Informes
Recientes
Informe Diario
2026-05-14
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una volatilidad moderada, con el VIX en 17.91 (+0.22%). Los rendimientos de los bonos del Tesoro estadounidense a 10 y 30 años se encuentran en 4.481 (+0.40%) y 5.047 (+0.32%), respectivamente. El Ãndice del dólar estadounidense (DXY) se mantiene estable en 98.493 (+0.01%). El precio del petróleo crudo WTI se encuentra en 100.92 (-0.10%), mientras que el oro y la plata futuros se encuentran en 4708.5 (+0.23%) y 88.035 (-0.96%), respectivamente.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| EL.PA | 171.10 | 180.33 | BAJISTA | 64.6% | 163.87 | 184.94 | 1.9 |
| G24.DE | 75.95 | 81.85 | BAJISTA | 44.3% | 72.07 | 84.80 | 2.3 |
| PCT.L | 678.05 | 727.49 | ALCISTA | 46.6% | 657.58 | 752.22 | 3.6 |
| SAND.ST | 360.30 | 339.57 | ALCISTA | 44.3% | 342.46 | 391.39 | 1.7 |
| NOVN.SW | 116.80 | 110.64 | ALCISTA | 44.3% | 113.84 | 126.04 | 3.1 |
Justificación por modelo: - EL.PA: El modelo GBM apunta a un aumento del 44%, mientras que el modelo Kalman es neutral y los modelos HMM y ML apuntan a una caÃda. La señal mixta se debe a la contradicción entre el precio y el consenso. - G24.DE: El modelo GBM apunta a un aumento del 44%, mientras que el modelo Kalman es alcista y los modelos HMM y ML apuntan a una caÃda. La señal mixta se debe a la contradicción entre el precio y el consenso.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| STMPA.PA | 53.49 | 55.78 | ALCISTA | 55.9% | 49.14 | 56.92 | 0.8 |
| STMMI.MI | 53.48 | 55.74 | ALCISTA | 55.9% | 49.12 | 56.86 | 0.8 |
| MUV2.DE | 465.00 | 436.11 | BAJISTA | 37.3% | 444.69 | 508.33 | 2.1 |
| III.L | 2121.00 | 2042.02 | BAJISTA | 55.9% | 1919.33 | 2239.47 | 0.6 |
| FER.MC | 58.02 | 55.84 | ALCISTA | 44.3% | 56.40 | 61.29 | 2.0 |
Regimen y tendencia Kalman: - STMPA.PA: El régimen es BULL y la tendencia Kalman es alcista. - STMMI.MI: El régimen es BULL y la tendencia Kalman es alcista.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| SAN.MC | 10.25 | 9.88 | ALCISTA | 44.3% | 9.88 | 10.81 | 1.5 |
| RAND.AS | 24.14 | 23.22 | ALCISTA | 41.3% | 22.81 | 25.53 | 1.0 |
| ADS.DE | 143.70 | 148.16 | BAJISTA | 44.3% | 136.94 | 150.38 | 1.0 |
| HO.PA | 223.10 | 215.28 | BAJISTA | 39.6% | 215.05 | 234.83 | 1.5 |
| LR.PA | 154.50 | 149.98 | ALCISTA | 44.3% | 149.30 | 161.28 | 1.3 |
Escenarios reales (p5/p50/p95 de GBM si disponibles): - SAN.MC: El escenario p5 es 9.50, el p50 es 10.25 y el p95 es 11.00.
5. Criptomonedas
No hay datos disponibles.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol | Plazo |
|---|---|---|---|---|
| EL.PA | 12.4% | 171.10 | 34% | Corto |
| G24.DE | 10.3% | 75.95 | 41% | Corto |
| PCT.L | 17.4% | 678.05 | 24% | Corto |
| STMPA.PA | 6.5% | 53.49 | 64% | Medio |
| STMMI.MI | 6.4% | 53.48 | 65% | Medio |
| MUV2.DE | 12.0% | 465.00 | 35% | Medio |
| SAN.MC | 14.4% | 10.25 | 29% | Largo |
| RAND.AS | 9.5% | 24.14 | 44% | Largo |
| ADS.DE | 11.1% | 143.70 | 37% | Largo |
Justificación de la diversificación: - La cartera está diversificada en diferentes sectores y plazos para minimizar el riesgo.
7. Alertas
- Eventos earnings/dividendos que impactan recomendaciones:
- AMAT: EARNINGS el 2026-05-14
- AMGN: DIVIDEND el 2026-05-15
- CCEP: DIVIDEND el 2026-05-15
- CEG: DIVIDEND el 2026-05-15
- CF: DIVIDEND el 2026-05-15
- CHD: DIVIDEND el 2026-05-15
8. Backtesting
- Que paso con lo recomendado ayer:
- BATS.L: ACERTO | Entrada $4634.0, Hoy $4900.0, Ret real +5.740%, Ret pred +2.667%, Dir ALCISTA (conf 59.2%)
- MT.AS: ACERTO | Entrada $52.65, Hoy $54.78, Ret real +4.046%, Ret pred -1.395%, Dir ALCISTA (conf 59.3%)
- RIO.L: ACERTO | Entrada $7920.0, Hoy $8234.0, Ret real +3.965%, Ret pred -0.341%, Dir ALCISTA (conf 59.2%)
- PRY.MI: ACERTO | Entrada $148.8, Hoy $153.45, Ret real +3.125%, Ret pred -0.245%, Dir ALCISTA (conf 79.3%)
- EL.PA: FALLO | Entrada $165.9, Hoy $171.05, Ret real +3.104%, Ret pred +5.610%, Dir BAJISTA (conf 79.3%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| gbm | 53% | 2.09 | 0.70 |
| merton | 52% | 1.82 | 0.53 |
| kalman_signal | 51% | - | - |
| hmm_signal | 51% | - | - |
| ml | 50% | 12.79 | 2.94 |
| kalman | 49% | 2.36 | 0.88 |
| ensemble | 48% | 3.49 | 0.23 |
10. Calibracion
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 31542 | 49% | 16% |
| 30-50% | 9387 | 47% | 39% |
| 50-60% | 1349 | 41% | 56% |
| 60-70% | 426 | 50% | 65% |
| 70-80% | 191 | 48% | 78% |
| 80+% | 15 | 13% | 81% |
11. Disclaimer
Este informe es solo para fines informativos y no debe ser considerado como asesoramiento 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) | -4.50 |
| Sortino (anualizado) | -5.43 |
| Calmar | -0.51 |
| Max Drawdown | -99.64% |
| Profit Factor | 0.57 |
| Win Rate (= Hit Rate global) | 36.35% |
| Expectancy por trade | -0.273% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 829 | 36.4% |
| 30-50 | 916 | 34.3% |
| 50-60 | 8 | 25.0% |
| 60-70 | 231 | 43.7% |
| 70-80 | 6 | 100.0% |
| 80-100 | 10 | 20.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 272 muestras historicas el 2026-05-14T00:30:00Z. 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 | 3637 | 53.0% | 0 | N/A |
| 30-50 | 1177 | 52.6% | 0 | N/A |
| 50-60 | 123 | 52.8% | 0 | N/A |
| 60-70 | 57 | 45.6% | 0 | N/A |
| 70-80 | 5 | 60.0% | 0 | N/A |
| 80-100 | 1 | 100.0% | 5000 | 52.8% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 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 = 52.8%, 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 272 (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: 5.88% (cap 20%)
- Risk score medio: 77.3/100 (100 = mas seguro)
- Predicciones con Kelly = 0: 5/8
Distribucion de Kelly size
| Rango Kelly | N | % |
|---|---|---|
| 0% | 5 | 62.5% |
| 0-5% | 0 | 0.0% |
| 5-10% | 1 | 12.5% |
| 10-15% | 0 | 0.0% |
| 15-20% | 2 | 25.0% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| USO | Oil (WTI) | ALCISTA | 57 | 7.07% | 57.1 |
| TLT | US 10Y Bond | ALCISTA | 55 | 20.00% | 61.0 |
| EURUSD=X | EUR/USD | ALCISTA | 57 | 20.00% | 61.0 |
| BTC-USD | Bitcoin | NEUTRAL | 52 | 0.00% | 82.7 |
| GLD | Gold | NEUTRAL | 50 | 0.00% | 86.4 |
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% | 4053.0000 | 4134.0600 | GBM/Kalman ensemble: conf_raw=40.8% (cal=100.0%), dir=ALCISTA, vol_annual=42.9%, regime=BULL |
| MEDIO (1-3m) | AAL.L | AAL.L | ALCISTA | 100.0% | 50.0 | 0.00% | 4053.0000 | 4057.8677 | Stacking ensemble (ridge): pred_return=0.12%, conf_raw=51.1% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | ABN.AS | ABN.AS | ALCISTA | 100.0% | 50.0 | 0.00% | 32.4300 | 37.2945 | Fundamental=85/100 (ATRACTIVO) + Macro=44/100 (RISK-OFF); blend=64.5 -> 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.