Quantifiable Alpha

Quantifiable Alpha: Exploiting market inefficiencies for quantifiable alpha. Crypto | Stocks | ETFs

[Quantifiable Alpha @QuantifiableA]

📈I have been a bit lazy posting my progress on my Post Earnings Announcement Drift model so I will have to come back to it. The short story is that I have created a portfolio with a Tactical Asset Allocation, MR & PEAD strategies which has just gone live at market open 🚀

Let's see how it performs live over the coming months.

[Quantifiable Alpha @QuantifiableA]

@Dan_Trend 110% agree! I coded some of my strategies up in zipline as a backup, painfully slow compared to RealTest and I couldn't do half as much!

[Quantifiable Alpha @QuantifiableA]

Is the deleveraging just a natural part of strategies entering and exciting or are you running vol targeting or something else to lever up and down.

Mine just moves up and down with strategies entering/exiting, turning on / off etc. While drawdown hasn't been terrible the current volatility is running higher than long term average and suggests a larger possible drawdown than testing over the last 20 years suggests. I have been thinking about diving in to volatility targeting to try and limit risk of the unexpected.

[Quantifiable Alpha @QuantifiableA]

$CAR Crash? Hit n Run? April 2026 -10.27%

April 2026 was a bit of a clusterfuck for me with over half my losses coming from positions in $CAR. Couple this with exits from my long momentum and equity index positions at the start of the month.

My Value Momentum system had a longer term short in $CAR from $95 and my mean reversion systems tried to short it a few times. Two days before the drop I decided to override my system and close the value momentum short and latest mean reversion short in post market – who knew how much higher it was going to go and would my borrowed stock get pulled and I get closed out at a much worse price.

Whilst it sucked that it only went up one more session before tanking, I don’t regret that decision. What I do regret is not having an emergency short stop rule for my value momentum system like I do all of my other systems. I am quite ok with taking on risk, but when something starts to get into the ridiculous you are better off just getting out in my view.

Top 3 Systems:
- Tactical Asset Allocation
- PEAD
- Volatility Risk Premia

Bottom 3 systems:
- Value Momentum
- Mean Reversion
- Short term breakout

You win some, you lose some!

[Quantifiable Alpha @QuantifiableA]

@JoachimMo1985 Sounds pretty much the same as me!

[Quantifiable Alpha @QuantifiableA]

@JoachimMo1985 😂🤣😂 was going to do a post about how I am getting smoked by $CAR and then saw this. I had two systems short it. A short term and longer term.

[Quantifiable Alpha @QuantifiableA]

March Stats - -2.51%

Top Performing Strategies in March:
- Mean Reversion
- Tactical Asset Allocation

Bottom Performing Strategies March:
- Value Momentum
- Index Mean Reversion

[Quantifiable Alpha @QuantifiableA]

Year to date stats after March

Top Performing Strategies so far:
- Mean Reversion
- Tactical Asset Allocation

Bottom Performing Strategies so far:
- Volatility Risk Premia
- Short term breakout

[Quantifiable Alpha @QuantifiableA]

Getting a bit of a touch up in March!

Just from the scientific method of eyeballing, worst performing strategies:
- Volatility Risk Premia
- Short Term Breakouts (tend to get spiked in and then fucked)
- Value Momentum
- Index mean reversion (all mean, no reversion!)

[Quantifiable Alpha @QuantifiableA]

@JoachimMo1985 I woke up pleasantly surprised after going to sleep down in pre market!

[Quantifiable Alpha @QuantifiableA]

@momentmal2022 Yeah technical momentum took a dive for me this week too. Value Momentum was up though (although not as much as technical momentum was down).

[Quantifiable Alpha @QuantifiableA]

@JoachimMo1985 Very similar to my week by the look of it!

[Quantifiable Alpha @QuantifiableA]

Short term breakouts on leveraged ETFs seemed to spike me in and reverse this week. Got me long and short from memory.

[Quantifiable Alpha @QuantifiableA]

Year to date stats. Pretty much wriggling back and forth for most of Feb.

[Quantifiable Alpha @QuantifiableA]

Smaller return for Feb but a positive month is a positive month!

[Quantifiable Alpha @QuantifiableA]

The only way to finish a day full of data analysis and strategy development!

[Quantifiable Alpha @QuantifiableA]

📈Weekly update - 27 weeks of trading the new portfolio live!🚀

Slow week but I will take positive any day!

[Quantifiable Alpha @QuantifiableA]

@momentmal2022 It is mainly just for insurance when the market goes down overall and I don't know what is going to happen in the future. Even though it doesn't return much on it's own it does smooth out the equity curve and give a slight boost to the strategy overall.

[Quantifiable Alpha @QuantifiableA]

📈26 weeks of trading the new portfolio live! 🚀

6 months in and I am happy with the performance so far.

[Quantifiable Alpha @QuantifiableA]

I use RealTest by @mars10p combined with norgate data @NorgateData. Everything is combined in one script which allocates capital to strategies or groups of strategies. Each day before the open I import the previous day's data which takes about a minute and then hit a button to generate orders based on capital allocation for each of the strategies and send to IBKR. Only takes a few minutes.

Some of the strategies require some calculations in python but that can be imported into RealTest and used in the strategies.

[Quantifiable Alpha @QuantifiableA]

This is what it looks like back to 2010 (my data becomes sparser before then). I trade 100% long / 100% short (although outside reporting season all positions aren't filled). I am not precise as in trading the announcement, I rotate weekly based on earnings for the previous 5 days with 10 long / 10 short.

[Quantifiable Alpha @QuantifiableA]

I have a combination of features which I think show value or might be indicative of future value and I combine them with a number of technical momentum features (maybe 4 different ways of measuring momentum from memory). I also use "momentum" in some of the value features.

For example, if I thought increasing institutional investment in a stock was indicative of value or potential future value, I might measure if it is increasing QoQ and if the increase is accelerating and vice versa for decreasing.

I have then applied a simple machine learning and ranked stocks on that basis. Long top n, short bottom n.