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 | 3.03% | 6.74% | 2022-06-07 | -16.35% |
| buy & hold | participation factor overlay | 6 months | complete | -5.06% | 8.86% | 2022-08-15 | -20.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.82% | 5.36% | 2022-06-02 | -17.03% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -6.45% | 7.82% | 2022-08-15 | -20.60% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.18% | 5.01% | 2022-06-02 | -13.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.03% | 6.44% | 2022-08-12 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.43% | 4.21% | 2022-06-02 | -14.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -8.11% | 5.49% | 2022-08-12 | -19.34% |
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 | 1.5368 | 0.5388 | no |
| AES | 2022-05-09 | 17.33 | 1.1745 | — | no |
| ALK | 2022-05-09 | 49.23 | 1.3478 | 0.4856 | no |
| AMAT | 2022-05-09 | 103.92 | 1.4531 | 0.5850 | no |
| AMD | 2022-05-09 | 92.87 | 1.2697 | 0.5424 | no |
| ANET | 2022-05-09 | 27.18 | 1.1074 | 0.5072 | no |
| AXP | 2022-05-09 | 156.52 | 0.8385 | 0.4632 | no |
| BIO | 2022-05-09 | 493.08 | 1.3749 | 0.4958 | no |
| BKNG | 2022-05-09 | 82.26 | 1.0780 | 0.4444 | no |
| BKR | 2022-05-09 | 28.62 | 1.0136 | 0.6102 | no |
| COO | 2022-05-09 | 83.31 | 1.1671 | 0.5381 | no |
| COST | 2022-05-09 | 472.38 | 0.9978 | 0.5989 | no |
| CRM | 2022-05-09 | 163.60 | 1.4551 | 0.5814 | no |
| CZR | 2022-05-09 | 58.50 | 1.2619 | 0.5529 | no |
| DHI | 2022-05-09 | 65.84 | 1.3084 | 0.4354 | no |
| DHR | 2022-05-09 | 212.30 | 0.9348 | 0.4406 | no |
| DXC | 2022-05-09 | 28.85 | 0.8326 | 0.4360 | no |
| ENPH | 2022-05-09 | 160.40 | 1.1519 | 0.4956 | no |
| FCX | 2022-05-09 | 33.98 | 0.8285 | 0.7799 | no |
| FTNT | 2022-05-09 | 51.95 | 1.2470 | 0.5542 | no |
| GNRC | 2022-05-09 | 235.40 | 1.3373 | 0.4795 | no |
| GOOG | 2022-05-09 | 112.24 | 0.9704 | — | no |
| IVZ | 2022-05-09 | 14.92 | 1.3217 | 0.4559 | no |
| KLAC | 2022-05-09 | 30.86 | 1.1140 | 0.5786 | no |
| LRCX | 2022-05-09 | 44.01 | 1.3367 | 0.5721 | no |
| LVS | 2022-05-09 | 31.25 | 0.8734 | 0.5413 | no |
| MCHP | 2022-05-09 | 59.75 | 1.1772 | 0.5691 | no |
| MGM | 2022-05-09 | 37.54 | 1.0235 | 0.5288 | no |
| MRNA | 2022-05-09 | 132.79 | 1.6013 | 0.4544 | no |
| MU | 2022-05-09 | 67.74 | 1.4621 | 0.5703 | no |
| NKE | 2022-05-09 | 103.50 | 1.4911 | 0.4646 | no |
| NOW | 2022-05-09 | 88.60 | 1.4229 | 0.5007 | no |
| NTAP | 2022-05-09 | 65.15 | 0.9468 | 0.5037 | no |
| NVDA | 2022-05-09 | 17.96 | 0.8325 | 0.5622 | no |
| ODFL | 2022-05-09 | 134.61 | 1.0120 | 0.5104 | no |
| PAYC | 2022-05-09 | 279.60 | 1.0903 | 0.4395 | no |
| PENN | 2022-05-09 | 33.57 | 0.9553 | 0.5152 | no |
| POOL | 2022-05-09 | 363.74 | 1.4940 | 0.4820 | no |
| QCOM | 2022-05-09 | 124.76 | 0.9263 | 0.5363 | no |
| QRVO | 2022-05-09 | 105.17 | 1.1670 | — | no |
| RCL | 2022-05-09 | 66.44 | 1.6360 | 0.4752 | no |
| RJF | 2022-05-09 | 89.80 | 0.9242 | 0.4658 | no |
| SEDG | 2022-05-09 | 246.28 | 0.8803 | 0.4693 | no |
| SNPS | 2022-05-09 | 269.24 | 1.2336 | 0.5522 | no |
| SYF | 2022-05-09 | 34.03 | 1.0368 | 0.4431 | no |
| TROW | 2022-05-09 | 100.08 | 1.0504 | — | no |
| TSCO | 2022-05-09 | 36.77 | 1.1149 | 0.5662 | no |
| URI | 2022-05-09 | 279.18 | 1.3557 | 0.5070 | no |
| VNO | 2022-05-09 | 32.21 | 1.0334 | 0.4761 | no |
| WYNN | 2022-05-09 | 62.56 | 0.9602 | 0.5403 | no |