Informes
Recientes
Informe Diario
2026-05-27
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una disminución en la volatilidad, con el VIX (Volatility Index) en 16.94 (-0.41%). Los rendimientos de los bonos del Tesoro estadounidense a 10 y 30 años se han reducido, lo que puede indicar una disminución en las expectativas de inflación. El Ãndice del dólar estadounidense (DXY) se ha mantenido estable, mientras que el precio del petróleo crudo WTI ha disminuido un 4.03%. El sentimiento del mercado es neutral, con un score de -0.018 según FinBERT NLP, y el Ãndice de riesgo geopolÃtico es de 0.47/1.00.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ZAL.DE | 22.89 | 23.98 | BAJISTA | 61.1% | 21.73 | 24.52 | 1.4 |
| ACS.MC | 125.60 | 118.73 | ALCISTA | 48.9% | 119.80 | 135.90 | 1.8 |
| SCYR.MC | 4.75 | 4.56 | ALCISTA | 65.1% | 4.60 | 5.04 | 1.8 |
| INGA.AS | 26.89 | 26.11 | ALCISTA | 78.4% | 26.06 | 28.07 | 1.4 |
| ACX.MC | 15.88 | 16.76 | ALCISTA | 43.8% | 15.25 | 17.20 | 2.1 |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para ACS.MC, SCYR.MC, INGA.AS y ACX.MC, mientras que el modelo HMM y ML sugieren una tendencia bajista para ZAL.DE.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R | Regimen |
|---|---|---|---|---|---|---|---|---|
| GAW.L | 20760.00 | 19932.02 | ALCISTA | 54.0% | 19783.11 | 22001.96 | 1.3 | BULL |
| SAND.ST | 388.60 | 377.77 | ALCISTA | 65.1% | 374.93 | 404.85 | 1.2 | BEAR |
| ABN.AS | 34.06 | 33.08 | ALCISTA | 62.9% | 32.67 | 35.54 | 1.1 | BULL |
| IGG.L | 1820.00 | 1755.81 | ALCISTA | 54.0% | 1726.84 | 1916.28 | 1.0 | BULL |
| ALW.L | 1327.71 | 1368.84 | ALCISTA | 56.1% | 1311.30 | 1389.40 | 3.8 | BULL |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para GAW.L, SAND.ST, ABN.AS, IGG.L y ALW.L, mientras que el modelo HMM sugiere una tendencia bajista para SAND.ST.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| FER.MC | 59.48 | 57.21 | ALCISTA | 41.8% | 57.83 | 62.88 | 2.1 |
| NTGY.MC | 28.62 | 30.18 | ALCISTA | 22.7% | 27.46 | 30.96 | 2.0 |
| BKT.MC | 14.23 | 14.07 | ALCISTA | 65.1% | 13.83 | 14.49 | 0.6 |
| AUTO.L | 440.70 | 429.49 | BAJISTA | 38.6% | 416.12 | 457.52 | 0.7 |
| HSBA.L | 1404.80 | 1389.59 | ALCISTA | 65.1% | 1361.70 | 1427.62 | 0.5 |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para FER.MC, NTGY.MC, BKT.MC y HSBA.L, mientras que el modelo HMM sugiere una tendencia bajista para AUTO.L.
5. Criptomonedas
No hay datos disponibles.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol | Plazo |
|---|---|---|---|---|
| ZAL.DE | 8.1% | 22.89 | 40% | Corto |
| ACS.MC | 8.9% | 125.60 | 37% | Corto |
| SCYR.MC | 12.7% | 4.75 | 26% | Corto |
| GAW.L | 8.8% | 20760.00 | 37% | Medio |
| SAND.ST | 11.7% | 388.60 | 28% | Medio |
| ABN.AS | 10.1% | 34.06 | 32% | Medio |
| FER.MC | 14.8% | 59.48 | 22% | Largo |
| NTGY.MC | 10.2% | 28.62 | 32% | Largo |
| BKT.MC | 14.6% | 14.23 | 22% | Largo |
Justificación: La cartera está diversificada en diferentes sectores y plazos, con un enfoque en acciones con una tendencia alcista en el corto y medio plazo.
7. Alertas
- Eventos earnings: A, ADSK, AMCR, BBY, BAX, CBOE
- Eventos dividendos: AMCR, BAX, CBOE
8. Backtesting
- Acertaron: MU, AMD, LRCX, IAG.MC
- Fallaron: SAB.MC, ADP, USO, XLE
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| GBM | 56% | 1.67 | -0.29 |
| ML | 53% | 9.63 | 0.23 |
| Merton | 50% | 1.43 | -0.44 |
| Ensemble | 50% | 2.81 | -0.77 |
| Kalman | 44% | 1.90 | -0.80 |
Justificación: El modelo GBM es el que mejor performance ha tenido, con una accuracy del 56% y un MAE de 1.67.
10. Calibración
La calibración de las predicciones es importante para evaluar la confianza en las recomendaciones. La tabla de calibración muestra que la confianza en las predicciones es alta para los buckets de 80% y superior.
11. Disclaimer
Este informe es solo para fines informativos y no debe ser considerado como un consejo de inversión. Es importante hacer 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) | -0.62 |
| Sortino (anualizado) | -0.86 |
| Calmar | -0.11 |
| Max Drawdown | -92.67% |
| Profit Factor | 0.92 |
| Win Rate (= Hit Rate global) | 48.05% |
| Expectancy por trade | -0.039% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1403 | 51.6% |
| 30-50 | 471 | 36.3% |
| 50-60 | 71 | 39.4% |
| 60-70 | 19 | 15.8% |
| 70-80 | 36 | 97.2% |
| 80-100 | 0 | N/A |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 376 muestras historicas el 2026-05-27T00:30:00Z. 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 | 3883 | 51.9% | 0 | N/A |
| 30-50 | 1004 | 50.4% | 0 | N/A |
| 50-60 | 36 | 36.1% | 0 | N/A |
| 60-70 | 69 | 40.6% | 0 | N/A |
| 70-80 | 8 | 62.5% | 0 | N/A |
| 80-100 | 0 | N/A | 5000 | 51.4% |
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 = 51.4%, 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 376 (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: 0.87% (cap 20%)
- Risk score medio: 84.3/100 (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 | 6.95% | 56.8 |
| BTC-USD | Bitcoin | BAJISTA | 45 | 0.00% | 80.9 |
| GLD | Gold | NEUTRAL | 50 | 0.00% | 86.5 |
| QQQ | NASDAQ 100 | BAJISTA | 37 | 0.00% | 87.0 |
| URTH | MSCI World | BAJISTA | 44 | 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) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 308.8200 | 314.9964 | GBM/Kalman ensemble: conf_raw=45.9% (cal=100.0%), dir=ALCISTA, vol_annual=18.3%, regime=BULL |
| MEDIO (1-3m) | A2A.MI | A2A.MI | ALCISTA | 100.0% | 50.0 | 0.00% | 2.2820 | 2.2846 | Stacking ensemble (ridge): pred_return=0.11%, conf_raw=52.2% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 308.3300 | 354.5795 | Fundamental=65/100 (ATRACTIVO) + Macro=57/100 (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.