Informes
Recientes
Informe Diario
2026-05-16
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una mayor volatilidad, con el VIX (Volatility Index) aumentando un 6.78% y el US 10Y Treasury Yield subiendo un 3.00%. El dólar estadounidense se ha fortalecido ligeramente, con el US Dollar Index (DXY) aumentando un 0.39%. El precio del petróleo crudo WTI ha subido un 4.20% y el oro ha disminuido un 2.61%. El sentimiento del mercado es neutral, con un score de -0.026 según el análisis de FinBERT NLP. El Ãndice de riesgo geopolÃtico es de 0.48/1.00.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| FCIT.L | 329.75 | 379.06 | ALCISTA | 40.7% | 324.37 | 403.71 | 13.8 |
| ITRK.L | 5615.00 | 5320.13 | ALCISTA | 58.4% | 5280.53 | 6057.30 | 1.3 |
| EL.PA | 173.25 | 181.00 | BAJISTA | 61.8% | 166.14 | 184.88 | 1.6 |
| PCT.L | 671.50 | 698.16 | ALCISTA | 59.9% | 649.18 | 711.49 | 1.8 |
| HNR1.DE | 237.40 | 244.00 | BAJISTA | 78.7% | 231.54 | 247.30 | 1.7 |
Justificación: Los modelos GBM, Kalman y HMM coinciden en la dirección alcista para FCIT.L y ITRK.L, mientras que el modelo ML es neutral para FCIT.L y alcista para ITRK.L. Para EL.PA, el modelo GBM es alcista, pero el modelo HMM y ML son bajistas, lo que indica una señal mixta.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| RIO.L | 7766.00 | 7342.87 | ALCISTA | 41.0% | 7377.96 | 8400.70 | 1.6 |
| SPOT | 436.94 | 451.25 | BAJISTA | 61.8% | 414.29 | 458.40 | 0.9 |
| BATS.L | 4864.00 | 4704.61 | ALCISTA | 58.9% | 4631.26 | 5103.08 | 1.0 |
| WKL.AS | 61.22 | 64.22 | BAJISTA | 41.0% | 57.25 | 65.73 | 1.1 |
| BABA | 132.59 | 126.18 | ALCISTA | 40.5% | 122.60 | 142.21 | 1.0 |
Justificación: Los modelos GBM, Kalman y HMM coinciden en la dirección alcista para RIO.L y BATS.L, mientras que el modelo ML es alcista para RIO.L y bajista para BATS.L.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| EQNR.OL | 361.00 | 377.33 | BAJISTA | 40.5% | 339.83 | 385.49 | 1.2 |
| RTO.L | 472.50 | 460.36 | BAJISTA | 59.9% | 459.29 | 490.71 | 1.4 |
| PRY.MI | 153.15 | 149.62 | ALCISTA | 61.8% | 143.32 | 158.45 | 0.5 |
| EWU | 45.57 | 43.86 | ALCISTA | 41.0% | 44.44 | 48.14 | 2.3 |
| SBRY.L | 302.60 | 286.41 | ALCISTA | 30.3% | 294.38 | 326.89 | 3.0 |
Justificación: Los modelos GBM, Kalman y HMM coinciden en la dirección alcista para PRY.MI, mientras que el modelo ML es alcista para PRY.MI y bajista para EQNR.OL y RTO.L.
5. Criptomonedas
No hay datos disponibles para criptomonedas.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol |
|---|---|---|---|
| FCIT.L | 26.5% | 329.75 | 13% |
| ITRK.L | 7.3% | 5615.00 | 47% |
| EL.PA | 10.5% | 173.25 | 33% |
| RIO.L | 8.7% | 7766.00 | 40% |
| SPOT | 8.3% | 436.94 | 41% |
| BATS.L | 9.0% | 4864.00 | 38% |
| EQNR.OL | 7.4% | 361.00 | 47% |
| RTO.L | 15.5% | 472.50 | 22% |
| PRY.MI | 6.7% | 153.15 | 51% |
Justificación: La cartera diversificada tiene un peso mayor en FCIT.L y RTO.L, con un enfoque en el corto y largo plazo, respectivamente.
7. Alertas
- Eventos earnings: ADI el 2026-05-20, AMAT el 2026-05-21
- Eventos dividendos: CCL el 2026-05-18, APO el 2026-05-19, ADM el 2026-05-20, AFL el 2026-05-20
8. Backtesting
- AAL.L: FALLO | Entrada $4063.0, Hoy $3833.0, Ret real -5.661%, Ret pred -5.176%, Dir ALCISTA (conf 59.6%)
- III.L: FALLO | Entrada $2112.0, Hoy $2210.0, Ret real +4.640%, Ret pred +4.799%, Dir BAJISTA (conf 58.0%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| gbm | 53% | 2.02% | 0.69% |
| merton | 52% | 1.77% | 0.54% |
| hmm_signal | 51% | - | - |
| ml | 50% | 12.55% | 3.12% |
| kalman_signal | 50% | - | - |
| kalman | 49% | 2.29% | 0.95% |
| ensemble | 47% | 3.51% | 0.04% |
Justificación: El modelo gbm tiene la mayor precisión, seguido del modelo merton.
10. Calibración
- Bucket 00-30%: n=31624, hit_rate=48%, avg_conf=16%
- Bucket 30-50%: n=9246, hit_rate=46%, avg_conf=39%
- Bucket 50-60%: n=1225, hit_rate=43%, avg_conf=56%
- Bucket 60-70%: n=360, hit_rate=52%, avg_conf=65%
- Bucket 70-80%: n=176, hit_rate=52%, avg_conf=78%
- Bucket 80+%: n=14, hit_rate=29%, avg_conf=82%
Justificación: La calibración muestra que las predicciones están bien calibradas en general, pero hay un ligero sesgo hacia la confianza alta.
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 considerar su propia situación financiera 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) | 0.13 |
| Sortino (anualizado) | 0.18 |
| Calmar | 0.02 |
| Max Drawdown | -48.93% |
| Profit Factor | 1.02 |
| Win Rate (= Hit Rate global) | 50.40% |
| Expectancy por trade | 0.008% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1166 | 52.7% |
| 30-50 | 624 | 48.4% |
| 50-60 | 121 | 48.8% |
| 60-70 | 64 | 32.8% |
| 70-80 | 24 | 45.8% |
| 80-100 | 1 | 0.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 288 muestras historicas el 2026-05-16T00:30:00Z. 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 | 3761 | 46.7% | 0 | N/A |
| 30-50 | 1103 | 48.7% | 0 | N/A |
| 50-60 | 99 | 53.5% | 0 | N/A |
| 60-70 | 24 | 37.5% | 0 | N/A |
| 70-80 | 12 | 83.3% | 0 | N/A |
| 80-100 | 1 | 100.0% | 5000 | 47.4% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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| 70.0 | 100.0% |
Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 47.4%, 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 288 (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: 6.72% (cap 20%)
- Risk score medio: 75.8/100 (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% | 0 | 0.0% |
| 10-15% | 1 | 12.5% |
| 15-20% | 2 | 25.0% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| BTC-USD | Bitcoin | ALCISTA | 57 | 13.74% | 60.9 |
| TLT | US 10Y Bond | ALCISTA | 55 | 20.00% | 61.0 |
| EURUSD=X | EUR/USD | ALCISTA | 60 | 20.00% | 61.0 |
| USO | Oil (WTI) | NEUTRAL | 52 | 0.00% | 69.3 |
| GLD | Gold | NEUTRAL | 50 | 0.00% | 85.2 |
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) | AAL.L | AAL.L | ALCISTA | 100.0% | 50.0 | 0.00% | 3833.0000 | 3909.6600 | GBM/Kalman ensemble: conf_raw=40.5% (cal=100.0%), dir=ALCISTA, vol_annual=50.6%, regime=BULL |
| MEDIO (1-3m) | ACX.MC | ACX.MC | ALCISTA | 100.0% | 50.0 | 0.00% | 14.5100 | 14.9146 | Stacking ensemble (nnls): pred_return=2.79%, conf_raw=82.9% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | ABN.AS | ABN.AS | ALCISTA | 100.0% | 50.0 | 0.00% | 32.6300 | 37.5245 | 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.