Informes
Recientes
Informe Diario
2026-06-14
Informe de Trading
1. Contexto Macro
La situación internacional muestra un VIX en 17.68, lo que indica una disminución en la volatilidad. El rendimiento del tesoro a 10 años se encuentra en 4.487%, lo que sugiere una tendencia alcista en los mercados de renta fija. El Ãndice del dólar estadounidense (DXY) se encuentra en 99.75, lo que indica una debilidad en el dólar. El precio del petróleo crudo WTI se encuentra en 84.88, lo que sugiere una tendencia bajista en los mercados de commodities. El oro y la plata muestran una tendencia alcista, lo que puede indicar una búsqueda de activos seguros.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| BMPS.MI | 10.72 | 11.60 | ALCISTA | 48.8% | 9.99 | 12.04 | 1.8 |
| SY1.DE | 82.20 | 86.13 | BAJISTA | 45.0% | 78.43 | 88.09 | 1.6 |
| NOVN.SW | 122.08 | 118.59 | ALCISTA | 62.6% | 119.01 | 127.31 | 1.7 |
| MB.MI | 25.77 | 26.80 | ALCISTA | 46.5% | 24.04 | 27.32 | 0.9 |
| FEZ | 68.98 | 71.65 | ALCISTA | 45.0% | 66.97 | 72.99 | 2.0 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en una tendencia alcista para BMPS.MI, MB.MI y FEZ. Sin embargo, SY1.DE y NOVN.SW presentan señales mixtas, donde el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro. En el caso de SY1.DE, el modelo ML da más confianza en una tendencia bajista, mientras que en NOVN.SW, el modelo HMM da más confianza en una tendencia alcista.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| TIT.MI | 7.89 | 83.92 | ALCISTA | 32.3% | 7.64 | 121.94 | 457.5 |
| KPN.AS | 4.46 | 4.38 | ALCISTA | 85.7% | 4.37 | 4.57 | 1.3 |
| LTMC.MI | 27.53 | 28.66 | ALCISTA | 40.6% | 26.51 | 29.22 | 1.7 |
| RAND.AS | 27.30 | 28.23 | BAJISTA | 45.0% | 26.24 | 28.69 | 1.3 |
| UMG.AS | 17.76 | 17.37 | BAJISTA | 56.3% | 17.17 | 18.35 | 1.0 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en una tendencia alcista para TIT.MI, KPN.AS y LTMC.MI. Sin embargo, RAND.AS y UMG.AS presentan señales mixtas, donde el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| DB1.DE | 249.50 | 256.73 | BAJISTA | 45.0% | 243.71 | 260.35 | 1.9 |
| STAN.L | 1928.00 | 1979.82 | ALCISTA | 46.5% | 1821.90 | 2005.72 | 0.7 |
| PST.MI | 28.23 | 29.07 | ALCISTA | 42.7% | 27.40 | 29.48 | 1.5 |
| ABBN.SW | 81.62 | 79.48 | ALCISTA | 46.5% | 78.93 | 84.83 | 1.2 |
| ENI.MI | 23.22 | 22.21 | ALCISTA | 30.7% | 22.52 | 24.74 | 2.2 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en una tendencia alcista para STAN.L, PST.MI y ABBN.SW. Sin embargo, DB1.DE y ENI.MI presentan señales mixtas, donde el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro.
5. Criptomonedas
No hay datos disponibles.
6. Cartera Diversificada
| Ticker | Peso | Precio | Dir | Conf |
|---|---|---|---|---|
| BMPS.MI | 5.3% | 10.72 | ALCISTA | 48.8% |
| SY1.DE | 7.8% | 82.20 | BAJISTA | 45.0% |
| NOVN.SW | 14.2% | 122.08 | ALCISTA | 62.6% |
| TIT.MI | 11.3% | 7.89 | ALCISTA | 32.3% |
| KPN.AS | 17.6% | 4.46 | ALCISTA | 85.7% |
| LTMC.MI | 9.7% | 27.53 | ALCISTA | 40.6% |
| DB1.DE | 15.4% | 249.50 | BAJISTA | 45.0% |
| STAN.L | 6.5% | 1928.00 | ALCISTA | 46.5% |
| PST.MI | 12.2% | 28.23 | ALCISTA | 42.7% |
Justificación: La cartera diversificada busca equilibrar el riesgo y el retorno, asignando pesos a diferentes activos según su confianza y dirección.
7. Alertas
- AIG: DIVIDEND el 2026-06-15
- ALLE: DIVIDEND el 2026-06-15
- AME: DIVIDEND el 2026-06-15
- CCI: DIVIDEND el 2026-06-15
- ARES: DIVIDEND el 2026-06-16
- ACN: EARNINGS el 2026-06-18
8. Backtesting
- ERIC-B.ST: ACERTO | Entrada $113.1, Hoy $116.6, Ret real +3.095%, Ret pred -0.799%, Dir ALCISTA (conf 61.6%)
- PRY.MI: FALLO | Entrada $142.95, Hoy $143.9, Ret real +0.665%, Ret pred +1.953%, Dir BAJISTA (conf 56.6%)
- SRG.MI: ACERTO | Entrada $6.398, Hoy $6.432, Ret real +0.531%, Ret pred -1.661%, Dir ALCISTA (conf 64.2%)
- LOG.MC: ACERTO | Entrada $34.06, Hoy $34.2, Ret real +0.411%, Ret pred -3.148%, Dir ALCISTA (conf 61.9%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| gbm | 54% | 1.95 | -0.26 |
| ensemble | 53% | 3.55 | -1.03 |
| ml | 53% | 10.43 | 0.49 |
| kalman | 52% | 2.11 | -0.76 |
| merton | 50% | 1.76 | -0.35 |
Justificación: El modelo GBM muestra la mejor precisión y menor error, seguido del modelo Kalman.
10. Calibración
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 43342 | 53% | 15% |
| 30-50% | 12605 | 55% | 38% |
| 50-60% | 1071 | 55% | 57% |
| 60-70% | 776 | 56% | 62% |
| 70-80% | 69 | 74% | 77% |
| 80+% | 32 | 69% | 82% |
Justificación: La calibración muestra que el modelo tiene una tendencia a sobreestimar la confianza en los buckets de baja confianza.
11. Disclaimer
Este informe es solo para fines informativos y no debe ser considerado como asesoramiento 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) | -1.66 |
| Sortino (anualizado) | -2.22 |
| Calmar | -0.27 |
| Max Drawdown | -89.35% |
| Profit Factor | 0.81 |
| Win Rate (= Hit Rate global) | 44.80% |
| Expectancy por trade | -0.104% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1527 | 44.3% |
| 30-50 | 426 | 45.8% |
| 50-60 | 36 | 44.4% |
| 60-70 | 6 | 66.7% |
| 70-80 | 5 | 100.0% |
| 80-100 | 0 | N/A |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 512 muestras historicas el 2026-06-14T00:30:00Z. 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 | 3808 | 53.5% | 0 | N/A |
| 30-50 | 1055 | 54.1% | 0 | N/A |
| 50-60 | 96 | 51.0% | 0 | N/A |
| 60-70 | 34 | 35.3% | 0 | N/A |
| 70-80 | 6 | 33.3% | 0 | N/A |
| 80-100 | 1 | 100.0% | 5000 | 53.5% |
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% |
| 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% |
| 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% |
| 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% |
| 70.0 | 100.0% |
| 70.0 | 100.0% |
| 70.0 | 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 = 53.5%, 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 512 (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: 8.92% (cap 20%)
- Risk score medio: 70.0/100 (100 = mas seguro)
- Predicciones con Kelly = 0: 3/8
Distribucion de Kelly size
| Rango Kelly | N | % |
|---|---|---|
| 0% | 3 | 37.5% |
| 0-5% | 0 | 0.0% |
| 5-10% | 2 | 25.0% |
| 10-15% | 0 | 0.0% |
| 15-20% | 3 | 37.5% |
Top-5 riesgo mas elevado (risk_score bajo)
| Symbol | Asset | Direction | Conf | Kelly | Risk |
|---|---|---|---|---|---|
| USO | Oil (WTI) | ALCISTA | 55 | 7.58% | 58.2 |
| SPY | S&P 500 | ALCISTA | 57 | 20.00% | 59.0 |
| URTH | MSCI World | ALCISTA | 57 | 20.00% | 59.1 |
| BTC-USD | Bitcoin | ALCISTA | 60 | 8.12% | 59.1 |
| QQQ | NASDAQ 100 | ALCISTA | 57 | 15.64% | 59.9 |
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) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 291.6200 | 297.4524 | GBM/Kalman ensemble: conf_raw=23.8% (cal=100.0%), dir=ALCISTA, vol_annual=26.3%, regime=BEAR |
| MEDIO (1-3m) | A | A | ALCISTA | 100.0% | 50.0 | 0.00% | 128.9400 | 129.1507 | Stacking ensemble (ridge): pred_return=0.16%, conf_raw=51.5% (cal=100.0%), dir=ALCISTA |
| LARGO (6-12m) | AAPL | AAPL | ALCISTA | 100.0% | 50.0 | 0.00% | 291.1300 | 334.7995 | 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.