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 | 2.01% | 5.58% | 2022-05-04 | -16.95% |
| buy & hold | participation factor overlay | 6 months | complete | -7.77% | 7.97% | 2022-08-15 | -20.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.47% | 5.20% | 2022-05-04 | -19.55% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -10.23% | 5.20% | 2022-05-04 | -21.18% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.14% | 5.58% | 2022-05-04 | -16.03% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.40% | 5.58% | 2022-05-04 | -18.52% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.73% | 5.20% | 2022-05-04 | -18.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -11.65% | 5.20% | 2022-05-04 | -22.23% |
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 | 1.5913 | 0.5480 | no |
| AES | 2022-05-02 | 17.17 | 0.8235 | — | no |
| ALB | 2022-05-02 | 181.22 | 0.8831 | 0.5928 | no |
| AMAT | 2022-05-02 | 106.96 | 1.2933 | 0.5857 | no |
| ANET | 2022-05-02 | 28.93 | 0.9901 | 0.5127 | no |
| BIO | 2022-05-02 | 506.66 | 1.2973 | 0.4958 | no |
| BKNG | 2022-05-02 | 86.24 | 0.9550 | 0.4477 | no |
| CMI | 2022-05-02 | 170.96 | 0.9037 | 0.5399 | no |
| COF | 2022-05-02 | 115.84 | 1.3650 | 0.4844 | no |
| CRM | 2022-05-02 | 171.81 | 1.3744 | 0.5930 | no |
| CZR | 2022-05-02 | 66.26 | 1.3764 | 0.5687 | no |
| DHI | 2022-05-02 | 66.11 | 1.5818 | 0.4371 | no |
| DXCM | 2022-05-02 | 102.24 | 1.1395 | 0.4801 | no |
| FDX | 2022-05-02 | 146.00 | 1.1592 | 0.5027 | no |
| FITB | 2022-05-02 | 32.01 | 0.9292 | 0.4838 | no |
| GLW | 2022-05-02 | 31.46 | 0.8324 | 0.4496 | no |
| GNRC | 2022-05-02 | 218.70 | 0.9300 | 0.4695 | no |
| IDXX | 2022-05-02 | 429.37 | 1.1498 | 0.4778 | no |
| INTU | 2022-05-02 | 406.56 | 1.4179 | 0.4656 | no |
| IVZ | 2022-05-02 | 15.07 | 1.2053 | 0.4556 | no |
| KLAC | 2022-05-02 | 30.80 | 1.2516 | 0.5848 | no |
| LRCX | 2022-05-02 | 44.71 | 1.0398 | 0.5760 | no |
| MCHP | 2022-05-02 | 59.23 | 1.3019 | 0.5695 | no |
| MPWR | 2022-05-02 | 380.27 | 1.5418 | 0.5678 | no |
| MRNA | 2022-05-02 | 134.87 | 0.9660 | 0.5074 | no |
| MS | 2022-05-02 | 70.28 | 0.9888 | 0.4680 | no |
| MSCI | 2022-05-02 | 396.93 | 1.4114 | 0.4544 | no |
| MU | 2022-05-02 | 66.72 | 1.0760 | 0.5708 | no |
| NKE | 2022-05-02 | 114.00 | 0.9170 | 0.4627 | no |
| NOW | 2022-05-02 | 94.94 | 1.1360 | 0.5137 | no |
| NTAP | 2022-05-02 | 66.71 | 0.9366 | 0.5016 | no |
| NTRS | 2022-05-02 | 90.77 | 0.8869 | 0.5078 | no |
| NVDA | 2022-05-02 | 18.47 | 0.9815 | 0.5633 | no |
| NXPI | 2022-05-02 | 158.28 | 1.2382 | 0.5680 | no |
| ODFL | 2022-05-02 | 136.91 | 1.4634 | 0.5104 | no |
| PENN | 2022-05-02 | 36.91 | 1.4707 | 0.4990 | no |
| PH | 2022-05-02 | 255.35 | 0.8150 | 0.5088 | no |
| PHM | 2022-05-02 | 40.02 | 1.2873 | 0.4358 | no |
| POOL | 2022-05-02 | 379.10 | 0.8285 | 0.4845 | no |
| QRVO | 2022-05-02 | 114.43 | 1.1697 | — | no |
| RF | 2022-05-02 | 17.40 | 1.3981 | 0.4993 | no |
| RJF | 2022-05-02 | 91.81 | 1.1518 | 0.4658 | no |
| SNPS | 2022-05-02 | 286.55 | 0.8641 | 0.5513 | no |
| SWKS | 2022-05-02 | 99.76 | 0.8428 | 0.5446 | no |
| SYF | 2022-05-02 | 33.69 | 0.9364 | 0.4501 | no |
| TEL | 2022-05-02 | 116.43 | 0.9736 | — | no |
| TER | 2022-05-02 | 103.79 | 0.8019 | 0.5633 | no |
| TSCO | 2022-05-02 | 37.10 | 0.8919 | 0.5590 | no |
| TYL | 2022-05-02 | 396.11 | 1.2130 | 0.4379 | no |
| WYNN | 2022-05-02 | 68.47 | 1.5456 | 0.5438 | no |