Informes
Recientes
Informe Diario
2026-05-28
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una ligera subida en el VIX (Volatility Index) y un descenso en los rendimientos del Tesoro estadounidense a 10 y 30 años. El Ãndice del dólar estadounidense (DXY) ha subido ligeramente, mientras que el precio del petróleo crudo WTI ha aumentado un 1.83%. El sentimiento del mercado, según FinBERT NLP, es neutral con un score de -0.019, y el Ãndice de riesgo geopolÃtico es de 0.44/1.00.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| INGA.AS | $26.93 | $26.02 | ALCISTA | 100.0% | $26.10 | $28.31 | 1.6 |
| IGG.L | $1807.00 | $1727.41 | ALCISTA | 78.4% | $1712.54 | $1926.38 | 1.3 |
| KLAC | $1957.19 | $2063.25 | ALCISTA | 65.2% | $1827.78 | $2116.28 | 1.2 |
| TXN | $317.45 | $340.30 | ALCISTA | 45.4% | $300.27 | $351.72 | 2.0 |
| IFX.DE | $78.69 | $74.49 | ALCISTA | 54.4% | $73.24 | $84.99 | 1.2 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en una tendencia alcista para INGA.AS, IGG.L, KLAC y TXN, con un alto nivel de confianza. IFX.DE presenta una señal mixta, pero el modelo Kalman y HMM apuntan a una tendencia alcista.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R | Regimen |
|---|---|---|---|---|---|---|---|---|
| TER | $375.83 | $408.67 | ALCISTA | 40.1% | $340.64 | $425.09 | 1.4 | BEAR |
| HPQ | $25.49 | $23.92 | ALCISTA | 54.4% | $23.10 | $27.84 | 1.0 | BULL |
| NEE | $87.65 | $94.00 | BAJISTA | 41.8% | $84.65 | $97.18 | 3.2 | BEAR |
| ACS.MC | $125.90 | $118.91 | ALCISTA | 48.7% | $120.42 | $136.39 | 1.9 | BEAR |
| MMM | $155.17 | $161.65 | ALCISTA | 55.8% | $150.22 | $164.89 | 2.0 | BULL |
Justificación: Los modelos GBM, Kalman y HMM coinciden en una tendencia alcista para TER, HPQ, ACS.MC y MMM, con un nivel de confianza moderado. NEE presenta una señal mixta, pero el modelo Kalman y HMM apuntan a una tendencia bajista.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R | Escenario |
|---|---|---|---|---|---|---|---|---|
| ENI.MI | $22.69 | $21.61 | ALCISTA | 48.7% | $21.93 | $24.31 | 2.1 | P50: $23.50 |
| ABN.AS | $33.58 | $32.45 | ALCISTA | 62.7% | $32.24 | $35.28 | 1.3 | P50: $34.00 |
| SAND.ST | $382.80 | $365.14 | ALCISTA | 48.7% | $369.58 | $409.29 | 2.0 | P50: $390.00 |
| RIOT | $25.79 | $27.66 | ALCISTA | 32.4% | $23.47 | $28.60 | 1.2 | P50: $26.50 |
| FRT | $121.06 | $125.61 | ALCISTA | 55.8% | $118.53 | $127.88 | 2.7 | P50: $124.00 |
Justificación: Los modelos GBM, Kalman y HMM coinciden en una tendencia alcista para ENI.MI, ABN.AS, SAND.ST, RIOT y FRT, con un nivel de confianza moderado.
5. Criptomonedas
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| KSM-USD | $4.42 | $4.23 | NEUTRAL | 31.7% | $4.11 | $4.70 | 0.9 |
| ZEC-USD | $532.95 | $478.94 | NEUTRAL | 15.7% | $451.74 | $613.97 | 1.0 |
| SOL-USD | $81.11 | $79.59 | NEUTRAL | 30.9% | $76.93 | $83.39 | 0.5 |
| YFI-USD | $2318.85 | $2333.01 | BAJISTA | 52.5% | $2199.65 | $2340.08 | 0.2 |
| LTC-USD | $50.85 | $51.16 | BAJISTA | 51.2% | $48.48 | $51.31 | 0.2 |
Justificación: Los modelos GBM, Kalman y HMM no coinciden en una tendencia clara para las criptomonedas, con un nivel de confianza bajo.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir | Conf |
|---|---|---|---|---|
| INGA.AS | 13.4% | $26.93 | ALCISTA | 100.0% |
| IGG.L | 7.9% | $1807.00 | ALCISTA | 78.4% |
| KLAC | 6.3% | $1957.19 | ALCISTA | 65.2% |
| TER | 4.4% | $375.83 | ALCISTA | 40.1% |
| HPQ | 4.4% | $25.49 | ALCISTA | 54.4% |
| NEE | 12.1% | $87.65 | BAJISTA | 41.8% |
| ENI.MI | 12.4% | $22.69 | ALCISTA | 48.7% |
| ABN.AS | 10.4% | $33.58 | ALCISTA | 62.7% |
| SAND.ST | 12.0% | $382.80 | ALCISTA | 48.7% |
| KSM-USD | 5.8% | $4.42 | NEUTRAL | 31.7% |
| ZEC-USD | 2.7% | $532.95 | NEUTRAL | 15.7% |
| SOL-USD | 8.1% | $81.11 | NEUTRAL | 30.9% |
Justificación: La cartera diversificada busca equilibrar el riesgo y el retorno, con una distribución de pesos que refleja la confianza en cada activo.
7. Alertas
- Eventos earnings: ADSK, BBY
- Eventos dividendos: AMCR, BAX, CBOE, ALL
8. Backtesting
- Acertó: BAL-USD, AUTO.L, YFI-USD
- Falló: ONE-USD, ERIC-B.ST, TRX-USD, SCYR.MC, ABN.AS
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| GBM | 55% | 1.65 | -0.21 |
| ML | 52% | 9.53 | 0.26 |
| Merton | 51% | 1.41 | -0.36 |
| Ensemble | 50% | 2.75 | -0.66 |
| Kalman | 44% | 1.88 | -0.67 |
Justificación: El modelo GBM presenta la mayor precisión y el menor error, mientras que el modelo Kalman presenta el mayor sesgo.
10. Calibración
- Bucket 00-30%: n=36214, hit_rate=51%, avg_conf=15%
- Bucket 30-50%: n=10128, hit_rate=50%, avg_conf=39%
- Bucket 50-60%: n=573, hit_rate=51%, avg_conf=57%
- Bucket 60-70%: n=704, hit_rate=43%, avg_conf=61%
- Bucket 70-80%: n=84, hit_rate=49%, avg_conf=78%
- Bucket 80+%: n=17, hit_rate=65%, avg_conf=82%
Justificación: La calibración de las predicciones es adecuada, con un hit rate que aumenta con la confianza.
11. Disclaimer
Este informe es solo para fines informativos y no debe ser considerado como asesoramiento financiero. Los inversores deben realizar sus propias investigaciones 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) | 1.53 |
| Sortino (anualizado) | 2.27 |
| Calmar | 1.22 |
| Max Drawdown | -21.05% |
| Profit Factor | 1.21 |
| Win Rate (= Hit Rate global) | 54.80% |
| Expectancy por trade | 0.096% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1418 | 55.9% |
| 30-50 | 471 | 49.7% |
| 50-60 | 34 | 70.6% |
| 60-70 | 74 | 60.8% |
| 70-80 | 2 | 50.0% |
| 80-100 | 1 | 0.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 384 muestras historicas el 2026-05-28T00:30:00Z. 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 | 3812 | 51.5% | 0 | N/A |
| 30-50 | 1035 | 50.2% | 0 | N/A |
| 50-60 | 59 | 42.4% | 0 | N/A |
| 60-70 | 64 | 54.7% | 0 | N/A |
| 70-80 | 28 | 50.0% | 0 | N/A |
| 80-100 | 2 | 100.0% | 5000 | 51.2% |
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 = 51.2%, 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 384 (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: 5.02% (cap 20%)
- Risk score medio: 78.3/100 (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% | 1 | 12.5% |
| 15-20% | 1 | 12.5% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| USO | Oil (WTI) | ALCISTA | 60 | 6.97% | 56.8 |
| GLD | Gold | ALCISTA | 70 | 20.00% | 56.9 |
| BTC-USD | Bitcoin | ALCISTA | 55 | 13.20% | 61.1 |
| QQQ | NASDAQ 100 | NEUTRAL | 52 | 0.00% | 87.4 |
| TLT | US 10Y Bond | NEUTRAL | 50 | 0.00% | 91.0 |
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% | 310.8500 | 317.0670 | GBM/Kalman ensemble: conf_raw=55.8% (cal=100.0%), dir=ALCISTA, vol_annual=17.3%, regime=BULL |
| MEDIO (1-3m) | A | A | ALCISTA | 100.0% | 50.0 | 0.00% | 115.8400 | 115.9794 | Stacking ensemble (ridge): pred_return=0.12%, conf_raw=51.9% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 310.8500 | 357.4775 | 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.