Informes
Recientes
Informe Diario
2026-05-29
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una ligera disminución en la tasa de rendimiento del Tesoro de EE. UU. a 10 años (4.455%) y una pequeña subida en el Ãndice del dólar estadounidense (DXY) (99.107). El precio del petróleo crudo WTI ha disminuido (-1.89%) y el oro ha subido (+1.54%). El sentimiento del mercado es neutral, con un score de -0.019 según FinBERT NLP, y el Ãndice de riesgo geopolÃtico es de 0.49/1.00.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ROST | 227.03 | 211.16 | ALCISTA | 60.7% | 215.70 | 250.82 | 2.1 |
| NTAP | 142.25 | 131.64 | ALCISTA | 55.4% | 132.51 | 158.17 | 1.6 |
| PCT.L | 709.11 | 748.75 | ALCISTA | 57.4% | 686.60 | 768.58 | 2.6 |
| NSC | 308.10 | 286.24 | ALCISTA | 44.5% | 294.67 | 340.89 | 2.4 |
| D | 67.63 | 72.90 | ALCISTA | 40.6% | 65.07 | 75.53 | 3.1 |
Justificación: Los modelos GBM, Kalman y ML coinciden en la dirección alcista para ROST, NTAP y PCT.L. Sin embargo, para NSC y D, hay una señal mixta, ya que el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro. En estos casos, se debe considerar la confianza de cada modelo y el contexto macro.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ARM | 335.13 | 390.60 | ALCISTA | 45.4% | 289.05 | 418.33 | 1.8 |
| INGA.AS | 26.71 | 25.58 | ALCISTA | 61.9% | 25.94 | 28.40 | 2.2 |
| KMI | 31.91 | 30.69 | ALCISTA | 62.1% | 30.95 | 33.75 | 1.9 |
| SWKS | 81.28 | 77.16 | ALCISTA | 47.6% | 74.16 | 87.46 | 0.9 |
| AZO | 3005.90 | 2804.05 | BAJISTA | 37.1% | 2829.76 | 3308.68 | 1.7 |
Justificación: Los modelos GBM, Kalman y ML coinciden en la dirección alcista para ARM, INGA.AS y KMI. Sin embargo, para SWKS y AZO, hay una señal mixta. Se debe considerar la confianza de cada modelo y el contexto macro.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| IHG.L | 158.45 | 166.92 | ALCISTA | 41.3% | 153.61 | 171.15 | 2.6 |
| LRCX | 318.19 | 308.55 | ALCISTA | 60.7% | 297.92 | 332.63 | 0.7 |
| IGG.L | 1790.00 | 1703.80 | ALCISTA | 41.1% | 1708.34 | 1919.29 | 1.6 |
| XLV | 150.97 | 155.76 | ALCISTA | 56.8% | 148.20 | 158.16 | 2.6 |
| RVTY | 101.08 | 106.97 | ALCISTA | 34.1% | 96.15 | 109.92 | 1.8 |
Justificación: Los modelos GBM, Kalman y ML coinciden en la dirección alcista para IHG.L, LRCX, IGG.L, XLV y RVTY. Se debe considerar la confianza de cada modelo y el contexto macro.
5. Criptomonedas
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| XMR-USD | 351.85 | 323.22 | NEUTRAL | 20.6% | 319.70 | 394.79 | 1.3 |
| YFI-USD | 2279.73 | 2192.44 | BAJISTA | 32.7% | 2152.15 | 2410.67 | 1.0 |
| AAVE-USD | 80.91 | 75.28 | NEUTRAL | 16.8% | 75.96 | 89.35 | 1.7 |
| EGLD-USD | 3.62 | 3.46 | NEUTRAL | 32.1% | 3.36 | 3.86 | 0.9 |
| BTC-USD | 73298.83 | 71612.03 | BAJISTA | 34.9% | 70746.33 | 75829.02 | 1.0 |
Análisis especÃfico: La criptomoneda XMR-USD tiene una señal mixta, ya que el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro. Se debe considerar la confianza de cada modelo y el contexto macro.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol |
|---|---|---|---|
| ROST | 7.8% | 227.03 | 40% |
| NTAP | 5.7% | 142.25 | 54% |
| PCT.L | 12.3% | 709.11 | 25% |
| ARM | 2.8% | 335.13 | 109% |
| INGA.AS | 13.5% | 26.71 | 23% |
| KMI | 12.9% | 31.91 | 24% |
| IHG.L | 12.8% | 158.45 | 24% |
| LRCX | 6.1% | 318.19 | 51% |
| IGG.L | 8.5% | 1790.00 | 36% |
| XMR-USD | 4.3% | 351.85 | 73% |
| YFI-USD | 7.0% | 2279.73 | 44% |
| AAVE-USD | 6.4% | 80.91 | 49% |
Justificación: La cartera diversificada tiene un peso mayor en acciones con una dirección alcista y una volatilidad moderada.
7. Alertas
- Eventos earnings/dividendos que impactan recomendaciones:
- BAX: DIVIDEND el 2026-05-29
- CBOE: DIVIDEND el 2026-05-29
- ALL: DIVIDEND el 2026-06-01
- BALL: DIVIDEND el 2026-06-01
- ADI: DIVIDEND el 2026-06-02
- AVGO: EARNINGS el 2026-06-03
- AVY: DIVIDEND el 2026-06-03
- BF-B: EARNINGS el 2026-06-04
- CI: DIVIDEND el 2026-06-04
- CIEN: EARNINGS el 2026-06-04
8. Backtesting
- Que paso con lo recomendado ayer:
- ERIC-B.ST: FALLO
- WIF-USD: FALLO
- NSC: FALLO
- ONE-USD: FALLO
- AMD: ACERTO
- LLY: ACERTO
- STMPA.PA: ACERTO
- AUTO.L: FALLO
- Hit rate: 51%
- Aciertos y fallos: 3 aciertos y 5 fallos
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| gbm | 53% | 1.88 | -0.01 |
| merton | 51% | 1.71 | -0.06 |
| ensemble | 51% | 3.07 | -0.43 |
| ml | 50% | 9.59 | 1.09 |
| kalman_signal | 48% | - | - |
| hmm_signal | 47% | - | - |
| kalman | 46% | 2.13 | -0.07 |
Justificación: El modelo gbm tiene la mayor precisión y el menor error absoluto medio. El modelo ml tiene un sesgo positivo, lo que indica que tiende a sobreestimar los precios.
10. Calibracion
- Bucket 00-30%: n=53222, hit_rate=50%, avg_conf=15%
- Bucket 30-50%: n=14500, hit_rate=52%, avg_conf=39%
- Bucket 50-60%: n=907, hit_rate=57%, avg_conf=56%
- Bucket 60-70%: n=1027, hit_rate=50%, avg_conf=62%
- Bucket 70-80%: n=109, hit_rate=51%, avg_conf=78%
- Bucket 80+%: n=19, hit_rate=63%, avg_conf=84%
Justificación: La calibración de las predicciones es buena, ya que la tasa de acierto aumenta con la confianza.
11. Disclaimer
Este informe es solo para fines informativos y no debe considerarse como asesoramiento financiero. 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) | 0.81 |
| Sortino (anualizado) | 1.18 |
| Calmar | 0.54 |
| Max Drawdown | -22.80% |
| Profit Factor | 1.11 |
| Win Rate (= Hit Rate global) | 52.55% |
| Expectancy por trade | 0.051% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1502 | 53.5% |
| 30-50 | 428 | 48.8% |
| 50-60 | 24 | 41.7% |
| 60-70 | 45 | 62.2% |
| 70-80 | 1 | 0.0% |
| 80-100 | 0 | N/A |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 392 muestras historicas el 2026-05-29T00:30:00Z. 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 | 3848 | 47.5% | 0 | N/A |
| 30-50 | 982 | 54.6% | 0 | N/A |
| 50-60 | 91 | 65.9% | 0 | N/A |
| 60-70 | 69 | 63.8% | 0 | N/A |
| 70-80 | 10 | 50.0% | 0 | N/A |
| 80-100 | 0 | N/A | 5000 | 49.4% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 49.4%, 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 392 (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: 5.12% (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 | 7.24% | 57.5 |
| BTC-USD | Bitcoin | ALCISTA | 70 | 13.68% | 60.9 |
| TLT | US 10Y Bond | ALCISTA | 57 | 20.00% | 61.0 |
| GLD | Gold | BAJISTA | 45 | 0.00% | 86.8 |
| QQQ | NASDAQ 100 | BAJISTA | 29 | 0.00% | 87.4 |
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% | 312.3250 | 318.5715 | GBM/Kalman ensemble: conf_raw=30.7% (cal=100.0%), dir=ALCISTA, vol_annual=16.7%, regime=BULL |
| MEDIO (1-3m) | A2A.MI | A2A.MI | ALCISTA | 100.0% | 50.0 | 0.00% | 2.2700 | 2.2738 | Stacking ensemble (ridge): pred_return=0.17%, conf_raw=53.2% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 312.5100 | 359.3865 | 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.