Informes
Recientes
Informe Diario
2026-06-05
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una ligera disminución en la volatilidad, con el VIX (Volatility Index) en 15.71 (+2.01%). Los rendimientos de los bonos del Tesoro estadounidense a 10 y 30 años han disminuido ligeramente, lo que podrÃa indicar una expectativa de estabilidad en la economÃa. El Ãndice del dólar estadounidense (DXY) ha disminuido (-0.19%), lo que podrÃa favorecer a las exportaciones. El precio del petróleo WTI ha disminuido (-0.43%), lo que podrÃa tener un impacto positivo en la inflación.
El sentimiento de mercado, medido por FinBERT NLP, es neutral (-0.045), con un Ãndice de riesgo geopolÃtico de 0.47/1.00. Los eventos corporativos próximos incluyen dividendos de varias empresas, como AJG, BAC, BKNG, BLK, CHRW, AIZ y AEE.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| WKL.AS | 65.06 | 69.59 | BAJISTA | 42.7% | 60.97 | 71.85 | 1.7 |
| CPNG | 16.42 | 17.18 | BAJISTA | 60.5% | 15.50 | 17.55 | 1.2 |
| GRAB | 3.41 | 3.64 | BAJISTA | 60.5% | 3.24 | 3.76 | 2.1 |
| IHG.L | 161.25 | 167.34 | ALCISTA | 58.6% | 156.15 | 170.39 | 1.8 |
| ACS.MC | 125.20 | 119.91 | ALCISTA | 44.9% | 120.91 | 133.13 | 1.8 |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para IHG.L, mientras que los modelos HMM y ML indican una tendencia bajista para WKL.AS, CPNG y GRAB. El modelo GBM también indica una tendencia alcista para ACS.MC, pero el modelo HMM indica una tendencia bajista.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R | Regimen |
|---|---|---|---|---|---|---|---|---|
| RIO.L | 7705.50 | 7363.23 | ALCISTA | 42.7% | 7388.73 | 8218.91 | 1.6 | LATERAL |
| SAP.DE | 166.46 | 173.83 | BAJISTA | 42.7% | 155.25 | 177.52 | 1.0 | BULL |
| III.L | 2214.00 | 2259.78 | BAJISTA | 60.5% | 2087.59 | 2282.67 | 0.5 | BEAR |
| REP.MC | 22.78 | 22.07 | ALCISTA | 44.9% | 21.91 | 23.84 | 1.2 | BEAR |
| EN.PA | 50.24 | 48.82 | ALCISTA | 46.4% | 49.09 | 52.38 | 1.9 | BEAR |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para RIO.L, mientras que los modelos HMM y ML indican una tendencia bajista para SAP.DE, III.L y REP.MC. El modelo GBM también indica una tendencia alcista para EN.PA, pero el modelo HMM indica una tendencia bajista.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ACX.MC | 16.13 | 17.07 | ALCISTA | 28.9% | 15.54 | 17.54 | 2.4 |
| ERF.PA | 65.40 | 68.90 | ALCISTA | 29.1% | 62.82 | 70.65 | 2.0 |
| QIA.DE | 32.58 | 34.11 | ALCISTA | 30.2% | 31.17 | 34.88 | 1.6 |
| AV.L | 604.80 | 596.38 | BAJISTA | 56.4% | 591.54 | 617.42 | 1.0 |
| BN.PA | 63.96 | 62.50 | BAJISTA | 39.7% | 61.86 | 66.15 | 1.0 |
Justificación: Los modelos GBM y Kalman coinciden en una tendencia alcista para ACX.MC, ERF.PA y QIA.DE, mientras que los modelos HMM y ML indican una tendencia bajista para AV.L y BN.PA.
5. Criptomonedas
Sin datos disponibles.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir | Vol |
|---|---|---|---|---|
| WKL.AS | 8.5% | 65.06 | BAJISTA | 50% |
| CPNG | 9.6% | 16.42 | BAJISTA | 44% |
| GRAB | 10.9% | 3.41 | BAJISTA | 39% |
| RIO.L | 13.0% | 7705.50 | ALCISTA | 33% |
| SAP.DE | 8.0% | 166.46 | BAJISTA | 53% |
| III.L | 9.4% | 2214.00 | BAJISTA | 45% |
| ACX.MC | 14.7% | 16.13 | ALCISTA | 29% |
| ERF.PA | 13.6% | 65.40 | ALCISTA | 31% |
| QIA.DE | 12.4% | 32.58 | ALCISTA | 34% |
Justificación: La cartera diversificada busca equilibrar los riesgos y las oportunidades de los diferentes activos. Los pesos se han asignado en función de la confianza en cada predicción y la volatilidad de cada activo.
7. Alertas
- Dividendos de AJG, BAC, BKNG, BLK, CHRW, AIZ y AEE.
- Eventos corporativos que pueden impactar en las recomendaciones.
8. Backtesting
- IFX.DE: FALLO | Entrada $88.0, Hoy $79.18, Ret real -10.023%, Ret pred -3.823%, Dir ALCISTA (conf 58.6%)
- MDB: FALLO | Entrada $385.34, Hoy $368.32, Ret real -4.417%, Ret pred +1.006%, Dir ALCISTA (conf 55.6%)
- INW.MI: FALLO | Entrada $6.46, Hoy $6.74, Ret real +4.334%, Ret pred +2.751%, Dir BAJISTA (conf 58.7%)
- DB1.DE: FALLO | Entrada $240.9, Hoy $250.0, Ret real +3.778%, Ret pred +5.199%, Dir BAJISTA (conf 58.7%)
- SMT.L: FALLO | Entrada $1537.5, Hoy $1484.239, Ret real -3.464%, Ret pred +0.083%, Dir ALCISTA (conf 58.3%)
- STAN.L: FALLO | Entrada $2012.0, Hoy $1944.0, Ret real -3.380%, Ret pred -1.408%, Dir ALCISTA (conf 59.0%)
- FRE.DE: FALLO | Entrada $35.96, Hoy $37.12, Ret real +3.226%, Ret pred +3.131%, Dir BAJISTA (conf 53.4%)
- SREN.SW: FALLO | Entrada $114.5, Hoy $117.8, Ret real +2.882%, Ret pred -2.980%, Dir BAJISTA (conf 54.3%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| hmm_signal | 53% | - | - |
| kalman_signal | 53% | - | - |
| gbm | 52% | 2.18% | 0.62% |
| merton | 51% | 1.85% | 0.36% |
| ml | 49% | 9.78% | 1.01% |
| ensemble | 49% | 3.40% | 0.01% |
| kalman | 46% | 2.34% | 0.79% |
Justificación: Los modelos GBM y Merton tienen un desempeño similar, con una precisión del 52% y 51%, respectivamente. El modelo ML tiene un desempeño inferior, con una precisión del 49%.
10. Calibración
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 27705 | 49% | 15% |
| 30-50% | 6796 | 49% | 38% |
| 50-60% | 691 | 45% | 56% |
| 60-70% | 309 | 53% | 62% |
| 70-80% | 48 | 56% | 77% |
| 80+% | 4 | 25% | 84% |
Justificación: La calibración de las predicciones es importante para evaluar la confianza en cada una de ellas. Los resultados muestran que las predicciones con una confianza del 50-60% tienen un hit rate del 45%, lo que indica que hay sobreconfianza en estas predicciones.
11. Disclaimer
Este informe de trading es solo para fines informativos y no debe ser considerado como asesoramiento financiero. Los resultados pasados no garantizan resultados futuros. 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) | -4.99 |
| Sortino (anualizado) | -5.91 |
| Calmar | -0.54 |
| Max Drawdown | -99.78% |
| Profit Factor | 0.54 |
| Win Rate (= Hit Rate global) | 35.00% |
| Expectancy por trade | -0.300% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1526 | 34.9% |
| 30-50 | 418 | 34.2% |
| 50-60 | 21 | 57.1% |
| 60-70 | 27 | 25.9% |
| 70-80 | 7 | 71.4% |
| 80-100 | 1 | 0.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 448 muestras historicas el 2026-06-05T00:30:00Z. 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 | 3901 | 45.5% | 0 | N/A |
| 30-50 | 962 | 42.5% | 0 | N/A |
| 50-60 | 91 | 56.0% | 0 | N/A |
| 60-70 | 40 | 47.5% | 0 | N/A |
| 70-80 | 6 | 16.7% | 0 | N/A |
| 80-100 | 0 | N/A | 5000 | 45.1% |
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% |
| 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% |
| 60.0 | 100.0% |
| 67.0 | 100.0% |
| 67.0 | 100.0% |
| 70.0 | 100.0% |
| 70.0 | 100.0% |
| 70.0 | 100.0% |
Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 45.1%, 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 448 (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: 7.04% (cap 20%)
- Risk score medio: 74.5/100 (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% | 2 | 25.0% |
| 10-15% | 0 | 0.0% |
| 15-20% | 2 | 25.0% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| USO | Oil (WTI) | ALCISTA | 57 | 7.16% | 57.3 |
| BTC-USD | Bitcoin | ALCISTA | 70 | 9.19% | 60.4 |
| TLT | US 10Y Bond | ALCISTA | 57 | 20.00% | 61.0 |
| SPY | S&P 500 | ALCISTA | 57 | 20.00% | 61.0 |
| GLD | Gold | BAJISTA | 45 | 0.00% | 85.9 |
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) | A | A | ALCISTA | 100.0% | 50.0 | 0.00% | 134.6500 | 145.0119 | Stacking ensemble (nnls): pred_return=7.70%, conf_raw=95.0% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | A | A | ALCISTA | 100.0% | 50.0 | 0.00% | 138.3700 | 159.1255 | 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.