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 | 10.53% | 10.79% | 2022-08-15 | -14.27% |
| buy & hold | participation factor overlay | 6 months | complete | 4.48% | 10.79% | 2022-08-15 | -18.06% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.10% | 11.44% | 2022-08-15 | -14.15% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.73% | 11.44% | 2022-08-15 | -17.75% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.75% | 7.44% | 2022-08-12 | -13.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.20% | 7.44% | 2022-08-12 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.02% | 6.62% | 2022-08-12 | -14.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.70% | 6.62% | 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 | 2022-05-16 | 194.45 | 0.9812 | 0.5327 | no |
| AES | 2022-05-16 | 16.85 | 0.9572 | — | no |
| AFL | 2022-05-16 | 50.87 | 0.9118 | 0.4364 | no |
| ALK | 2022-05-16 | 45.93 | 1.4511 | 0.4856 | no |
| AMAT | 2022-05-16 | 105.53 | 0.9140 | 0.5827 | no |
| AMD | 2022-05-16 | 93.86 | 0.8880 | 0.5395 | no |
| ANET | 2022-05-16 | 26.92 | 1.0122 | 0.5057 | no |
| AXP | 2022-05-16 | 149.29 | 0.9017 | 0.4623 | no |
| BAX | 2022-05-16 | 66.70 | 1.0301 | 0.4344 | no |
| BIO | 2022-05-16 | 497.07 | 1.4985 | 0.4926 | no |
| BKNG | 2022-05-16 | 81.51 | 1.2665 | 0.4437 | no |
| CARR | 2022-05-16 | 37.53 | 1.3996 | 0.4375 | no |
| CDNS | 2022-05-16 | 140.95 | 0.9747 | 0.6054 | no |
| CEG | 2022-05-16 | 52.69 | 1.0961 | 0.4978 | no |
| CME | 2022-05-16 | 166.24 | 1.0089 | 0.4770 | no |
| COO | 2022-05-16 | 81.48 | 0.8755 | 0.5261 | no |
| COST | 2022-05-16 | 472.42 | 0.8924 | 0.6005 | no |
| CPRT | 2022-05-16 | 27.74 | 0.8840 | 0.5095 | no |
| CRL | 2022-05-16 | 233.24 | 1.3125 | 0.4738 | no |
| CRM | 2022-05-16 | 161.65 | 1.5875 | 0.5665 | no |
| DHI | 2022-05-16 | 65.29 | 1.2381 | 0.4346 | no |
| DHR | 2022-05-16 | 214.94 | 1.1083 | 0.4405 | no |
| FDS | 2022-05-16 | 352.77 | 1.0155 | 0.4664 | no |
| FTNT | 2022-05-16 | 55.86 | 0.9768 | 0.5520 | no |
| INTU | 2022-05-16 | 358.19 | 0.9979 | 0.4521 | no |
| IQV | 2022-05-16 | 206.60 | 0.9065 | 0.4533 | no |
| IT | 2022-05-16 | 253.65 | 1.2074 | 0.4399 | no |
| LNC | 2022-05-16 | 42.45 | 0.8747 | 0.4376 | no |
| LYV | 2022-05-16 | 91.08 | 1.1910 | 0.4574 | no |
| MCHP | 2022-05-16 | 59.90 | 0.8857 | 0.5531 | no |
| MGM | 2022-05-16 | 36.19 | 1.5982 | 0.5244 | no |
| MLM | 2022-05-16 | 321.16 | 0.9811 | 0.5309 | no |
| MRNA | 2022-05-16 | 135.87 | 1.0658 | 0.4544 | no |
| MU | 2022-05-16 | 70.00 | 0.9669 | 0.5676 | no |
| NKE | 2022-05-16 | 103.51 | 1.3792 | 0.4591 | no |
| NOW | 2022-05-16 | 89.25 | 1.2502 | 0.4947 | no |
| PLD | 2022-05-16 | 110.99 | 0.9856 | 0.4932 | no |
| POOL | 2022-05-16 | 382.01 | 0.9737 | 0.4789 | no |
| QRVO | 2022-05-16 | 104.45 | 0.9987 | — | no |
| REGN | 2022-05-16 | 634.20 | 0.9415 | 0.5399 | no |
| RJF | 2022-05-16 | 88.99 | 1.0077 | 0.4658 | no |
| SEDG | 2022-05-16 | 229.98 | 1.0207 | 0.4393 | no |
| SNPS | 2022-05-16 | 273.42 | 1.0711 | 0.5509 | no |
| SYF | 2022-05-16 | 30.49 | 1.2047 | 0.4423 | no |
| TDY | 2022-05-16 | 398.14 | 0.9651 | 0.4926 | no |
| TSCO | 2022-05-16 | 37.19 | 1.0866 | 0.5673 | no |
| UDR | 2022-05-16 | 40.76 | 1.0027 | 0.4695 | no |
| URI | 2022-05-16 | 275.46 | 1.3630 | 0.5128 | no |
| WELL | 2022-05-16 | 79.89 | 1.0200 | 0.4631 | no |
| ZTS | 2022-05-16 | 156.35 | 0.8821 | 0.4702 | no |