Informes
Recientes
Informe Diario
2026-05-07
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una ligera disminución en la volatilidad, con el VIX en 17.48 (+0.52%). Los rendimientos de los bonos del Tesoro estadounidense a 10 y 30 años han disminuido, lo que podrÃa indicar una expectativa de menor crecimiento económico. El Ãndice del dólar estadounidense (DXY) ha disminuido ligeramente, lo que podrÃa beneficiar a los activos no estadounidenses. El precio del petróleo ha disminuido, lo que podrÃa afectar a los sectores energéticos.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| PRY.MI | 144.95 | 159.98 | ALCISTA | 42.2% | 135.47 | 167.50 | 2.4 |
| EL.PA | 178.40 | 193.77 | BAJISTA | 46.4% | 170.14 | 201.45 | 2.8 |
| SPM.MI | 4.43 | 4.18 | ALCISTA | 65.2% | 4.23 | 4.81 | 1.9 |
| ACS.MC | 139.60 | 147.45 | ALCISTA | 55.5% | 130.80 | 151.38 | 1.3 |
| ACX.MC | 15.00 | 15.94 | ALCISTA | 47.6% | 14.35 | 16.41 | 2.2 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para PRY.MI, ACS.MC y ACX.MC. Sin embargo, para EL.PA y SPM.MI, hay una señal mixta, ya que el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro. En estos casos, se debe considerar la confianza de cada modelo y el contexto macro.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ROVI.MC | 62.45 | 56.17 | BAJISTA | 56.7% | 55.21 | 71.87 | 1.3 |
| FRES.L | 3537.00 | 3803.45 | BAJISTA | 42.6% | 3227.34 | 3936.67 | 1.3 |
| DSFIR.AS | 66.96 | 70.09 | ALCISTA | 56.7% | 63.86 | 71.66 | 1.5 |
| FEZ | 67.97 | 71.80 | ALCISTA | 46.4% | 65.58 | 73.72 | 2.4 |
| QIA.DE | 28.84 | 27.02 | BAJISTA | 41.5% | 27.29 | 31.57 | 1.8 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección bajista para ROVI.MC y QIA.DE. Sin embargo, para FRES.L y FEZ, hay una señal mixta. En estos casos, se debe considerar la confianza de cada modelo y el contexto macro.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| EQNR.OL | 338.30 | 323.88 | BAJISTA | 56.7% | 313.72 | 359.94 | 0.9 |
| DPLM.L | 7165.00 | 7469.59 | ALCISTA | 55.5% | 6922.53 | 7621.88 | 1.9 |
| ANA.MC | 258.80 | 274.17 | ALCISTA | 40.0% | 248.43 | 281.85 | 2.2 |
| ALW.L | 1301.00 | 1351.55 | ALCISTA | 55.5% | 1279.20 | 1376.82 | 3.5 |
| HLN.L | 334.30 | 345.64 | BAJISTA | 55.5% | 324.68 | 351.31 | 1.8 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para DPLM.L, ANA.MC y ALW.L. Sin embargo, para EQNR.OL y HLN.L, hay una señal mixta. En estos casos, se debe considerar la confianza de cada modelo y el contexto macro.
5. Criptomonedas
No hay datos disponibles para criptomonedas.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir | Conf |
|---|---|---|---|---|
| PRY.MI | 9.1% | 144.95 | ALCISTA | 42.2% |
| EL.PA | 12.8% | 178.40 | BAJISTA | 46.4% |
| SPM.MI | 12.8% | 4.43 | ALCISTA | 65.2% |
| ROVI.MC | 5.1% | 62.45 | BAJISTA | 56.7% |
| FRES.L | 6.8% | 3537.00 | BAJISTA | 42.6% |
| DSFIR.AS | 12.8% | 66.96 | ALCISTA | 56.7% |
| EQNR.OL | 8.2% | 338.30 | BAJISTA | 56.7% |
| DPLM.L | 17.5% | 7165.00 | ALCISTA | 55.5% |
| ANA.MC | 14.8% | 258.80 | ALCISTA | 40.0% |
Justificación: La cartera diversificada tiene un peso mayor en DPLM.L, ANA.MC y DSFIR.AS, que tienen una dirección alcista. También hay un peso significativo en EL.PA y SPM.MI, que tienen una señal mixta.
7. Alertas
- Eventos earnings: AES, ABNB, AKAM, BDX
- Eventos dividendos: AEP, AAPL
8. Backtesting
- Aciertos: PRU.L, AZM.MI, RGTI
- Fallos: AENA.MC, REP.MC, ENI.MI, SPM.MI, BAS.DE
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| GBM | 55% | 1.87 | -0.41 |
| ML | 53% | 10.86 | 1.71 |
| Kalman | 52% | 1.98 | -0.97 |
| Ensemble | 52% | 2.85 | -0.78 |
| HMM | 51% | - | - |
| Merton | 50% | 1.65 | -0.55 |
| Kalman_signal | 39% | - | - |
Justificación: El modelo GBM tiene la mayor precisión, seguido del modelo ML. El modelo Kalman tiene un sesgo negativo, lo que indica que puede estar subestimando los precios.
10. Calibracion
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 29010 | 52% | 16% |
| 30-50% | 9394 | 51% | 39% |
| 50-60% | 719 | 52% | 57% |
| 60-70% | 783 | 62% | 62% |
| 70-80% | 126 | 56% | 79% |
| 80+% | 11 | 55% | 82% |
Justificación: La calibración de la predicción es buena, ya que la tasa de acierto es similar en todos los buckets. Sin embargo, el bucket 80+% tiene una confianza muy alta, lo que puede indicar sobreconfianza.
11. Disclaimer
Este informe es solo para fines informativos y no debe ser considerado como asesoramiento financiero. 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) | 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 216 muestras historicas el 2026-05-07T00:30:00Z. 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 | 3799 | 38.2% | 0 | N/A |
| 30-50 | 1038 | 40.6% | 0 | N/A |
| 50-60 | 65 | 52.3% | 0 | N/A |
| 60-70 | 81 | 28.4% | 0 | N/A |
| 70-80 | 15 | 53.3% | 0 | N/A |
| 80-100 | 2 | 0.0% | 5000 | 38.8% |
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% |
| 29.0 | 100.0% |
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| 30.0 | 100.0% |
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| 37.0 | 100.0% |
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| 42.0 | 100.0% |
| 44.0 | 100.0% |
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| 49.0 | 100.0% |
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| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
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| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 60.0 | 100.0% |
Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 38.8%, 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 216 (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: 2.35% (cap 20%)
- Risk score medio: 81.6/100 (100 = mas seguro)
- Predicciones con Kelly = 0: 7/8
Distribucion de Kelly size
| Rango Kelly | N | % |
|---|---|---|
| 0% | 7 | 87.5% |
| 0-5% | 0 | 0.0% |
| 5-10% | 0 | 0.0% |
| 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 | 0.00% | 61.9 |
| EURUSD=X | EUR/USD | ALCISTA | 57 | 18.83% | 62.8 |
| BTC-USD | Bitcoin | BAJISTA | 44 | 0.00% | 82.3 |
| GLD | Gold | NEUTRAL | 50 | 0.00% | 85.0 |
| QQQ | NASDAQ 100 | BAJISTA | 29 | 0.00% | 88.6 |
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% | 3883.1899 | 3960.8537 | GBM/Kalman ensemble: conf_raw=55.5% (cal=100.0%), dir=ALCISTA, vol_annual=44.4%, regime=BULL |
| MEDIO (1-3m) | A2A.MI | A2A.MI | ALCISTA | 100.0% | 50.0 | 0.00% | 2.3460 | 2.3495 | Stacking ensemble (ridge): pred_return=0.15%, conf_raw=52.4% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | AAL.L | AAL.L | ALCISTA | 100.0% | 50.0 | 0.00% | 3878.5000 | 4460.2750 | Fundamental=59/100 (ATRACTIVO) + Macro=59/100 (RISK-ON); blend=59.0 -> 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.