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Informe Diario

2026-05-18

Informe de Trading

1. Contexto Macro

La situación internacional se caracteriza por una volatilidad moderada, con un VIX en 18.97 (+2.93%) y un rendimiento del Tesoro de EE. UU. a 10 años en 4.595 (+3.00%). El índice del dólar estadounidense (DXY) se encuentra en 99.156 (-0.11%), mientras que el precio del petróleo crudo WTI es de 102.06 (-3.19%). El sentimiento del mercado es neutral, con un score de -0.069 según FinBERT NLP, y el índice de riesgo geopolítico es de 0.53/1.00.

2. Corto Plazo

Ticker Precio Pred Dir Conf SL TP R/R Justificación
INW.MI 6.43 5.96 BAJISTA 54.8% 6.20 7.14 3.0 GBM: 46%up, Kalman: BAJISTA, HMM: NEUTRAL, ML: BAJISTA
G.MI 37.14 35.65 ALCISTA 41.9% 36.29 39.37 2.6 GBM: 54%up, Kalman: NEUTRAL, HMM: ALCISTA, ML: NEUTRAL (señal mixta)
REP.MC 23.37 23.95 ALCISTA 58.3% 22.46 24.24 1.0 GBM: 56%up, Kalman: ALCISTA, HMM: NEUTRAL, ML: ALCISTA
VNA.DE 21.41 20.92 BAJISTA 52.6% 20.73 22.15 1.1 GBM: 47%up, Kalman: BAJISTA, HMM: BAJISTA, ML: BAJISTA
BATS.L 4937.00 5090.13 ALCISTA 40.7% 4713.02 5166.69 1.0 GBM: 52%up, Kalman: ALCISTA, HMM: ALCISTA, ML: NEUTRAL

3. Medio Plazo

Ticker Precio Pred Dir Conf SL TP R/R Regimen Tendencia Kalman
III.L 2084.99 1971.20 BAJISTA 58.0% 1885.08 2255.67 0.9 BEAR BAJISTA
TEP.PA 74.76 79.40 ALCISTA 30.0% 68.88 81.72 1.2 BULL ALCISTA
BABA 132.59 128.50 ALCISTA 40.0% 122.60 138.73 0.6 BULL ALCISTA (señal mixta)
ABN.AS 32.64 33.18 ALCISTA 59.2% 30.95 33.45 0.5 BULL ALCISTA
EXO.AS 63.85 62.76 BAJISTA 57.5% 61.92 65.49 0.8 BEAR BAJISTA

4. Largo Plazo

Ticker Precio Pred Dir Conf SL TP R/R Escenarios Reales
BPE.MI 11.48 10.81 BAJISTA 25.2% 10.98 12.49 2.0 p5: 9.50, p50: 11.20, p95: 13.10
HO.PA 216.30 212.60 BAJISTA 55.1% 208.93 221.84 0.8 p5: 200.10, p50: 215.50, p95: 230.90
TTE.PA 79.87 80.89 ALCISTA 60.0% 77.69 81.40 0.7 p5: 74.20, p50: 80.50, p95: 87.80
AUTO.L 486.40 480.08 BAJISTA 58.3% 470.87 495.89 0.6 p5: 450.10, p50: 485.50, p95: 520.90
MTX.DE 267.60 264.12 BAJISTA 55.6% 251.95 272.82 0.3 p5: 250.10, p50: 265.50, p95: 280.90

5. Criptomonedas

No hay datos disponibles para criptomonedas.

6. Cartera Diversificada

Ticker Peso Precio Dir Vol Plazo
INW.MI 12.4% 6.43 BAJISTA 29% Corto
G.MI 19.6% 37.14 ALCISTA 18% Corto
REP.MC 11.6% 23.37 ALCISTA 31% Corto
III.L 4.7% 2084.99 BAJISTA 76% Medio
TEP.PA 5.7% 74.76 ALCISTA 62% Medio
BABA 6.0% 132.59 ALCISTA 60% Medio
BPE.MI 10.3% 11.48 BAJISTA 35% Largo
HO.PA 13.2% 216.30 BAJISTA 27% Largo
TTE.PA 16.5% 79.87 ALCISTA 22% Largo

7. Alertas

  • Eventos de dividendos: CCL, APO, ADM, AFL, AMAT
  • Eventos de earnings: ADI

8. Backtesting

  • REC.MI: FALLO | Entrada $51.5, Hoy $50.45, Ret real -2.039%, Ret pred +0.387%, Dir ALCISTA (conf 60.1%)
  • SPM.MI: FALLO | Entrada $4.655, Hoy $4.561, Ret real -2.019%, Ret pred -0.125%, Dir ALCISTA (conf 59.5%)
  • BATS.L: ACERTO | Entrada $4864.0, Hoy $4944.0, Ret real +1.645%, Ret pred -1.935%, Dir ALCISTA (conf 58.9%)

9. Performance Modelos

Modelo Accuracy Sesgo MAE Evaluaciones
merton 53% 0.53 1.71 43112
kalman_signal 52% - - 43112
hmm_signal 52% - - 43112
gbm 52% 0.69 1.95 42922
ensemble 49% -0.01 3.37 43112
ml 49% 3.32 12.35 43112
kalman 47% 0.90 2.28 43076

10. Calibración

  • Bucket 00-30%: n=32270, hit_rate=50%, avg_conf=16%
  • Bucket 30-50%: n=9200, hit_rate=48%, avg_conf=39%
  • Bucket 50-60%: n=1142, hit_rate=46%, avg_conf=57%
  • Bucket 60-70%: n=370, hit_rate=55%, avg_conf=64%
  • Bucket 70-80%: n=114, hit_rate=61%, avg_conf=77%
  • Bucket 80+%: n=16, hit_rate=38%, avg_conf=82%

11. Disclaimer

Este informe es para fines informativos y no constituye un consejo de inversión. Los resultados pasados no garantizan resultados futuros. Es importante realizar su propia investigación y considerar sus objetivos de inversión y tolerancia al riesgo 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) -1.77
Sortino (anualizado) -2.36
Calmar -0.28
Max Drawdown -91.88%
Profit Factor 0.80
Win Rate (= Hit Rate global) 44.45%
Expectancy por trade -0.111%
N evaluaciones 2000

Hit rate por bucket de confianza

Bucket conf. N Hit rate
00-30 1462 42.5%
30-50 456 47.1%
50-60 63 65.1%
60-70 16 56.2%
70-80 3 100.0%
80-100 0 N/A

13. Calibracion (post-isotonic)

Isotonic (PAV) calibrator entrenado sobre 304 muestras historicas el 2026-05-18T00:30:00Z. 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 3706 67.8% 0 N/A
30-50 1064 67.3% 0 N/A
50-60 120 74.2% 0 N/A
60-70 81 61.7% 0 N/A
70-80 27 92.6% 0 N/A
80-100 2 100.0% 5000 67.9%

Curva isotonic (knots)

raw_conf calibrated
29.0 100.0%
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Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 67.9%, 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 304 (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: 6.70% (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 13.63% 61.0
TLT US 10Y Bond ALCISTA 55 20.00% 61.0
EURUSD=X EUR/USD ALCISTA 55 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% 3790.0000 3865.8000 GBM/Kalman ensemble: conf_raw=40.0% (cal=100.0%), dir=ALCISTA, vol_annual=47.9%, regime=BULL
MEDIO (1-3m) AAF.L AAF.L ALCISTA 100.0% 50.0 0.00% 325.3000 329.5761 Stacking ensemble (nnls): pred_return=1.31%, conf_raw=55.5% (cal=100.0%), dir=ALCISTA
LARGO (6-12m) A2A.MI A2A.MI ALCISTA 100.0% 50.0 0.00% 2.1720 2.4978 Fundamental=70/100 (ATRACTIVO) + Macro=49/100 (NEUTRO); blend=59.5 -> 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.