Informes
Recientes
Informe Diario
2026-06-01
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una ligera subida en el VIX (Volatility Index) y un aumento en el precio del petróleo WTI. El dólar estadounidense se mantiene estable. En el ámbito de las noticias, se destacan las tensiones entre Estados Unidos e Irán, asà como la expansión de Nvidia en la industria de PCs con tecnologÃa de inteligencia artificial.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| AUTO.L | 442.70 | 495.09 | BAJISTA | 44.5% | 418.85 | 521.28 | 3.3 |
| TRGP | 255.07 | 240.58 | ALCISTA | 61.9% | 244.98 | 276.81 | 2.2 |
| SGE.L | 859.00 | 812.90 | BAJISTA | 61.3% | 829.84 | 928.15 | 2.4 |
| PRU.L | 1068.50 | 997.44 | ALCISTA | 46.8% | 1035.83 | 1175.09 | 3.3 |
| AMS.MC | 54.52 | 58.35 | BAJISTA | 44.5% | 52.60 | 60.26 | 3.0 |
Justificación: Los modelos GBM y Kalman apuntan a una tendencia alcista para TRGP, mientras que el modelo HMM y ML sugieren una tendencia bajista para AUTO.L y SGE.L. El modelo GBM y Kalman también apuntan a una tendencia alcista para PRU.L, mientras que el modelo HMM y ML sugieren una tendencia bajista.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| EL | 88.95 | 84.25 | ALCISTA | 55.5% | 82.25 | 96.01 | 1.1 |
| NTAP | 174.29 | 200.76 | ALCISTA | 42.2% | 149.53 | 214.00 | 1.6 |
| KEYS | 338.33 | 318.63 | ALCISTA | 46.1% | 323.66 | 367.89 | 2.0 |
| ECL | 256.00 | 247.04 | BAJISTA | 59.8% | 248.55 | 269.44 | 1.8 |
| ACS.MC | 125.10 | 115.75 | ALCISTA | 30.0% | 120.14 | 139.13 | 2.8 |
Justificación: Los modelos GBM y Kalman apuntan a una tendencia alcista para EL y NTAP, mientras que el modelo HMM y ML sugieren una tendencia bajista para ECL. El modelo GBM y Kalman también apuntan a una tendencia alcista para KEYS, mientras que el modelo HMM y ML sugieren una tendencia bajista.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| REL.L | 2434.00 | 2511.40 | BAJISTA | 59.7% | 2355.53 | 2550.11 | 1.5 |
| SAP.DE | 158.72 | 165.43 | BAJISTA | 44.5% | 151.38 | 168.78 | 1.4 |
| CNP | 42.26 | 41.23 | ALCISTA | 65.4% | 41.33 | 43.80 | 1.7 |
| FRT | 119.63 | 123.00 | ALCISTA | 57.3% | 117.16 | 124.69 | 2.1 |
| SREN.SW | 116.00 | 111.00 | BAJISTA | 39.4% | 112.76 | 123.50 | 2.3 |
Justificación: Los modelos GBM y Kalman apuntan a una tendencia alcista para CNP y FRT, mientras que el modelo HMM y ML sugieren una tendencia bajista para REL.L y SAP.DE.
5. Criptomonedas
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| INJ-USD | 6.49 | 7.69 | NEUTRAL | 34.6% | 5.66 | 8.29 | 2.2 |
| EGLD-USD | 3.60 | 3.50 | BAJISTA | 52.7% | 3.36 | 3.75 | 0.6 |
| YFI-USD | 2321.46 | 2267.04 | BAJISTA | 41.7% | 2201.02 | 2403.09 | 0.7 |
| XMR-USD | 365.47 | 380.29 | NEUTRAL | 22.1% | 326.59 | 387.70 | 0.6 |
| BTC-USD | 73815.85 | 72220.57 | NEUTRAL | 31.0% | 71488.08 | 76208.77 | 1.0 |
Justificación: Los modelos GBM y Kalman apuntan a una tendencia alcista para INJ-USD, mientras que el modelo HMM y ML sugieren una tendencia bajista para EGLD-USD y YFI-USD.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir |
|---|---|---|---|
| AUTO.L | 7.2% | 442.70 | BAJISTA |
| TRGP | 9.8% | 255.07 | ALCISTA |
| SGE.L | 11.5% | 859.00 | BAJISTA |
| EL | 5.2% | 88.95 | ALCISTA |
| NTAP | 2.7% | 174.29 | ALCISTA |
| KEYS | 9.0% | 338.33 | ALCISTA |
| REL.L | 12.1% | 2434.00 | BAJISTA |
| SAP.DE | 8.4% | 158.72 | BAJISTA |
| CNP | 17.7% | 42.26 | ALCISTA |
| INJ-USD | 3.1% | 6.49 | NEUTRAL |
| EGLD-USD | 5.9% | 3.60 | BAJISTA |
| YFI-USD | 7.5% | 2321.46 | BAJISTA |
Justificación: La cartera diversificada busca equilibrar los riesgos y las oportunidades de crecimiento en diferentes sectores y mercados.
7. Alertas
- Eventos earnings/dividendos que impactan recomendaciones:
- AVGO: EARNINGS el 2026-06-03
- BF-B: EARNINGS el 2026-06-04
8. Backtesting
- Que paso con lo recomendado ayer:
- ONE-USD: FALLO
- BAL-USD: FALLO
- WAVES-USD: ACERTO
- BTC-USD: ACERTO
- EGLD-USD: ACERTO
- Hit rate: 52%
- Aciertos y fallos: 4 aciertos y 2 fallos
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| kalman_signal | 53% | - | - |
| ensemble | 52% | 3.07% | -0.24% |
| gbm | 51% | 1.94% | 0.13% |
| merton | 51% | 1.78% | 0.07% |
| hmm_signal | 50% | - | - |
| ml | 48% | 9.53% | 1.31% |
| kalman | 46% | 2.15% | 0.32% |
Justificación: Los modelos kalman_signal y ensemble tienen la mayor precisión, mientras que el modelo ml tiene la menor precisión.
10. Calibracion
- Bucket 00-30%: n=44132, hit_rate=51%, avg_conf=15%
- Bucket 30-50%: n=11182, hit_rate=54%, avg_conf=38%
- Bucket 50-60%: n=757, hit_rate=58%, avg_conf=55%
- Bucket 60-70%: n=733, hit_rate=55%, avg_conf=63%
- Bucket 70-80%: n=92, hit_rate=52%, avg_conf=77%
- Bucket 80+%: n=9, hit_rate=56%, avg_conf=87%
Justificación: La calibración de las predicciones es adecuada, con una tasa de acierto que aumenta con la confianza.
11. Disclaimer
Este informe de trading es solo para fines informativos y no debe ser considerado como un consejo de inversión. Los lectores deben 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) | -1.39 |
| Sortino (anualizado) | -1.87 |
| Calmar | -0.21 |
| Max Drawdown | -96.86% |
| Profit Factor | 0.84 |
| Win Rate (= Hit Rate global) | 45.65% |
| Expectancy por trade | -0.087% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1558 | 44.8% |
| 30-50 | 368 | 45.4% |
| 50-60 | 19 | 89.5% |
| 60-70 | 54 | 57.4% |
| 70-80 | 0 | N/A |
| 80-100 | 1 | 0.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 416 muestras historicas el 2026-06-01T00:30:00Z. 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 | 3894 | 55.9% | 0 | N/A |
| 30-50 | 929 | 56.5% | 0 | N/A |
| 50-60 | 100 | 48.0% | 0 | N/A |
| 60-70 | 66 | 50.0% | 0 | N/A |
| 70-80 | 11 | 45.5% | 0 | N/A |
| 80-100 | 0 | N/A | 5000 | 55.7% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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| 37.0 | 100.0% |
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| 67.0 | 100.0% |
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| 70.0 | 100.0% |
Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 55.7%, 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 416 (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: 3.38% (cap 20%)
- Risk score medio: 81.1/100 (100 = mas seguro)
- Predicciones con Kelly = 0: 6/8
Distribucion de Kelly size
| Rango Kelly | N | % |
|---|---|---|
| 0% | 6 | 75.0% |
| 0-5% | 0 | 0.0% |
| 5-10% | 1 | 12.5% |
| 10-15% | 0 | 0.0% |
| 15-20% | 1 | 12.5% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| USO | Oil (WTI) | ALCISTA | 60 | 7.04% | 57.0 |
| TLT | US 10Y Bond | ALCISTA | 57 | 20.00% | 61.0 |
| BTC-USD | Bitcoin | BAJISTA | 45 | 0.00% | 83.0 |
| GLD | Gold | BAJISTA | 45 | 0.00% | 86.4 |
| QQQ | NASDAQ 100 | BAJISTA | 44 | 0.00% | 88.1 |
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% | 312.0600 | 318.3012 | GBM/Kalman ensemble: conf_raw=37.8% (cal=100.0%), dir=ALCISTA, vol_annual=16.3%, regime=BULL |
| MEDIO (1-3m) | Oil (WTI) | USO | ALCISTA | 100.0% | 60.0 | 7.04% | 129.0900 | 129.2573 | Stacking ensemble (ridge): pred_return=0.13%, conf_raw=51.1% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 312.0600 | 358.8690 | 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.