Informes
Recientes
Informe Diario
2026-06-04
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una volatilidad moderada, con el VIX en 16.41 (+2.18%) y el US 10Y Treasury Yield en 4.491 (+0.81%). El dólar estadounidense se encuentra en 99.322 (-0.21%), mientras que el precio del petróleo crudo WTI es de 94.19 (-1.91%). El sentimiento del mercado es neutral, con un score de -0.093 según el análisis de FinBERT NLP.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ROST | 227.10 | 201.68 | ALCISTA | 46.2% | 217.07 | 265.22 | 3.8 |
| BG | 130.55 | 139.08 | ALCISTA | 63.2% | 125.34 | 143.34 | 2.5 |
| CSCO | 125.56 | 132.69 | ALCISTA | 55.4% | 118.93 | 136.26 | 1.6 |
| Q | 156.80 | 145.60 | ALCISTA | 43.8% | 147.02 | 173.61 | 1.7 |
| ROP | 330.94 | 345.62 | BAJISTA | 60.3% | 316.24 | 352.96 | 1.5 |
Justificación: Los modelos GBM y Kalman apuntan a una tendencia alcista para ROST, BG y CSCO, mientras que el modelo HMM y ML indican una tendencia bajista para ROP.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| A | 134.65 | 145.01 | ALCISTA | 55.4% | 124.34 | 150.19 | 1.5 |
| MGM | 48.08 | 55.13 | ALCISTA | 42.1% | 43.34 | 58.65 | 2.2 |
| MU | 1045.99 | 1153.97 | ALCISTA | 38.1% | 939.34 | 1207.97 | 1.5 |
| TTD | 20.48 | 22.20 | BAJISTA | 43.8% | 18.51 | 23.05 | 1.3 |
| HCA | 364.51 | 339.95 | BAJISTA | 42.0% | 352.89 | 401.35 | 3.2 |
Justificación: Los modelos GBM, Kalman y HMM apuntan a una tendencia alcista para A, MGM y MU, mientras que el modelo ML indica una tendencia bajista para TTD y HCA.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| TPR | 136.75 | 128.69 | ALCISTA | 46.2% | 129.46 | 148.84 | 1.7 |
| AEE | 108.45 | 102.26 | ALCISTA | 46.2% | 105.46 | 117.75 | 3.1 |
| STX | 926.00 | 967.62 | ALCISTA | 52.0% | 866.69 | 988.43 | 1.1 |
| ENGI.PA | 26.72 | 27.56 | ALCISTA | 68.2% | 26.14 | 27.97 | 2.2 |
| FER | 66.32 | 63.19 | ALCISTA | 47.0% | 64.23 | 71.02 | 2.2 |
Justificación: Los modelos GBM, Kalman y HMM apuntan a una tendencia alcista para TPR, AEE, STX, ENGI.PA y FER.
5. Criptomonedas
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| XMR-USD | 352.05 | 322.84 | NEUTRAL | 31.2% | 312.66 | 395.86 | 1.1 |
| INJ-USD | 6.87 | 7.63 | NEUTRAL | 13.3% | 6.05 | 8.02 | 1.4 |
| BTC-USD | 66803.01 | 64023.39 | NEUTRAL | 23.7% | 63392.69 | 70972.43 | 1.2 |
| AAVE-USD | 75.66 | 72.55 | NEUTRAL | 23.1% | 69.76 | 80.33 | 0.8 |
| ICP-USD | 3.15 | 3.51 | NEUTRAL | 17.0% | 2.84 | 3.70 | 1.8 |
Justificación: Los modelos GBM y Kalman apuntan a una tendencia neutral para XMR-USD, INJ-USD, BTC-USD, AAVE-USD y ICP-USD.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol |
|---|---|---|---|
| ROST | 10.9% | 227.10 | 35% |
| BG | 12.1% | 130.55 | 32% |
| CSCO | 9.1% | 125.56 | 42% |
| A | 6.3% | 134.65 | 61% |
| MGM | 4.9% | 48.08 | 78% |
| MU | 4.7% | 1045.99 | 81% |
| TPR | 9.1% | 136.75 | 42% |
| AEE | 17.5% | 108.45 | 22% |
| STX | 7.5% | 926.00 | 51% |
| XMR-USD | 4.3% | 352.05 | 89% |
| INJ-USD | 4.0% | 6.87 | 95% |
| BTC-USD | 9.5% | 66803.01 | 41% |
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/dividendos que impactan recomendaciones:
- BF-B: EARNINGS el 2026-06-04
- CI: DIVIDEND el 2026-06-04
- CIEN: EARNINGS el 2026-06-04
- AJG: DIVIDEND el 2026-06-05
- BAC: DIVIDEND el 2026-06-05
- BKNG: DIVIDEND el 2026-06-05
- BLK: DIVIDEND el 2026-06-05
8. Backtesting
- Que paso con lo recomendado ayer:
- GALA-USD: ACERTO | Entrada $0.003, Hoy $0.0026, Ret real -11.688%, Ret pred -46.667%, Dir BAJISTA (conf 55.5%)
- KAVA-USD: ACERTO | Entrada $0.054, Hoy $0.0478, Ret real -11.481%, Ret pred -5.000%, Dir BAJISTA (conf 55.5%)
- KSM-USD: ACERTO | Entrada $4.25, Hoy $3.78, Ret real -11.059%, Ret pred -0.005%, Dir BAJISTA (conf 55.6%)
- MANA-USD: ACERTO | Entrada $0.0805, Hoy $0.0716, Ret real -11.056%, Ret pred +0.870%, Dir BAJISTA (conf 55.5%)
- EGLD-USD: ACERTO | Entrada $3.43, Hoy $3.07, Ret real -10.496%, Ret pred +0.688%, Dir BAJISTA (conf 55.5%)
- RLC-USD: ACERTO | Entrada $0.4065, Hoy $0.3745, Ret real -7.872%, Ret pred -4.649%, Dir BAJISTA (conf 55.5%)
- STAN.L: FALLO | Entrada $2012.0, Hoy $1874.5, Ret real -6.834%, Ret pred -0.794%, Dir ALCISTA (conf 59.8%)
- OMG-USD: ACERTO | Entrada $0.0548, Hoy $0.0517, Ret real -5.632%, Ret pred -5.657%, Dir BAJISTA (conf 55.5%)
9. Performance Modelos
| Modelo | Accuracy | Sesgo | MAE |
|---|---|---|---|
| kalman_signal | 55% | sin datos | |
| hmm_signal | 54% | sin datos | |
| merton | 51% | 0.41% | 2.02% |
| ensemble | 50% | 0.05% | 3.50% |
| gbm | 50% | 0.51% | 2.22% |
| ml | 47% | 1.65% | 9.80% |
| kalman | 46% | 0.87% | 2.46% |
Justificación: Los modelos kalman_signal y hmm_signal tienen la mayor precisión, mientras que el modelo merton tiene el menor sesgo.
10. Calibracion
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 43982 | 50% | 15% |
| 30-50% | 11052 | 52% | 38% |
| 50-60% | 1017 | 52% | 55% |
| 60-70% | 631 | 59% | 63% |
| 70-80% | 74 | 57% | 77% |
| 80+% | 8 | 38% | 86% |
Justificación: La calibración de las predicciones es adecuada, con una relación entre la confianza y el acierto real que se ajusta a la esperada.
11. Disclaimer
Este informe 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 profesional 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) | -0.06 |
| Sortino (anualizado) | -0.09 |
| Calmar | -0.04 |
| Max Drawdown | -54.10% |
| Profit Factor | 0.99 |
| Win Rate (= Hit Rate global) | 49.80% |
| Expectancy por trade | -0.004% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1464 | 50.7% |
| 30-50 | 440 | 47.5% |
| 50-60 | 25 | 48.0% |
| 60-70 | 67 | 46.3% |
| 70-80 | 3 | 33.3% |
| 80-100 | 1 | 100.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 440 muestras historicas el 2026-06-04T00:30:00Z. 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 | 3826 | 44.0% | 0 | N/A |
| 30-50 | 992 | 44.4% | 0 | N/A |
| 50-60 | 142 | 34.5% | 0 | N/A |
| 60-70 | 27 | 40.7% | 0 | N/A |
| 70-80 | 12 | 75.0% | 0 | N/A |
| 80-100 | 1 | 0.0% | 5000 | 43.8% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
| 60.0 | 100.0% |
| 67.0 | 100.0% |
| 67.0 | 100.0% |
| 70.0 | 100.0% |
| 70.0 | 100.0% |
Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 43.8%, 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 440 (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: 7.23% (cap 20%)
- Risk score medio: 74.8/100 (100 = mas seguro)
- Predicciones con Kelly = 0: 4/8
Distribucion de Kelly size
| Rango Kelly | N | % |
|---|---|---|
| 0% | 4 | 50.0% |
| 0-5% | 0 | 0.0% |
| 5-10% | 1 | 12.5% |
| 10-15% | 1 | 12.5% |
| 15-20% | 2 | 25.0% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| GLD | Gold | ALCISTA | 60 | 19.70% | 56.5 |
| USO | Oil (WTI) | ALCISTA | 57 | 7.68% | 58.4 |
| TLT | US 10Y Bond | ALCISTA | 57 | 20.00% | 61.0 |
| BTC-USD | Bitcoin | ALCISTA | 70 | 10.46% | 61.2 |
| QQQ | NASDAQ 100 | BAJISTA | 29 | 0.00% | 88.7 |
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) | A | A | ALCISTA | 100.0% | 50.0 | 0.00% | 134.6500 | 137.3430 | GBM/Kalman ensemble: conf_raw=55.4% (cal=100.0%), dir=ALCISTA, vol_annual=60.8%, regime=BULL |
| MEDIO (1-3m) | Bitcoin | BTC-USD | ALCISTA | 100.0% | 70.0 | 10.46% | 66803.0078 | 66890.2525 | Stacking ensemble (ridge): pred_return=0.13%, conf_raw=51.3% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | A | A | ALCISTA | 100.0% | 50.0 | 0.00% | 137.4000 | 158.0100 | 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.