Informes
Recientes
Informe Diario
2026-05-10
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una volatilidad moderada, con el VIX en 17.19 (+0.64%) y el US 10Y Treasury Yield en 4.364 (-0.64%). El dólar estadounidense se encuentra en 97.84 (-0.42%), mientras que el petróleo crudo WTI se mantiene en 95.42 (+0.64%). El sentimiento de mercado es neutral, con un score de +0.012 en el FinBERT NLP, y el Ãndice de riesgo geopolÃtico se encuentra en 0.53/1.00.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ACS.MC | 137.20 | 128.05 | ALCISTA | 79.8% | 128.96 | 150.92 | 1.7 |
| PRY.MI | 152.05 | 167.02 | ALCISTA | 45.9% | 141.46 | 174.50 | 2.1 |
| INGA.AS | 25.55 | 24.22 | ALCISTA | 79.8% | 24.53 | 27.55 | 2.0 |
| BGEO.L | 11030.00 | 10537.49 | ALCISTA | 67.4% | 10600.88 | 11768.76 | 1.7 |
| EWU | 46.70 | 43.78 | ALCISTA | 46.7% | 45.47 | 51.08 | 3.6 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para ACS.MC, PRY.MI, INGA.AS y BGEO.L, mientras que el modelo ML contradice la dirección alcista para EWU.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | Regimen | SL | TP | R/R |
|---|---|---|---|---|---|---|---|---|
| TEN.MI | 25.44 | 23.89 | ALCISTA | 46.7% | LATERAL | 24.07 | 27.76 | 1.7 |
| NN.AS | 74.94 | 72.65 | ALCISTA | 79.8% | BULL | 73.45 | 78.37 | 2.3 |
| MTS.MC | 52.22 | 50.18 | ALCISTA | 59.0% | LATERAL | 48.99 | 55.27 | 0.9 |
| CNA.L | 200.20 | 192.21 | BAJISTA | 56.8% | BEAR | 191.15 | 212.19 | 1.3 |
| STAN.L | 1888.20 | 1840.26 | ALCISTA | 79.8% | BULL | 1806.51 | 1960.11 | 0.9 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para TEN.MI, NN.AS, MTS.MC y STAN.L, mientras que el modelo ML contradice la dirección alcista para CNA.L.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | Escenario |
|---|---|---|---|---|---|
| ABN.AS | 29.83 | 28.91 | ALCISTA | 67.4% | p50: 30.21, p95: 32.15 |
| QIA.DE | 28.11 | 26.66 | BAJISTA | 35.8% | p50: 27.24, p95: 29.97 |
| ROVI.MC | 62.85 | 66.48 | BAJISTA | 32.9% | p50: 64.71, p95: 68.30 |
| PCT.L | 659.50 | 687.24 | ALCISTA | 39.2% | p50: 675.87, p95: 701.11 |
| HEN3.DE | 64.58 | 63.00 | ALCISTA | 59.0% | p50: 65.81, p95: 66.95 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para ABN.AS, ROVI.MC y HEN3.DE, mientras que el modelo ML contradice la dirección alcista para QIA.DE y PCT.L.
5. Criptomonedas
No hay datos disponibles para criptomonedas.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol |
|---|---|---|---|
| ACS.MC | 8.3% | 137.20 | 48% |
| PRY.MI | 7.1% | 152.05 | 55% |
| INGA.AS | 12.4% | 25.55 | 32% |
| TEN.MI | 9.2% | 25.44 | 43% |
| NN.AS | 25.0% | 74.94 | 16% |
| MTS.MC | 8.0% | 52.22 | 49% |
| ABN.AS | 15.7% | 29.83 | 25% |
| QIA.DE | 9.5% | 28.11 | 41% |
| ROVI.MC | 4.7% | 62.85 | 83% |
Justificación: La cartera diversificada busca equilibrar el riesgo y el retorno, con una distribución de pesos que refleja la confianza en cada ticker.
7. Alertas
- Eventos earnings: CEG el 2026-05-11, AMAT el 2026-05-14
- Eventos dividendos: AAPL el 2026-05-11, BRO el 2026-05-11, AWK el 2026-05-12, AMGN el 2026-05-15
8. Backtesting
- ITRK.L: FALLO | Entrada $5061.9648, Hoy $4910.0, Ret real -3.002%, Ret pred -6.731%, Dir ALCISTA (conf 57.6%)
- DPLM.L: FALLO | Entrada $7135.0, Hoy $6950.0, Ret real -2.593%, Ret pred -3.401%, Dir ALCISTA (conf 56.0%)
- HLMA.L: FALLO | Entrada $4624.0, Hoy $4553.0, Ret real -1.535%, Ret pred -1.047%, Dir ALCISTA (conf 56.0%)
- HSBA.L: FALLO | Entrada $1335.4, Hoy $1315.4, Ret real -1.498%, Ret pred -3.566%, Dir ALCISTA (conf 66.0%)
- ASML.AS: ACERTO | Entrada $1300.0, Hoy $1319.4, Ret real +1.492%, Ret pred -3.096%, Dir ALCISTA (conf 59.5%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| kalman | 54% | 2.02% | -0.65% |
| hmm_signal | 53% | - | - |
| gbm | 52% | 1.83% | -0.12% |
| ml | 51% | 11.78% | 1.93% |
| ensemble | 51% | 2.87% | -0.21% |
| merton | 50% | 1.70% | -0.21% |
| kalman_signal | 48% | - | - |
Justificación: El modelo kalman tiene la mayor precisión, seguido del hmm_signal y el gbm.
10. Calibracion
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 22442 | 51% | 16% |
| 30-50% | 6557 | 51% | 39% |
| 50-60% | 698 | 45% | 57% |
| 60-70% | 607 | 56% | 62% |
| 70-80% | 134 | 51% | 79% |
| 80+% | 10 | 30% | 83% |
Justificación: La calibración muestra que el modelo tiene una tendencia a sobreconfianza en los buckets de mayor confianza.
11. Disclaimer
Este informe es solo para fines informativos y no debe ser considerado como un consejo de inversión. Es importante realizar su propia investigación y consultar con un profesional 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) | 2.11 |
| Sortino (anualizado) | 3.18 |
| Calmar | 0.53 |
| Max Drawdown | -71.70% |
| Profit Factor | 1.30 |
| Win Rate (= Hit Rate global) | 56.60% |
| Expectancy por trade | 0.132% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 659 | 54.9% |
| 30-50 | 1124 | 57.1% |
| 50-60 | 0 | N/A |
| 60-70 | 192 | 60.9% |
| 70-80 | 0 | N/A |
| 80-100 | 25 | 44.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 240 muestras historicas el 2026-05-10T00:30:00Z. 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 | 3548 | 55.9% | 0 | N/A |
| 30-50 | 1160 | 54.9% | 0 | N/A |
| 50-60 | 205 | 48.3% | 0 | N/A |
| 60-70 | 48 | 64.6% | 0 | N/A |
| 70-80 | 38 | 60.5% | 0 | N/A |
| 80-100 | 1 | 0.0% | 5000 | 55.5% |
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% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 30.0 | 100.0% |
| 30.0 | 100.0% |
| 30.0 | 100.0% |
| 30.0 | 100.0% |
| 30.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 37.0 | 100.0% |
| 42.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 44.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 45.0 | 100.0% |
| 49.0 | 100.0% |
| 49.0 | 100.0% |
| 49.0 | 100.0% |
| 49.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 50.0 | 100.0% |
| 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% |
| 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% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 52.0 | 100.0% |
| 55.0 | 100.0% |
| 55.0 | 100.0% |
| 55.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 55.5%, 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 240 (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: 3.31% (cap 20%)
- Risk score medio: 80.6/100 (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 | 6.46% | 55.3 |
| EURUSD=X | EUR/USD | ALCISTA | 57 | 20.00% | 61.0 |
| BTC-USD | Bitcoin | NEUTRAL | 52 | 0.00% | 82.6 |
| GLD | Gold | NEUTRAL | 50 | 0.00% | 85.3 |
| QQQ | NASDAQ 100 | BAJISTA | 29 | 0.00% | 88.2 |
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) | ABBN.SW | ABBN.SW | ALCISTA | 100.0% | 50.0 | 0.00% | 82.0200 | 83.6604 | GBM/Kalman ensemble: conf_raw=38.1% (cal=100.0%), dir=ALCISTA, vol_annual=26.9%, regime=BULL |
| MEDIO (1-3m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 287.4400 | 287.9252 | Stacking ensemble (ridge): pred_return=0.17%, conf_raw=52.8% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | ABBN.SW | ABBN.SW | ALCISTA | 100.0% | 50.0 | 0.00% | 82.0200 | 94.3230 | Fundamental=60/100 (ATRACTIVO) + Macro=62/100 (RISK-ON); blend=61.0 -> 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.