Informes
Recientes
Informe Diario
2026-05-26
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una volatilidad moderada, con el VIX en 16.7 (+0.66%) y una ligera disminución en los rendimientos de los bonos del Tesoro estadounidense. El Ãndice del dólar estadounidense (DXY) se encuentra en 99.041 (-0.28%), mientras que el precio del petróleo crudo WTI ha disminuido un 3.83% a $92.9. El sentimiento del mercado es neutral, con un score de -0.003 según el análisis de FinBERT NLP.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| D | $67.67 | $63.82 | ALCISTA | 77.9% | $64.53 | $73.45 | 1.8 |
| ZAL.DE | $21.77 | $23.13 | BAJISTA | 61.1% | $20.74 | $23.81 | 2.0 |
| RACE.MI | $291.00 | $302.56 | BAJISTA | 61.1% | $274.22 | $308.34 | 1.0 |
| FIX | $1828.25 | $1733.01 | ALCISTA | 46.2% | $1719.35 | $1971.10 | 1.3 |
| BSX | $57.78 | $59.82 | BAJISTA | 61.1% | $55.11 | $60.84 | 1.1 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para D, mientras que para ZAL.DE, RACE.MI y BSX, los modelos HMM y ML apuntan a una dirección bajista, lo que indica una señal mixta.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| AMD | $467.51 | $490.39 | ALCISTA | 55.0% | $425.05 | $501.83 | 0.8 |
| LRCX | $305.35 | $313.94 | ALCISTA | 60.7% | $285.08 | $318.23 | 0.6 |
| AGN.AS | $7.58 | $7.93 | ALCISTA | 40.4% | $7.40 | $8.11 | 3.0 |
| ACX.MC | $15.72 | $16.48 | ALCISTA | 37.1% | $15.08 | $16.85 | 1.8 |
| UMG.AS | $20.53 | $21.26 | BAJISTA | 46.0% | $19.81 | $21.63 | 1.5 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para AMD, LRCX, AGN.AS y ACX.MC, mientras que para UMG.AS, los modelos HMM y ML apuntan a una dirección bajista.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| NTAP | $139.36 | $156.48 | ALCISTA | 28.6% | $127.79 | $165.03 | 2.2 |
| AAPL | $308.82 | $319.81 | ALCISTA | 45.9% | $301.71 | $325.30 | 2.3 |
| ZS | $182.37 | $188.88 | ALCISTA | 45.1% | $167.90 | $192.14 | 0.7 |
| DOC | $19.73 | $20.52 | ALCISTA | 40.2% | $18.80 | $20.92 | 1.3 |
| CBK.DE | $37.19 | $38.17 | ALCISTA | 54.6% | $35.69 | $38.66 | 1.0 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para NTAP, AAPL, ZS, DOC y CBK.DE.
5. Criptomonedas
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ETH-USD | $2097.74 | $2033.53 | NEUTRAL | 27.7% | $1995.57 | $2194.06 | 0.9 |
| ZEC-USD | $637.31 | $583.03 | NEUTRAL | 17.2% | $543.11 | $718.73 | 0.9 |
| MKR-USD | $1622.54 | $1651.16 | NEUTRAL | 23.1% | $1520.02 | $1665.46 | 0.4 |
| ICP-USD | $2.65 | $2.51 | NEUTRAL | 16.9% | $2.39 | $2.85 | 0.8 |
| LTC-USD | $52.45 | $50.87 | NEUTRAL | 13.9% | $49.97 | $54.82 | 1.0 |
Justificación: Los modelos GBM, Kalman, HMM y ML no coinciden en una dirección clara para las criptomonedas, lo que indica una señal mixta.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir | Conf |
|---|---|---|---|---|
| D | 9.0% | $67.67 | ALCISTA | 77.9% |
| ZAL.DE | 8.8% | $21.77 | BAJISTA | 61.1% |
| RACE.MI | 7.2% | $291.00 | BAJISTA | 61.1% |
| AMD | 4.6% | $467.51 | ALCISTA | 55.0% |
| LRCX | 6.3% | $305.35 | ALCISTA | 60.7% |
| AGN.AS | 17.9% | $7.58 | ALCISTA | 40.4% |
| NTAP | 5.0% | $139.36 | ALCISTA | 28.6% |
| AAPL | 18.1% | $308.82 | ALCISTA | 45.9% |
| ZS | 5.2% | $182.37 | ALCISTA | 45.1% |
| ETH-USD | 8.5% | $2097.74 | NEUTRAL | 27.7% |
| ZEC-USD | 2.8% | $637.31 | NEUTRAL | 17.2% |
| MKR-USD | 6.6% | $1622.54 | NEUTRAL | 23.1% |
Justificación: La cartera diversificada busca equilibrar los riesgos y oportunidades en diferentes activos y sectores.
7. Alertas
- Eventos earnings: AZO, A, ADSK, BBY
- Eventos dividendos: ATO, AMCR
8. Backtesting
- CA.PA: FALLO | Entrada $17.115, Hoy $16.135, Ret real -5.726%, Ret pred +2.429%, Dir ALCISTA (conf 67.0%)
- ARB-USD: ACERTO | Entrada $0.0008, Hoy $0.0008, Ret real -5.367%, Ret pred -37.500%, Dir BAJISTA (conf 66.9%)
- ZAL.DE: FALLO | Entrada $20.84, Hoy $21.88, Ret real +4.990%, Ret pred +2.740%, Dir BAJISTA (conf 61.4%)
- BVI.PA: FALLO | Entrada $27.14, Hoy $25.8, Ret real -4.937%, Ret pred +0.960%, Dir ALCISTA (conf 55.3%)
- BESI.AS: ACERTO | Entrada $278.5, Hoy $286.5, Ret real +2.873%, Ret pred +1.973%, Dir ALCISTA (conf 50.6%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| gbm | 53% | 1.59 | -0.40 |
| ml | 53% | 9.96 | 0.37 |
| merton | 49% | 1.40 | -0.51 |
| ensemble | 49% | 2.76 | -0.91 |
| kalman | 45% | 1.90 | -0.90 |
| hmm_signal | 40% | - | - |
| kalman_signal | 39% | - | - |
Justificación: Los modelos GBM y ML tienen una precisión del 53%, mientras que el modelo Merton tiene una precisión del 49%.
10. Calibración
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 28287 | 49% | 15% |
| 30-50% | 8678 | 49% | 39% |
| 50-60% | 637 | 56% | 58% |
| 60-70% | 616 | 47% | 61% |
| 70-80% | 58 | 50% | 79% |
| 80+% | 15 | 60% | 81% |
Justificación: La calibración de las predicciones es adecuada, con un hit rate del 49% en el bucket 00-30% y un hit rate del 60% en el bucket 80+%.
11. Disclaimer
Este informe de trading 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 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) | 1.13 |
| Sortino (anualizado) | 1.65 |
| Calmar | 0.61 |
| Max Drawdown | -29.84% |
| Profit Factor | 1.15 |
| Win Rate (= Hit Rate global) | 53.55% |
| Expectancy por trade | 0.071% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1815 | 53.1% |
| 30-50 | 185 | 58.4% |
| 50-60 | 0 | N/A |
| 60-70 | 0 | N/A |
| 70-80 | 0 | N/A |
| 80-100 | 0 | N/A |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 368 muestras historicas el 2026-05-26T00:30:00Z. 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 | 3757 | 50.2% | 0 | N/A |
| 30-50 | 1144 | 58.6% | 0 | N/A |
| 50-60 | 24 | 54.2% | 0 | N/A |
| 60-70 | 75 | 37.3% | 0 | N/A |
| 70-80 | 0 | N/A | 0 | N/A |
| 80-100 | 0 | N/A | 5000 | 51.9% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 51.9%, 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 368 (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: 0.89% (cap 20%)
- Risk score medio: 84.4/100 (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% | 1 | 12.5% |
| 10-15% | 0 | 0.0% |
| 15-20% | 0 | 0.0% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| USO | Oil (WTI) | ALCISTA | 57 | 7.13% | 57.2 |
| BTC-USD | Bitcoin | NEUTRAL | 52 | 0.00% | 81.4 |
| GLD | Gold | NEUTRAL | 50 | 0.00% | 86.3 |
| QQQ | NASDAQ 100 | BAJISTA | 37 | 0.00% | 87.1 |
| URTH | MSCI World | NEUTRAL | 52 | 0.00% | 90.4 |
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% | 3894.0000 | 3971.8800 | GBM/Kalman ensemble: conf_raw=46.0% (cal=100.0%), dir=ALCISTA, vol_annual=40.2%, regime=LATERAL |
| MEDIO (1-3m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 308.8200 | 309.3036 | Stacking ensemble (ridge): pred_return=0.16%, conf_raw=53.4% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 308.8200 | 355.1430 | Fundamental=65/100 (ATRACTIVO) + Macro=49/100 (NEUTRO); blend=57.0 -> 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.