In this work, we study the optical response of structures involving porous silicon and porous alumina in a multi-layered hybrid structure. We performed a rational design of the optimal sequence necessary to produce a high transmission and selective filter, with potential applications in chemical and biosensors. The combination of these porous materials can be used to exploit its distinguishing features, i.e., high transparency of alumina and high refractive index of porous silicon. We assembled hybrid microcavities with a central porous alumina layer between two porous silicon Bragg reflectors. In this way, we constructed a Fabry-Perot resonator with high reflectivity and low absorption that improves the quality of the filter compared to a microcavity built only with porous silicon or porous alumina. We explored a simpler design in which one of the Bragg reflectors is replaced by the aluminium that remains bound to the alumina after its fabrication. We theoretically explored the potential of the proposal and its limitations when considering the roughness of the layers. We found that the quality of a microcavity made entirely with porous silicon shows a limit in the visible range due to light absorption. This limitation is overcome in the hybrid scheme, with the roughness of the layers determining the ultimate quality. Q-factors of 220 are experimentally obtained for microcavities supported on aluminium, while Q-factors around 600 are reached for microcavities with double Bragg reflectors, centred at 560 nm. This represents a four-fold increase with respect to the optimal porous silicon microcavity at this wavelength.