Informes
Recientes
Informe Diario
2026-05-05
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una disminución en la volatilidad del mercado, con un VIX en 17.71 (-3.17%). Los rendimientos de los bonos del Tesoro estadounidense a 10 y 30 años han aumentado un 1.55% y 1.19%, respectivamente. El Ãndice del dólar estadounidense (DXY) se mantiene estable en 98.49 (+0.02%). El precio del petróleo crudo WTI ha disminuido un 2.22%, mientras que el oro y la plata han aumentado un 0.96% y 1.43%, respectivamente.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ENGI.PA | 27.91 | 30.64 | ALCISTA | 60.3% | 26.99 | 32.01 | 4.5 |
| SWKS | 68.85 | 77.88 | ALCISTA | 58.6% | 63.90 | 82.40 | 2.7 |
| KEYS | 351.35 | 371.11 | ALCISTA | 79.3% | 336.96 | 380.99 | 2.1 |
| SPM.MI | 4.64 | 4.38 | ALCISTA | 79.2% | 4.44 | 5.04 | 2.0 |
| ITRK.L | 5160.00 | 5528.29 | ALCISTA | 58.6% | 4811.94 | 5712.44 | 1.6 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en una tendencia alcista para ENGI.PA, SWKS, KEYS e ITRK.L. Sin embargo, SPM.MI presenta una señal mixta, ya que el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro. El modelo Kalman da más confianza en este caso.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| PWR | 757.34 | 826.94 | ALCISTA | 49.2% | 693.42 | 861.74 | 1.6 |
| STX | 738.54 | 823.39 | ALCISTA | 42.3% | 675.71 | 865.81 | 2.0 |
| EWI | 56.28 | 53.10 | ALCISTA | 61.7% | 54.73 | 61.05 | 3.1 |
| HLT | 311.38 | 336.11 | ALCISTA | 43.0% | 299.41 | 348.48 | 3.1 |
| MCD | 284.10 | 267.85 | BAJISTA | 57.1% | 276.54 | 308.47 | 3.2 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en una tendencia alcista para PWR, STX y HLT. Sin embargo, EWI y MCD presentan señales mixtas.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| CVS | 82.01 | 77.50 | ALCISTA | 58.6% | 78.75 | 88.78 | 2.1 |
| IRM | 128.22 | 135.14 | ALCISTA | 58.6% | 120.53 | 138.60 | 1.3 |
| EWQ | 44.27 | 41.00 | ALCISTA | 42.8% | 43.13 | 49.17 | 4.3 |
| MDT | 78.30 | 81.03 | BAJISTA | 79.3% | 75.76 | 82.39 | 1.6 |
| TEAM | 93.16 | 101.67 | ALCISTA | 58.6% | 77.06 | 105.93 | 0.8 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en una tendencia alcista para CVS, IRM y TEAM. Sin embargo, EWQ y MDT presentan señales mixtas.
5. Criptomonedas
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| PENDLE-USD | 1.83 | 2.11 | NEUTRAL | 36.4% | 1.59 | 2.25 | 1.7 |
| YFI-USD | 2745.38 | 2686.33 | NEUTRAL | 19.0% | 2599.14 | 2833.95 | 0.6 |
| ZEC-USD | 427.84 | 446.24 | NEUTRAL | 11.8% | 378.15 | 455.44 | 0.6 |
| INJ-USD | 3.70 | 3.87 | NEUTRAL | 12.2% | 3.39 | 3.95 | 0.9 |
| BTC-USD | 80815.00 | 80929.95 | NEUTRAL | 36.4% | 77716.70 | 80987.43 | 0.1 |
Justificación: Los modelos GBM, Kalman, HMM y ML no coinciden en una tendencia clara para las criptomonedas.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir | Conf |
|---|---|---|---|---|
| ENGI.PA | 12.5% | 27.91 | ALCISTA | 60.3% |
| SWKS | 5.7% | 68.85 | ALCISTA | 58.6% |
| KEYS | 10.0% | 351.35 | ALCISTA | 79.3% |
| PWR | 4.8% | 757.34 | ALCISTA | 49.2% |
| STX | 4.8% | 738.54 | ALCISTA | 42.3% |
| EWI | 14.9% | 56.28 | ALCISTA | 61.7% |
| CVS | 10.3% | 82.01 | ALCISTA | 58.6% |
| IRM | 6.8% | 128.22 | ALCISTA | 58.6% |
| EWQ | 15.9% | 44.27 | ALCISTA | 42.8% |
| PENDLE-USD | 3.0% | 1.83 | NEUTRAL | 36.4% |
| YFI-USD | 7.7% | 2745.38 | NEUTRAL | 19.0% |
| ZEC-USD | 3.5% | 427.84 | NEUTRAL | 11.8% |
Justificación: La cartera diversificada busca equilibrar el riesgo y el retorno, con una distribución de pesos que refleja la confianza en cada activo.
7. Alertas
- Eventos earnings/dividendos que impactan recomendaciones:
- ADM: EARNINGS el 2026-05-05
- AEE: EARNINGS el 2026-05-05
- AEP: EARNINGS el 2026-05-05
- AIZ: EARNINGS el 2026-05-05
- AMD: EARNINGS el 2026-05-05
- ANET: EARNINGS el 2026-05-05
8. Backtesting
- Que paso con lo recomendado ayer:
- HSBA.L: FALLO | Entrada $1359.4, Hoy $1278.6, Ret real -5.944%, Ret pred -1.825%, Dir ALCISTA (conf 82.8%)
- ACS.MC: ACERTO | Entrada $121.0, Hoy $127.5, Ret real +5.372%, Ret pred +0.719%, Dir ALCISTA (conf 56.3%)
- IFX.DE: ACERTO | Entrada $56.81, Hoy $58.67, Ret real +3.274%, Ret pred +2.632%, Dir ALCISTA (conf 51.7%)
- ISP.MI: ACERTO | Entrada $5.625, Hoy $5.783, Ret real +2.809%, Ret pred -0.284%, Dir ALCISTA (conf 62.5%)
- PRY.MI: ACERTO | Entrada $128.55, Hoy $132.0, Ret real +2.684%, Ret pred -0.112%, Dir ALCISTA (conf 70.0%)
- STAN.L: FALLO | Entrada $1877.0, Hoy $1828.2, Ret real -2.600%, Ret pred +0.216%, Dir ALCISTA (conf 55.6%)
- BPE.MI: ACERTO | Entrada $12.352, Hoy $12.668, Ret real +2.558%, Ret pred -0.682%, Dir ALCISTA (conf 62.3%)
- EWQ: FALLO | Entrada $45.37, Hoy $44.27, Ret real -2.425%, Ret pred -0.501%, Dir ALCISTA (conf 62.6%)
9. Performance Modelos
| Modelo | Accuracy | Sesgo | MAE |
|---|---|---|---|
| Ensemble | 54% | -0.47% | 2.61% |
| Kalman | 53% | -0.70% | 1.80% |
| GBM | 53% | -0.12% | 1.70% |
| Merton | 51% | -0.25% | 1.50% |
| ML | 51% | 1.38% | 10.67% |
Justificación: El modelo ensemble tiene la mayor precisión, seguido de cerca por el modelo Kalman.
10. Calibracion
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 23034 | 54% | 16% |
| 30-50% | 7762 | 51% | 39% |
| 50-60% | 521 | 55% | 57% |
| 60-70% | 642 | 67% | 61% |
| 70-80% | 81 | 58% | 79% |
| 80+% | 9 | 67% | 82% |
Justificación: La calibración de las predicciones es adecuada, con un hit rate que aumenta a medida que aumenta la confianza.
11. Disclaimer
Este informe de trading es solo para fines informativos y no debe ser considerado como asesoramiento financiero. Los lectores deben hacer 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) | 1.98 |
| Sortino (anualizado) | 2.97 |
| Calmar | 0.55 |
| Max Drawdown | -63.43% |
| Profit Factor | 1.28 |
| Win Rate (= Hit Rate global) | 56.20% |
| Expectancy por trade | 0.124% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 518 | 62.9% |
| 30-50 | 1068 | 59.7% |
| 50-60 | 0 | N/A |
| 60-70 | 228 | 51.8% |
| 70-80 | 0 | N/A |
| 80-100 | 186 | 22.6% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 200 muestras historicas el 2026-05-05T00:30:00Z. 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 | 3760 | 59.4% | 0 | N/A |
| 30-50 | 1027 | 53.3% | 0 | N/A |
| 50-60 | 55 | 40.0% | 0 | N/A |
| 60-70 | 142 | 82.4% | 0 | N/A |
| 70-80 | 14 | 0.0% | 0 | N/A |
| 80-100 | 2 | 100.0% | 5000 | 58.4% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 58.4%, 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 200 (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: 3.98% (cap 20%)
- Risk score medio: 80.1/100 (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% | 0 | 0.0% |
| 10-15% | 1 | 12.5% |
| 15-20% | 1 | 12.5% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| EURUSD=X | EUR/USD | ALCISTA | 57 | 20.00% | 61.0 |
| USO | Oil (WTI) | BAJISTA | 44 | 0.00% | 67.6 |
| TLT | US 10Y Bond | ALCISTA | 55 | 11.86% | 73.2 |
| BTC-USD | Bitcoin | BAJISTA | 44 | 0.00% | 82.3 |
| GLD | Gold | ALCISTA | 70 | 0.00% | 85.6 |
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% | 3564.5000 | 3635.7900 | GBM/Kalman ensemble: conf_raw=61.7% (cal=100.0%), dir=ALCISTA, vol_annual=33.2%, regime=BULL |
| MEDIO (1-3m) | ACX.MC | ACX.MC | ALCISTA | 100.0% | 50.0 | 0.00% | 14.2300 | 14.2458 | Stacking ensemble (ridge): pred_return=0.11%, conf_raw=51.5% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | ACGL | ACGL | ALCISTA | 100.0% | 50.0 | 0.00% | 93.6500 | 107.6975 | Fundamental=90/100 (ATRACTIVO) + Macro=49/100 (NEUTRO); blend=69.5 -> 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.