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 | 10.47% | 10.73% | 2022-08-15 | -14.88% |
| buy & hold | participation factor overlay | 6 months | complete | 3.95% | 10.73% | 2022-08-15 | -18.76% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.09% | 11.40% | 2022-08-15 | -14.60% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.63% | 11.40% | 2022-08-15 | -18.87% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.07% | 6.74% | 2022-08-12 | -13.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.93% | 6.74% | 2022-08-12 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.81% | 8.21% | 2022-08-12 | -14.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.47% | 8.21% | 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 | 2022-05-16 | 194.45 | 1.0904 | 0.5327 | no |
| AES | 2022-05-16 | 16.85 | 0.9154 | — | no |
| AFL | 2022-05-16 | 50.87 | 0.9354 | 0.4364 | no |
| ALK | 2022-05-16 | 45.93 | 1.4514 | 0.4856 | no |
| AMAT | 2022-05-16 | 105.53 | 1.0763 | 0.5827 | no |
| AMD | 2022-05-16 | 93.86 | 1.2272 | 0.5395 | no |
| ANET | 2022-05-16 | 26.92 | 1.1380 | 0.5057 | no |
| AXP | 2022-05-16 | 149.29 | 1.2527 | 0.4623 | no |
| BAX | 2022-05-16 | 66.70 | 0.9076 | 0.4344 | no |
| BIO | 2022-05-16 | 497.07 | 1.5141 | 0.4926 | no |
| BKNG | 2022-05-16 | 81.51 | 1.0245 | 0.4437 | no |
| CARR | 2022-05-16 | 37.53 | 1.6543 | 0.4375 | no |
| CDNS | 2022-05-16 | 140.95 | 0.9925 | 0.6054 | no |
| CEG | 2022-05-16 | 52.69 | 0.9368 | 0.4978 | no |
| COO | 2022-05-16 | 81.48 | 0.9267 | 0.5261 | no |
| CRL | 2022-05-16 | 233.24 | 1.0799 | 0.4738 | no |
| CRM | 2022-05-16 | 161.65 | 1.5995 | 0.5665 | no |
| DHI | 2022-05-16 | 65.29 | 1.2513 | 0.4346 | no |
| DHR | 2022-05-16 | 214.94 | 1.2637 | 0.4405 | no |
| DVA | 2022-05-16 | 99.75 | 1.0123 | 0.4732 | no |
| FDS | 2022-05-16 | 352.77 | 1.0023 | 0.4664 | no |
| FTNT | 2022-05-16 | 55.86 | 0.9916 | 0.5520 | no |
| GOOG | 2022-05-16 | 114.30 | 0.9530 | — | no |
| HLT | 2022-05-16 | 133.60 | 0.9504 | 0.5057 | no |
| INTU | 2022-05-16 | 358.19 | 1.0162 | 0.4521 | no |
| IT | 2022-05-16 | 253.65 | 1.0290 | 0.4399 | no |
| IVZ | 2022-05-16 | 14.72 | 1.0130 | 0.4559 | no |
| LNC | 2022-05-16 | 42.45 | 1.0185 | 0.4376 | no |
| LRCX | 2022-05-16 | 46.54 | 1.1066 | 0.5698 | no |
| LYV | 2022-05-16 | 91.08 | 1.1371 | 0.4574 | no |
| MCHP | 2022-05-16 | 59.90 | 0.8876 | 0.5531 | no |
| MGM | 2022-05-16 | 36.19 | 1.6043 | 0.5244 | no |
| MLM | 2022-05-16 | 321.16 | 1.1218 | 0.5309 | no |
| MRNA | 2022-05-16 | 135.87 | 1.0351 | 0.4544 | no |
| MU | 2022-05-16 | 70.00 | 0.9733 | 0.5676 | no |
| NKE | 2022-05-16 | 103.51 | 1.3354 | 0.4591 | no |
| NOW | 2022-05-16 | 89.25 | 1.0691 | 0.4947 | no |
| NTAP | 2022-05-16 | 64.77 | 0.9112 | 0.5037 | no |
| PLD | 2022-05-16 | 110.99 | 1.1539 | 0.4932 | no |
| POOL | 2022-05-16 | 382.01 | 0.9788 | 0.4789 | no |
| QRVO | 2022-05-16 | 104.45 | 0.9858 | — | no |
| RJF | 2022-05-16 | 88.99 | 1.2447 | 0.4658 | no |
| SEDG | 2022-05-16 | 229.98 | 0.9527 | 0.4393 | no |
| SNPS | 2022-05-16 | 273.42 | 1.0205 | 0.5509 | no |
| SPGI | 2022-05-16 | 303.38 | 0.9886 | 0.4676 | no |
| SYF | 2022-05-16 | 30.49 | 1.0392 | 0.4423 | no |
| TROW | 2022-05-16 | 98.47 | 0.8974 | — | no |
| TSCO | 2022-05-16 | 37.19 | 0.9414 | 0.5673 | no |
| UDR | 2022-05-16 | 40.76 | 1.0953 | 0.4695 | no |
| URI | 2022-05-16 | 275.46 | 1.3392 | 0.5128 | no |