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 | 4.15% | 7.03% | 2022-06-07 | -16.27% |
| buy & hold | participation factor overlay | 6 months | complete | -4.80% | 9.77% | 2022-08-15 | -20.91% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.04% | 5.78% | 2022-06-02 | -17.17% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -6.64% | 9.12% | 2022-08-15 | -21.21% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.92% | 5.23% | 2022-06-02 | -13.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.11% | 6.38% | 2022-08-12 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.45% | 4.26% | 2022-06-02 | -14.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.19% | 5.20% | 2022-08-12 | -17.44% |
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 | 2022-05-09 | 189.33 | 1.3901 | 0.5388 | no |
| AES | 2022-05-09 | 17.33 | 1.0357 | — | no |
| ALK | 2022-05-09 | 49.23 | 1.3774 | 0.4856 | no |
| AMAT | 2022-05-09 | 103.92 | 1.4897 | 0.5850 | no |
| AMD | 2022-05-09 | 92.87 | 1.2074 | 0.5424 | no |
| ANET | 2022-05-09 | 27.18 | 1.2077 | 0.5072 | no |
| AXP | 2022-05-09 | 156.52 | 1.0094 | 0.4632 | no |
| BIO | 2022-05-09 | 493.08 | 1.4693 | 0.4958 | no |
| BKNG | 2022-05-09 | 82.26 | 0.9953 | 0.4444 | no |
| BKR | 2022-05-09 | 28.62 | 1.0727 | 0.6102 | no |
| CDNS | 2022-05-09 | 143.39 | 0.8284 | 0.6071 | no |
| COO | 2022-05-09 | 83.31 | 0.8784 | 0.5381 | no |
| CRM | 2022-05-09 | 163.60 | 1.5104 | 0.5814 | no |
| CZR | 2022-05-09 | 58.50 | 1.3603 | 0.5529 | no |
| DHI | 2022-05-09 | 65.84 | 1.2205 | 0.4354 | no |
| DXC | 2022-05-09 | 28.85 | 0.8384 | 0.4360 | no |
| ENPH | 2022-05-09 | 160.40 | 1.2806 | 0.4956 | no |
| FCX | 2022-05-09 | 33.98 | 0.8558 | 0.7799 | no |
| FTNT | 2022-05-09 | 51.95 | 1.4502 | 0.5542 | no |
| GNRC | 2022-05-09 | 235.40 | 1.1151 | 0.4795 | no |
| GOOG | 2022-05-09 | 112.24 | 0.9678 | — | no |
| IQV | 2022-05-09 | 210.64 | 0.9020 | 0.4525 | no |
| IVZ | 2022-05-09 | 14.92 | 1.4333 | 0.4559 | no |
| KLAC | 2022-05-09 | 30.86 | 1.1927 | 0.5786 | no |
| LRCX | 2022-05-09 | 44.01 | 1.4307 | 0.5721 | no |
| LVS | 2022-05-09 | 31.25 | 1.0827 | 0.5413 | no |
| LYV | 2022-05-09 | 91.82 | 0.8676 | 0.4571 | no |
| MCHP | 2022-05-09 | 59.75 | 1.2912 | 0.5691 | no |
| MGM | 2022-05-09 | 37.54 | 1.0354 | 0.5288 | no |
| MRNA | 2022-05-09 | 132.79 | 1.7943 | 0.4544 | no |
| MU | 2022-05-09 | 67.74 | 1.3079 | 0.5703 | no |
| NKE | 2022-05-09 | 103.50 | 1.7205 | 0.4646 | no |
| NOW | 2022-05-09 | 88.60 | 1.4238 | 0.5007 | no |
| NTAP | 2022-05-09 | 65.15 | 1.0129 | 0.5037 | no |
| NUE | 2022-05-09 | 124.41 | 0.8857 | 0.8080 | no |
| ODFL | 2022-05-09 | 134.61 | 1.0894 | 0.5104 | no |
| PAYC | 2022-05-09 | 279.60 | 0.9532 | 0.4395 | no |
| POOL | 2022-05-09 | 363.74 | 1.5698 | 0.4820 | no |
| PSA | 2022-05-09 | 267.83 | 0.8466 | 0.5328 | no |
| QCOM | 2022-05-09 | 124.76 | 0.8473 | 0.5363 | no |
| QRVO | 2022-05-09 | 105.17 | 1.1744 | — | no |
| RCL | 2022-05-09 | 66.44 | 1.5835 | 0.4752 | no |
| RF | 2022-05-09 | 17.18 | 0.9270 | 0.4993 | no |
| RJF | 2022-05-09 | 89.80 | 0.8643 | 0.4658 | no |
| SEDG | 2022-05-09 | 246.28 | 0.9383 | 0.4693 | no |
| SNPS | 2022-05-09 | 269.24 | 1.3231 | 0.5522 | no |
| URI | 2022-05-09 | 279.18 | 1.4725 | 0.5070 | no |
| VNO | 2022-05-09 | 32.21 | 1.0901 | 0.4761 | no |
| VRSK | 2022-05-09 | 178.29 | 1.0316 | 0.4417 | no |
| WYNN | 2022-05-09 | 62.56 | 0.8658 | 0.5403 | no |