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 | 3.04% | 7.08% | 2022-06-07 | -16.36% |
| buy & hold | participation factor overlay | 6 months | complete | -5.40% | 8.88% | 2022-08-12 | -20.76% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.28% | 6.01% | 2022-06-02 | -17.19% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -6.44% | 8.27% | 2022-08-15 | -20.61% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.29% | 5.44% | 2022-06-02 | -13.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.16% | 6.26% | 2022-08-12 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.97% | 4.86% | 2022-06-02 | -14.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.19% | 7.52% | 2022-08-12 | -17.15% |
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 | 1.3864 | 0.5388 | no |
| AES | 2022-05-09 | 17.33 | 0.9560 | — | no |
| ALK | 2022-05-09 | 49.23 | 1.2804 | 0.4856 | no |
| AMAT | 2022-05-09 | 103.92 | 1.5124 | 0.5850 | no |
| AMD | 2022-05-09 | 92.87 | 1.4467 | 0.5424 | no |
| ANET | 2022-05-09 | 27.18 | 1.0195 | 0.5072 | no |
| AXP | 2022-05-09 | 156.52 | 1.0024 | 0.4632 | no |
| BIO | 2022-05-09 | 493.08 | 1.2395 | 0.4958 | no |
| BKNG | 2022-05-09 | 82.26 | 0.9656 | 0.4444 | no |
| BKR | 2022-05-09 | 28.62 | 1.0065 | 0.6102 | no |
| CARR | 2022-05-09 | 34.98 | 0.8876 | 0.4375 | no |
| COO | 2022-05-09 | 83.31 | 0.8913 | 0.5381 | no |
| CPRT | 2022-05-09 | 27.18 | 1.0437 | 0.5153 | no |
| CRM | 2022-05-09 | 163.60 | 1.6079 | 0.5814 | no |
| CZR | 2022-05-09 | 58.50 | 1.2649 | 0.5529 | no |
| DHI | 2022-05-09 | 65.84 | 1.3110 | 0.4354 | no |
| DXC | 2022-05-09 | 28.85 | 1.0652 | 0.4360 | no |
| ENPH | 2022-05-09 | 160.40 | 1.0161 | 0.4956 | no |
| FCX | 2022-05-09 | 33.98 | 0.9123 | 0.7799 | no |
| FTNT | 2022-05-09 | 51.95 | 1.5280 | 0.5542 | no |
| GNRC | 2022-05-09 | 235.40 | 1.0370 | 0.4795 | no |
| GOOG | 2022-05-09 | 112.24 | 1.1286 | — | no |
| IQV | 2022-05-09 | 210.64 | 0.8821 | 0.4525 | no |
| IVZ | 2022-05-09 | 14.92 | 1.3515 | 0.4559 | no |
| KLAC | 2022-05-09 | 30.86 | 1.5466 | 0.5786 | no |
| LNC | 2022-05-09 | 44.23 | 0.9234 | 0.4376 | no |
| LRCX | 2022-05-09 | 44.01 | 1.6063 | 0.5721 | no |
| LVS | 2022-05-09 | 31.25 | 1.0701 | 0.5413 | no |
| MCHP | 2022-05-09 | 59.75 | 1.2020 | 0.5691 | no |
| MGM | 2022-05-09 | 37.54 | 1.0037 | 0.5288 | no |
| MRNA | 2022-05-09 | 132.79 | 1.6969 | 0.4544 | no |
| MU | 2022-05-09 | 67.74 | 1.5091 | 0.5703 | no |
| NKE | 2022-05-09 | 103.50 | 1.3746 | 0.4646 | no |
| NOW | 2022-05-09 | 88.60 | 1.5121 | 0.5007 | no |
| NTAP | 2022-05-09 | 65.15 | 1.0312 | 0.5037 | no |
| ODFL | 2022-05-09 | 134.61 | 0.9811 | 0.5104 | no |
| PAYC | 2022-05-09 | 279.60 | 1.1449 | 0.4395 | no |
| POOL | 2022-05-09 | 363.74 | 1.6055 | 0.4820 | no |
| QCOM | 2022-05-09 | 124.76 | 1.0461 | 0.5363 | no |
| QRVO | 2022-05-09 | 105.17 | 1.2050 | — | no |
| RCL | 2022-05-09 | 66.44 | 1.5730 | 0.4752 | no |
| RJF | 2022-05-09 | 89.80 | 1.0709 | 0.4658 | no |
| SEDG | 2022-05-09 | 246.28 | 0.9154 | 0.4693 | no |
| SNPS | 2022-05-09 | 269.24 | 1.0936 | 0.5522 | no |
| TER | 2022-05-09 | 102.48 | 1.0798 | 0.5580 | no |
| TROW | 2022-05-09 | 100.08 | 0.9570 | — | no |
| TSCO | 2022-05-09 | 36.77 | 0.9633 | 0.5662 | no |
| URI | 2022-05-09 | 279.18 | 1.4383 | 0.5070 | no |
| VNO | 2022-05-09 | 32.21 | 1.1446 | 0.4761 | no |
| WYNN | 2022-05-09 | 62.56 | 0.9880 | 0.5403 | no |