Quantifiable Alpha: Exploiting market inefficiencies for quantifiable alpha. Crypto | Stocks | ETFs | Futures
Joined May 2025
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📈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.
Where the returns came from and drawdown:
Futures trend is definitely not my friend at the moment and is where the majority (3/4) of my drawdown has come from.
To add some context though, this is a very simple trend following strategy. I like to go live with something simple and refine as I go. I find that live trading gives you a lot better understanding of the strategy and some impetus to iron out any kinks fairly quickly.
The strategy accounts for 50% of the book variance. I accepted more volatility to trade more assets at my account size. It isn't high enough to blow up the account and is currently performing within expected boundaries (although admittedly both futures trend and mean reversion are starting to push up on those boundaries).
However, I have been spending time looking at assets with smaller contracts that I can use to increase the markets I trade, with more granularity and lower risk which should bring down the volatility as my current positions close and new positions open with less risk.
Interesting start to the month. This was a -2.32 sigma week. Ranks 12th worst in the 20 odd years of my backtest (throw in all the general caveats about what a backtest is and what the future holds blah blah blah). Drawdown is now 21.97%.
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Interesting start to the month. This was a -2.32 sigma week. Ranks 12th worst in the 20 odd years of my backtest (throw in all the general caveats about what a backtest is and what the future holds blah blah blah). Drawdown is now 21.97%.
Not the best month, could have been worse. Futures trend did the majority of the damage. It runs at a higher volatility to trade more markets. It is what it is.
Where the returns came from. Interesting to see PEAD positive as there were only long positions last week.
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Things not to do this weekend if you are struggling to be profitable ...
Cool weekend side project for traders who are bored:
Build your own backtesting engine.
Think: TradingView replay, but you're able to ask questions, query price data, etc.
If you're struggling to build a profitable trading strategy, highly recommend.
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Where the returns (or losses) came from ...
Breaking down Futures Trend further, grains and rates did the damage this week.
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Great video @Robot_Wealth I am definitely guilty of this. I call them my vanity strategies as they make me feel smart even though it's not and neither am I!
Don't build an AI stock picker if you like money! youtu.be/16vN9bRRGKY?si=KsKz… via @YouTube
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