Informes
Recientes
Informe Diario
2026-05-21
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una volatilidad moderada, con el VIX (Volatility Index) en 17.21 (-1.32%). Los rendimientos de los bonos del Tesoro estadounidense a 10 y 30 años se encuentran en 4.572 (-2.04%) y 5.116 (-1.25%), respectivamente. El Ãndice del dólar estadounidense (DXY) se mantiene estable en 99.131 (+0.02%). El precio del petróleo crudo WTI ha disminuido a 97.72 (-0.55%), mientras que el oro y la plata se mantienen estables.
El sentimiento de mercado, según FinBERT NLP, es neutral con un score de -0.016, y el Ãndice de riesgo geopolÃtico es de 0.44/1.00. Los eventos corporativos próximos incluyen reuniones de bancos centrales y declaraciones de dividendos.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| PRY.MI | 144.30 | 138.19 | ALCISTA | 60.7% | 135.22 | 153.47 | 1.0 |
| SSE.L | 2350.00 | 2209.67 | ALCISTA | 41.1% | 2236.22 | 2560.49 | 1.8 |
| SPM.MI | 4.37 | 4.11 | ALCISTA | 40.8% | 4.18 | 4.76 | 2.1 |
| SAP.DE | 152.84 | 160.20 | BAJISTA | 40.8% | 144.37 | 163.88 | 1.3 |
| EWU | 47.06 | 45.21 | ALCISTA | 41.1% | 45.83 | 49.84 | 2.2 |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para PRY.MI, mientras que para SSE.L y SPM.MI, el modelo HMM y ML apuntan a una tendencia alcista. Para SAP.DE, el modelo Kalman apunta a una tendencia alcista, pero el modelo ML apunta a una tendencia bajista.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R | Regimen |
|---|---|---|---|---|---|---|---|---|
| HNR1.DE | 249.00 | 258.60 | BAJISTA | 40.4% | 242.47 | 263.41 | 2.2 | BEAR |
| EL.PA | 175.80 | 182.41 | BAJISTA | 40.4% | 169.79 | 185.71 | 1.6 | BEAR |
| IHG.L | 153.90 | 160.53 | ALCISTA | 34.3% | 149.08 | 163.85 | 2.1 | BULL |
| RMV.L | 415.20 | 429.68 | BAJISTA | 40.4% | 403.90 | 436.93 | 1.9 | BEAR |
| HWDN.L | 748.50 | 724.96 | BAJISTA | 40.4% | 723.25 | 783.81 | 1.4 | BEAR |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para IHG.L, mientras que para HNR1.DE y EL.PA, el modelo HMM y ML apuntan a una tendencia bajista.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| REC.MI | 50.95 | 52.42 | ALCISTA | 40.9% | 49.80 | 53.16 | 1.9 |
| LOG.MC | 33.04 | 32.52 | ALCISTA | 58.9% | 32.48 | 33.82 | 1.4 |
| CPNG | 15.62 | 16.05 | BAJISTA | 40.4% | 14.58 | 16.26 | 0.6 |
| BEI.DE | 72.04 | 73.88 | BAJISTA | 40.4% | 69.78 | 74.79 | 1.2 |
| VNA.DE | 22.44 | 22.74 | BAJISTA | 60.4% | 21.73 | 22.90 | 0.6 |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para REC.MI, mientras que para LOG.MC, el modelo HMM y ML apuntan a una tendencia alcista.
5. Criptomonedas
No hay datos disponibles para criptomonedas.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir | Conf |
|---|---|---|---|---|
| PRY.MI | 5.7% | 144.30 | ALCISTA | 60.7% |
| SSE.L | 7.4% | 2350.00 | ALCISTA | 41.1% |
| SPM.MI | 8.4% | 4.37 | ALCISTA | 40.8% |
| HNR1.DE | 13.7% | 249.00 | BAJISTA | 40.4% |
| EL.PA | 10.5% | 175.80 | BAJISTA | 40.4% |
| IHG.L | 11.5% | 153.90 | ALCISTA | 34.3% |
| REC.MI | 15.9% | 50.95 | ALCISTA | 40.9% |
| LOG.MC | 21.3% | 33.04 | ALCISTA | 58.9% |
| CPNG | 5.4% | 15.62 | BAJISTA | 40.4% |
Justificación: La cartera diversificada busca equilibrar el riesgo y el potencial de retorno, asignando pesos a diferentes activos según su confianza y dirección.
7. Alertas
- Reuniones de bancos centrales el 2026-05-21
- Declaraciones de dividendos para AMAT, CDW y ATO
8. Backtesting
- STMPA.PA: ACERTO | Entrada $52.15, Hoy $55.9, Ret real +7.191%, Ret pred -0.991%, Dir ALCISTA (conf 61.7%)
- MTX.DE: FALLO | Entrada $274.2, Hoy $291.7, Ret real +6.382%, Ret pred +0.302%, Dir BAJISTA (conf 58.2%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| ensemble | 51% | 2.80% | -0.66% |
| merton | 50% | 1.59% | -0.05% |
| ml | 49% | 11.57% | 2.78% |
| hmm_signal | 49% | - | - |
| gbm | 48% | 1.64% | -0.02% |
| kalman | 47% | 2.12% | -0.10% |
| kalman_signal | 46% | - | - |
10. Calibracion
- Bucket 00-30%: n=20201, hit_rate=50%, avg_conf=16%
- Bucket 30-50%: n=6228, hit_rate=50%, avg_conf=39%
- Bucket 50-60%: n=619, hit_rate=60%, avg_conf=57%
- Bucket 60-70%: n=390, hit_rate=52%, avg_conf=61%
- Bucket 70-80%: n=85, hit_rate=78%, avg_conf=79%
- Bucket 80+%: n=8, hit_rate=75%, avg_conf=84%
11. Disclaimer
Este informe de trading es solo para fines informativos y no debe ser considerado como un consejo de inversión. Los resultados pasados no garantizan resultados futuros. Es importante realizar su propia investigación y consultar con un asesor financiero antes de tomar cualquier decisión de inversión.
12. Metricas Profesionales
Risk-adjusted metrics computadas sobre las ultimas 2000 evaluaciones del ensemble en los ultimos 30 dias. Proxy de retornos: +1%/-1% por hit/miss (bet de tamano fijo). Anualizacion: 252.
| Metrica | Valor |
|---|---|
| Sharpe (anualizado) | 0.06 |
| Sortino (anualizado) | 0.09 |
| Calmar | -0.01 |
| Max Drawdown | -48.00% |
| Profit Factor | 1.01 |
| Win Rate (= Hit Rate global) | 50.20% |
| Expectancy por trade | 0.004% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1299 | 48.9% |
| 30-50 | 547 | 54.3% |
| 50-60 | 123 | 46.3% |
| 60-70 | 24 | 45.8% |
| 70-80 | 7 | 57.1% |
| 80-100 | 0 | N/A |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 328 muestras historicas el 2026-05-21T00:30:00Z. Las NUEVAS predicciones del sistema ya entregan confidence calibrada (raw_confidence se conserva para auditoria). Tabla comparativa: mismas 5000 evaluaciones recientes, mostradas por bucket antes (raw) y despues (calibrado) del mapeo.
Tabla comparativa por bucket
| Bucket | N raw | Hit rate raw | N calibrado | Hit rate calibrado |
|---|---|---|---|---|
| 00-30 | 3618 | 46.2% | 0 | N/A |
| 30-50 | 1179 | 46.5% | 0 | N/A |
| 50-60 | 137 | 65.7% | 0 | N/A |
| 60-70 | 62 | 51.6% | 0 | N/A |
| 70-80 | 3 | 33.3% | 0 | N/A |
| 80-100 | 1 | 100.0% | 5000 | 46.9% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 46.9%, n=5000). Razon: el raw signal esta anti-calibrado (hit rate DECRECE con confidence en los datos historicos). PAV es monotona no decreciente, por lo que no puede restaurar magnitudes altas cuando el input no las soporta. Para elevar el bucket 80+ al 70% habria que corregir el generador de confianza (no el calibrador) o flippear el signo de la direccion en el master_agent.
Notas: trained on 328 (raw_conf, hit) pairs | DEGENERATE: PAV collapsed to 1 block (value=1.0000). Raw signal is anti-calibrated (hit rate does not increase with raw_conf). Calibrator returns overall mean for all inputs — the real expected hit rate.
14. Sizing y Riesgo
Pipeline profesional: Kelly fraccional (0.25) -> Vol-target (15% anual) -> Cap de correlacion (max 20%). Muestreadas las ultimas 8 predicciones con sizing calculado.
Resumen
- Kelly medio: 3.41% (cap 20%)
- Risk score medio: 80.7/100 (100 = mas seguro)
- Predicciones con Kelly = 0: 6/8
Distribucion de Kelly size
| Rango Kelly | N | % |
|---|---|---|
| 0% | 6 | 75.0% |
| 0-5% | 0 | 0.0% |
| 5-10% | 1 | 12.5% |
| 10-15% | 0 | 0.0% |
| 15-20% | 1 | 12.5% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| USO | Oil (WTI) | ALCISTA | 57 | 7.26% | 57.5 |
| EURUSD=X | EUR/USD | ALCISTA | 60 | 20.00% | 61.0 |
| BTC-USD | Bitcoin | NEUTRAL | 52 | 0.00% | 82.0 |
| GLD | Gold | NEUTRAL | 50 | 0.00% | 85.8 |
| QQQ | NASDAQ 100 | BAJISTA | 37 | 0.00% | 87.1 |
Sin alertas de riesgo extremo (todos los risk_score >= 40).
Caveats: vol anualizada estimada desde ATR% (rough ~16x daily). Cap de correlacion actualmente usa matriz vacia (penalty=1) cuando el agente analiza un unico simbolo; el cap duro del 20% sigue aplicandose. Kelly full nunca se usa — siempre 1/4 Kelly.
15. Top Picks del dia
Seleccion diaria por horizonte. Criterio: maximo score combinado = master_score * conf_cal/100 * sign(direction) * (1 - risk/100). CORTO usa GBM/Kalman, MEDIO stacking ensemble, LARGO fundamental+macro. Ver /top-picks para histograma y equity.
| Horizonte | Asset | Ticker | Dir | Conf cal | Master | Kelly | Precio | Target | Rationale |
|---|---|---|---|---|---|---|---|---|---|
| CORTO (1-7d) | AAL.L | AAL.L | ALCISTA | 100.0% | 50.0 | 0.00% | 3743.0000 | 3817.8600 | GBM/Kalman ensemble: conf_raw=40.8% (cal=100.0%), dir=ALCISTA, vol_annual=44.7%, regime=LATERAL |
| MEDIO (1-3m) | AAF.L | AAF.L | ALCISTA | 100.0% | 50.0 | 0.00% | 333.4403 | 334.0388 | Stacking ensemble (ridge): pred_return=0.18%, conf_raw=50.9% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | ABN.AS | ABN.AS | ALCISTA | 100.0% | 50.0 | 0.00% | 33.3700 | 38.3755 | Fundamental=85/100 (ATRACTIVO) + Macro=49/100 (NEUTRO); blend=67.0 -> ALCISTA, cal_conf=100.0% |
Caveats: target_price es indicativo (derivado del modelo y horizonte), NO es un precio objetivo formal. El rationale combina senales cuantitativas; no es analisis fundamental humano. El equity por horizonte en /top-picks necesita varios dias de acumulacion antes de ser estadisticamente significativo.