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 | 2.65% | 6.88% | 2022-06-07 | -16.21% |
| buy & hold | participation factor overlay | 6 months | complete | -4.21% | 8.41% | 2022-08-15 | -18.90% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.89% | 5.97% | 2022-06-02 | -17.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -6.44% | 8.02% | 2022-08-15 | -20.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.33% | 5.02% | 2022-06-02 | -14.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.83% | 5.02% | 2022-06-02 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.36% | 4.73% | 2022-06-02 | -15.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.14% | 4.99% | 2022-08-12 | -17.63% |
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 | 2022-05-09 | 189.33 | 1.4449 | 0.5388 | no |
| AES | 2022-05-09 | 17.33 | 1.0153 | — | no |
| ALK | 2022-05-09 | 49.23 | 1.4563 | 0.4856 | no |
| AMAT | 2022-05-09 | 103.92 | 1.4613 | 0.5850 | no |
| AMD | 2022-05-09 | 92.87 | 1.3031 | 0.5424 | no |
| ANET | 2022-05-09 | 27.18 | 1.1548 | 0.5072 | no |
| AXP | 2022-05-09 | 156.52 | 0.9170 | 0.4632 | no |
| BIO | 2022-05-09 | 493.08 | 1.2529 | 0.4958 | no |
| BKNG | 2022-05-09 | 82.26 | 0.9952 | 0.4444 | no |
| BKR | 2022-05-09 | 28.62 | 0.8857 | 0.6102 | no |
| CDNS | 2022-05-09 | 143.39 | 1.0026 | 0.6071 | no |
| COF | 2022-05-09 | 115.14 | 0.8375 | 0.4792 | no |
| COO | 2022-05-09 | 83.31 | 1.0309 | 0.5381 | no |
| COST | 2022-05-09 | 472.38 | 0.8092 | 0.5989 | no |
| CPRT | 2022-05-09 | 27.18 | 0.8038 | 0.5153 | no |
| CRM | 2022-05-09 | 163.60 | 1.5947 | 0.5814 | no |
| CZR | 2022-05-09 | 58.50 | 1.4145 | 0.5529 | no |
| DHI | 2022-05-09 | 65.84 | 1.0299 | 0.4354 | no |
| DXC | 2022-05-09 | 28.85 | 0.9647 | 0.4360 | no |
| ENPH | 2022-05-09 | 160.40 | 1.0349 | 0.4956 | no |
| FCX | 2022-05-09 | 33.98 | 0.8347 | 0.7799 | no |
| FTNT | 2022-05-09 | 51.95 | 1.2335 | 0.5542 | no |
| GNRC | 2022-05-09 | 235.40 | 0.9371 | 0.4795 | no |
| GOOG | 2022-05-09 | 112.24 | 1.0419 | — | no |
| IT | 2022-05-09 | 249.19 | 0.8288 | 0.4387 | no |
| IVZ | 2022-05-09 | 14.92 | 1.1940 | 0.4559 | no |
| KLAC | 2022-05-09 | 30.86 | 1.2762 | 0.5786 | no |
| LNC | 2022-05-09 | 44.23 | 0.8825 | 0.4376 | no |
| LRCX | 2022-05-09 | 44.01 | 1.3793 | 0.5721 | no |
| LVS | 2022-05-09 | 31.25 | 0.9298 | 0.5413 | no |
| LW | 2022-05-09 | 57.38 | 0.8548 | 0.4926 | no |
| MCHP | 2022-05-09 | 59.75 | 1.2017 | 0.5691 | no |
| MGM | 2022-05-09 | 37.54 | 0.9646 | 0.5288 | no |
| MRNA | 2022-05-09 | 132.79 | 1.5946 | 0.4544 | no |
| MU | 2022-05-09 | 67.74 | 1.5276 | 0.5703 | no |
| NKE | 2022-05-09 | 103.50 | 1.5270 | 0.4646 | no |
| NOW | 2022-05-09 | 88.60 | 1.5091 | 0.5007 | no |
| NTAP | 2022-05-09 | 65.15 | 0.9375 | 0.5037 | no |
| POOL | 2022-05-09 | 363.74 | 1.5089 | 0.4820 | no |
| QRVO | 2022-05-09 | 105.17 | 1.2052 | — | no |
| RCL | 2022-05-09 | 66.44 | 1.7871 | 0.4752 | no |
| RF | 2022-05-09 | 17.18 | 0.8433 | 0.4993 | no |
| RJF | 2022-05-09 | 89.80 | 1.0834 | 0.4658 | no |
| SNPS | 2022-05-09 | 269.24 | 1.2651 | 0.5522 | no |
| TER | 2022-05-09 | 102.48 | 0.9368 | 0.5580 | no |
| TROW | 2022-05-09 | 100.08 | 0.9071 | — | no |
| TSCO | 2022-05-09 | 36.77 | 0.9792 | 0.5662 | no |
| URI | 2022-05-09 | 279.18 | 1.3439 | 0.5070 | no |
| VNO | 2022-05-09 | 32.21 | 1.3931 | 0.4761 | no |
| WYNN | 2022-05-09 | 62.56 | 0.8988 | 0.5403 | no |