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 | 9.49% | 9.67% | 2022-08-15 | -15.21% |
| buy & hold | participation factor overlay | 6 months | complete | 5.20% | 9.67% | 2022-08-15 | -17.74% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.66% | 9.85% | 2022-08-15 | -14.56% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.78% | 9.85% | 2022-08-15 | -17.21% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.96% | 7.47% | 2022-08-12 | -13.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.92% | 7.47% | 2022-08-12 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.98% | 6.47% | 2022-08-12 | -14.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.45% | 6.47% | 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 | 2022-05-16 | 194.45 | 0.9899 | 0.5327 | no |
| AES | 2022-05-16 | 16.85 | 1.0153 | — | no |
| AFL | 2022-05-16 | 50.87 | 0.9053 | 0.4364 | no |
| ALK | 2022-05-16 | 45.93 | 1.3878 | 0.4856 | no |
| AMAT | 2022-05-16 | 105.53 | 0.9586 | 0.5827 | no |
| AMD | 2022-05-16 | 93.86 | 0.9539 | 0.5395 | no |
| ANET | 2022-05-16 | 26.92 | 1.0378 | 0.5057 | no |
| AXP | 2022-05-16 | 149.29 | 1.0049 | 0.4623 | no |
| BAX | 2022-05-16 | 66.70 | 1.0017 | 0.4344 | no |
| BIO | 2022-05-16 | 497.07 | 1.5758 | 0.4926 | no |
| BKNG | 2022-05-16 | 81.51 | 1.1185 | 0.4437 | no |
| CARR | 2022-05-16 | 37.53 | 1.4604 | 0.4375 | no |
| CDNS | 2022-05-16 | 140.95 | 0.9651 | 0.6054 | no |
| CEG | 2022-05-16 | 52.69 | 1.2251 | 0.4978 | no |
| COO | 2022-05-16 | 81.48 | 0.9459 | 0.5261 | no |
| CRL | 2022-05-16 | 233.24 | 1.2326 | 0.4738 | no |
| CRM | 2022-05-16 | 161.65 | 1.4335 | 0.5665 | no |
| DAL | 2022-05-16 | 36.99 | 0.9108 | 0.5058 | no |
| DHI | 2022-05-16 | 65.29 | 1.3130 | 0.4346 | no |
| DHR | 2022-05-16 | 214.94 | 1.1766 | 0.4405 | no |
| FTNT | 2022-05-16 | 55.86 | 1.0568 | 0.5520 | no |
| GOOG | 2022-05-16 | 114.30 | 0.9713 | — | no |
| HAL | 2022-05-16 | 33.03 | 0.9547 | 0.5893 | no |
| HLT | 2022-05-16 | 133.60 | 1.0162 | 0.5057 | no |
| INTU | 2022-05-16 | 358.19 | 1.0467 | 0.4521 | no |
| IQV | 2022-05-16 | 206.60 | 1.0135 | 0.4533 | no |
| IT | 2022-05-16 | 253.65 | 0.9536 | 0.4399 | no |
| IVZ | 2022-05-16 | 14.72 | 1.0397 | 0.4559 | no |
| LOW | 2022-05-16 | 176.72 | 1.0002 | 0.5444 | no |
| LRCX | 2022-05-16 | 46.54 | 1.0312 | 0.5698 | no |
| LYV | 2022-05-16 | 91.08 | 1.2791 | 0.4574 | no |
| MGM | 2022-05-16 | 36.19 | 1.5470 | 0.5244 | no |
| MLM | 2022-05-16 | 321.16 | 0.9963 | 0.5309 | no |
| MOS | 2022-05-16 | 56.72 | 1.0007 | 0.5508 | no |
| MRNA | 2022-05-16 | 135.87 | 1.3489 | 0.4544 | no |
| MU | 2022-05-16 | 70.00 | 1.2551 | 0.5676 | no |
| NKE | 2022-05-16 | 103.51 | 1.2846 | 0.4591 | no |
| NOW | 2022-05-16 | 89.25 | 1.2144 | 0.4947 | no |
| PLD | 2022-05-16 | 110.99 | 1.3234 | 0.4932 | no |
| POOL | 2022-05-16 | 382.01 | 0.9990 | 0.4789 | no |
| QRVO | 2022-05-16 | 104.45 | 1.0100 | — | no |
| REGN | 2022-05-16 | 634.20 | 0.9188 | 0.5399 | no |
| RF | 2022-05-16 | 16.39 | 1.0333 | 0.4993 | no |
| RJF | 2022-05-16 | 88.99 | 1.0633 | 0.4658 | no |
| SEDG | 2022-05-16 | 229.98 | 0.9137 | 0.4393 | no |
| SNPS | 2022-05-16 | 273.42 | 1.1895 | 0.5509 | no |
| SYF | 2022-05-16 | 30.49 | 1.4097 | 0.4423 | no |
| TDY | 2022-05-16 | 398.14 | 0.9509 | 0.4926 | no |
| TSCO | 2022-05-16 | 37.19 | 1.2441 | 0.5673 | no |
| URI | 2022-05-16 | 275.46 | 1.4668 | 0.5128 | no |