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 | 8.45% | 8.60% | 2022-08-15 | -14.40% |
| buy & hold | participation factor overlay | 6 months | complete | 2.48% | 8.60% | 2022-08-15 | -17.51% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.82% | 9.09% | 2022-08-15 | -14.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.25% | 9.09% | 2022-08-15 | -17.53% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.49% | 5.58% | 2022-06-02 | -14.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.51% | 5.58% | 2022-06-02 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.49% | 5.96% | 2022-08-12 | -15.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.19% | 5.96% | 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 | 2022-05-16 | 194.45 | 0.9579 | 0.5327 | no |
| AES | 2022-05-16 | 16.85 | 1.1149 | — | no |
| ALK | 2022-05-16 | 45.93 | 1.2345 | 0.4856 | no |
| AMAT | 2022-05-16 | 105.53 | 0.8717 | 0.5827 | no |
| AMD | 2022-05-16 | 93.86 | 1.2273 | 0.5395 | no |
| ANET | 2022-05-16 | 26.92 | 0.9700 | 0.5057 | no |
| AXP | 2022-05-16 | 149.29 | 1.0944 | 0.4623 | no |
| BAX | 2022-05-16 | 66.70 | 0.9478 | 0.4344 | no |
| BIO | 2022-05-16 | 497.07 | 1.6867 | 0.4926 | no |
| BKNG | 2022-05-16 | 81.51 | 1.0569 | 0.4437 | no |
| CARR | 2022-05-16 | 37.53 | 1.4938 | 0.4375 | no |
| CDNS | 2022-05-16 | 140.95 | 0.9939 | 0.6054 | no |
| CEG | 2022-05-16 | 52.69 | 0.9734 | 0.4978 | no |
| CME | 2022-05-16 | 166.24 | 0.9213 | 0.4770 | no |
| COO | 2022-05-16 | 81.48 | 1.1066 | 0.5261 | no |
| CRL | 2022-05-16 | 233.24 | 1.2751 | 0.4738 | no |
| CRM | 2022-05-16 | 161.65 | 1.5463 | 0.5665 | no |
| DAL | 2022-05-16 | 36.99 | 1.0418 | 0.5058 | no |
| DHI | 2022-05-16 | 65.29 | 1.2608 | 0.4346 | no |
| DHR | 2022-05-16 | 214.94 | 1.2741 | 0.4405 | no |
| DVA | 2022-05-16 | 99.75 | 1.0597 | 0.4732 | no |
| ESS | 2022-05-16 | 252.49 | 0.9960 | 0.4512 | no |
| FDS | 2022-05-16 | 352.77 | 0.9969 | 0.4664 | no |
| FTNT | 2022-05-16 | 55.86 | 1.0136 | 0.5520 | no |
| HLT | 2022-05-16 | 133.60 | 1.0943 | 0.5057 | no |
| IQV | 2022-05-16 | 206.60 | 1.0706 | 0.4533 | no |
| IT | 2022-05-16 | 253.65 | 1.1395 | 0.4399 | no |
| LRCX | 2022-05-16 | 46.54 | 0.8881 | 0.5698 | no |
| LYV | 2022-05-16 | 91.08 | 1.0685 | 0.4574 | no |
| MGM | 2022-05-16 | 36.19 | 1.4889 | 0.5244 | no |
| MLM | 2022-05-16 | 321.16 | 1.1376 | 0.5309 | no |
| MRNA | 2022-05-16 | 135.87 | 1.0074 | 0.4544 | no |
| MU | 2022-05-16 | 70.00 | 1.1784 | 0.5676 | no |
| NKE | 2022-05-16 | 103.51 | 1.2883 | 0.4591 | no |
| NOW | 2022-05-16 | 89.25 | 1.2424 | 0.4947 | no |
| PLD | 2022-05-16 | 110.99 | 0.9449 | 0.4932 | no |
| POOL | 2022-05-16 | 382.01 | 0.9354 | 0.4789 | no |
| QRVO | 2022-05-16 | 104.45 | 1.0957 | — | no |
| REGN | 2022-05-16 | 634.20 | 0.8919 | 0.5399 | no |
| RJF | 2022-05-16 | 88.99 | 1.2478 | 0.4658 | no |
| SNPS | 2022-05-16 | 273.42 | 1.3171 | 0.5509 | no |
| SYF | 2022-05-16 | 30.49 | 1.2371 | 0.4423 | no |
| TDY | 2022-05-16 | 398.14 | 0.8726 | 0.4926 | no |
| TSCO | 2022-05-16 | 37.19 | 1.2768 | 0.5673 | no |
| TXT | 2022-05-16 | 62.83 | 0.9102 | 0.5551 | no |
| UDR | 2022-05-16 | 40.76 | 0.9486 | 0.4695 | no |
| URI | 2022-05-16 | 275.46 | 1.2149 | 0.5128 | no |
| WELL | 2022-05-16 | 79.89 | 0.9508 | 0.4631 | no |
| WTW | 2022-05-16 | 194.09 | 1.0789 | 0.4606 | no |
| ZTS | 2022-05-16 | 156.35 | 0.9880 | 0.4702 | no |