Quantifiable Alpha

📈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.

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

Not a warm start into the week, broker indicating -4%. ASX session was brutal too. Not much short exposure.

@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).

Hose runter. No place to hide. Momentum took its toll this week. Double digit losses in most my momentum universes. MOM on RUSSEL2000 is the exception with being flat. Overall -6.24% for this week vs. -2.02% SPY. This is one of those weeks where the majority of my strategies showed weakness. Halve of the losses are banked by mom strategies. The other halve belongs to mean reversion, short and intraday. Sure thing this is part of the game. These weeks show if you can pay the price for taking the risks others are not willing to take. Happy weekend. 🙂

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

Weekly recap: No place to hide -3.9% for the week ($SPY: -1.98%). 10.68% ytd.

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

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

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

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

📈Weekly update - 27 weeks of trading the new portfolio live!🚀 Slow week but I will take positive any day!

@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.

@QuantifiableA Thank you for sharing. The Profit Factor for the short approach is 1. May I ask what you reasoning is to keep the short side?

📈26 weeks of trading the new portfolio live! 🚀 6 months in and I am happy with the performance so far.

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.

@QuantifiableA Wow those are a lot. How do you control capital allocation?

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.

@QuantifiableA Interesting. What stats can I expect?

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.

@QuantifiableA Value Momentum catches my eye. Do you apply momentum on a Value universe?

@momentmal2022 Post Earnings Announcement Drift. Runs on the Russell 1000

@QuantifiableA What does PEAD mean?

Tactical Asset Allocation PEAD - Long/short strategy MR - 5 x long, 2 x short strategies Value Momentum - long / short Technical Momentum - Long only, really only one strategy but traded separately on 3 universes VIX Calendar Spread Volatility Risk Premia Volatility Breakout long / short Index MR Bond seasonality Short Term Breakout (leveraged ETFs) long / short

@QuantifiableA Nice results! What kind of startegies do you run?

@momentmal2022 Forgot Tactical Asset Allocation so 16 strategies

@QuantifiableA Nice one! How many strategies are you running in your portfolio?

Good start to the year (*knocks on wood*), would be nice if it continues!

📈Weekly Update - 25 weeks of trading the new portfolio live🚀 Bit late in posting but a decent way to finish off the month.

Maybe not as lucky as I thought now that I look at some of the exits!

Not a bad way to finish the month thanks to some lucky shorts ... +3.46%