | 2022-05-02 | 44.71 | 1.0380 | 0.5760 | no |
| MCHP | 2022-05-02 | 59.23 | 1.2567 | 0.5695 | no |
| MPWR | 2022-05-02 | 380.27 | 1.7710 | 0.5678 | no |
| MRNA | 2022-05-02 | 134.87 | 0.9497 | 0.5074 | no |
| MS | 2022-05-02 | 70.28 | 0.9347 | 0.4680 | no |
| MSCI | 2022-05-02 | 396.93 | 1.1691 | 0.4544 | no |
| MU | 2022-05-02 | 66.72 | 1.3372 | 0.5708 | no |
| NKE | 2022-05-02 | 114.00 | 0.7269 | 0.4627 | no |
| NOW | 2022-05-02 | 94.94 | 1.2159 | 0.5137 | no |
| NTAP | 2022-05-02 | 66.71 | 0.9075 | 0.5016 | no |
| NXPI | 2022-05-02 | 158.28 | 1.2203 | 0.5680 | no |
| ODFL | 2022-05-02 | 136.91 | 1.2075 | 0.5104 | no |
| PENN | 2022-05-02 | 36.91 | 1.5384 | 0.4990 | no |
| PHM | 2022-05-02 | 40.02 | 1.3375 | 0.4358 | no |
| POOL | 2022-05-02 | 379.10 | 0.9951 | 0.4845 | no |
| QRVO | 2022-05-02 | 114.43 | 1.1677 | — | no |
| RF | 2022-05-02 | 17.40 | 1.1616 | 0.4993 | no |
| RJF | 2022-05-02 | 91.81 | 1.1079 | 0.4658 | no |
| SNPS | 2022-05-02 | 286.55 | 0.7980 | 0.5513 | no |
| SWKS | 2022-05-02 | 99.76 | 0.9716 | 0.5446 | no |
| SYF | 2022-05-02 | 33.69 | 0.9431 | 0.4501 | no |
| TEL | 2022-05-02 | 116.43 | 0.8608 | — | no |
| TER | 2022-05-02 | 103.79 | 1.1429 | 0.5633 | no |
| TSCO | 2022-05-02 | 37.10 | 1.1466 | 0.5590 | no |
| TYL | 2022-05-02 | 396.11 | 1.2037 | 0.4379 | no |
| WYNN | 2022-05-02 | 68.47 | 1.5461 | 0.5438 | no |