Informes
Recientes
Informe Diario
2026-06-15
Informe de Trading
1. Contexto Macro
La situación internacional muestra un clima de incertidumbre, con un VIX (Volatility Index) en 16.85 (-4.69%) y un US 10Y Treasury Yield en 4.487 (+0.54%). El US Dollar Index (DXY) se encuentra en 99.517 (-0.23%), mientras que el Crude Oil WTI ha caÃdo un 5.42% a $80.28. El Gold Futures ha subido un 3.46% a $4360.7998. El sentimiento de mercado es neutral, con un score de -0.046 en el FinBERT NLP.
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 |
| MGM | $48.97 | $52.52 | ALCISTA | 40.3% | $45.79 | $54.29 | 1.7 |
| SPY | $741.75 | $718.14 | ALCISTA | 67.9% | $726.65 | $777.16 | 2.3 |
| XLB | $52.18 | $49.73 | ALCISTA | 46.6% | $50.50 | $55.86 | 2.2 |
| CSCO | $121.10 | $114.67 | ALCISTA | 40.3% | $114.72 | $130.74 | 1.5 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para BMPS.MI y MGM. Sin embargo, para SPY, XLB y CSCO, hay una señal mixta, ya que el precio GBM/Kalman apunta a un lado, pero el régimen/HMM/ML apuntan al otro.
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 |
| PSH.L | $3820.00 | $3677.77 | BAJISTA | 53.5% | $3720.04 | $4033.34 | 2.1 |
| QQQ | $721.34 | $690.33 | ALCISTA | 46.6% | $695.99 | $767.86 | 1.8 |
| SJM | $116.49 | $112.57 | ALCISTA | 56.3% | $109.53 | $122.36 | 0.8 |
| LIN | $523.57 | $508.25 | ALCISTA | 62.2% | $509.92 | $546.55 | 1.7 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para TIT.MI, QQQ, SJM y LIN. Sin embargo, para PSH.L, hay una señal mixta.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| NOVN.SW | $122.08 | $118.60 | ALCISTA | 62.6% | $119.01 | $127.29 | 1.7 |
| ACN | $170.28 | $174.26 | BAJISTA | 62.2% | $162.11 | $176.25 | 0.7 |
| AAPL | $291.13 | $281.23 | ALCISTA | 46.6% | $281.39 | $305.98 | 1.5 |
| CSGP | $32.84 | $33.98 | BAJISTA | 45.0% | $31.31 | $34.56 | 1.1 |
| XLV | $153.81 | $157.18 | ALCISTA | 57.5% | $150.61 | $158.87 | 1.6 |
Justificación: Los modelos GBM, Kalman, HMM y ML coinciden en la dirección alcista para NOVN.SW, AAPL y XLV. Sin embargo, para ACN y CSGP, hay una señal mixta.
5. Criptomonedas
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| LTC-USD | $44.97 | $46.64 | NEUTRAL | 37.0% | $42.33 | $47.47 | 0.9 |
| AVAX-USD | $6.77 | $6.99 | NEUTRAL | 37.0% | $6.26 | $7.10 | 0.6 |
| XMR-USD | $339.02 | $309.37 | NEUTRAL | 14.3% | $293.07 | $383.48 | 1.0 |
| SOL-USD | $71.27 | $72.31 | NEUTRAL | 37.0% | $65.85 | $72.84 | 0.3 |
| ICP-USD | $2.52 | $2.75 | NEUTRAL | 17.2% | $2.23 | $2.86 | 1.2 |
Justificación: Los modelos GBM, Kalman, HMM y ML no coinciden en la dirección para las criptomonedas, lo que indica una señal mixta.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol |
|---|---|---|---|
| BMPS.MI | 4.9% | $10.72 | 54% |
| MGM | 5.0% | $48.97 | 52% |
| SPY | 16.1% | $741.75 | 16% |
| TIT.MI | 10.3% | $7.89 | 25% |
| PSH.L | 12.5% | $3820.00 | 21% |
| QQQ | 9.3% | $721.34 | 28% |
| NOVN.SW | 13.0% | $122.08 | 20% |
| ACN | 6.8% | $170.28 | 38% |
| AAPL | 9.8% | $291.13 | 27% |
| LTC-USD | 5.6% | $44.97 | 47% |
| AVAX-USD | 4.3% | $6.77 | 60% |
| XMR-USD | 2.4% | $339.02 | 108% |
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:
- 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
- Que paso con lo recomendado ayer:
- WEIR.L: FALLO
- MBG.DE: FALLO
- BMED.MI: ACERTO
- KPN.AS: FALLO
- G.MI: ACERTO
- SRG.MI: FALLO
- PSH.L: FALLO
- UMG.AS: FALLO
- Hit rate: 54%
- Aciertos y fallos: 3 aciertos y 7 fallos
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| ensemble | 54% | 3.57% | -0.83% |
| gbm | 53% | 1.92% | -0.30% |
| ml | 52% | 10.38% | 0.38% |
| kalman | 50% | 2.14% | -0.83% |
| merton | 50% | 1.74% | -0.39% |
| kalman_signal | 45% | - | - |
| hmm_signal | 44% | - | - |
Justificación: El modelo ensemble tiene la mayor precisión, seguido del modelo gbm. Los modelos kalman y merton tienen una precisión similar, pero con un sesgo negativo.
10. Calibracion
- Bucket 00-30%: n=46546, hit_rate=54%, avg_conf=15%
- Bucket 30-50%: n=13655, hit_rate=55%, avg_conf=38%
- Bucket 50-60%: n=1129, hit_rate=53%, avg_conf=57%
- Bucket 60-70%: n=841, hit_rate=56%, avg_conf=62%
- Bucket 70-80%: n=70, hit_rate=74%, avg_conf=77%
- Bucket 80+%: n=37, hit_rate=68%, avg_conf=82%
Justificación: La calibración de las predicciones es buena, con un hit rate que aumenta a medida que aumenta la confianza.
11. Disclaimer
Este informe de trading es solo para fines informativos y no debe ser considerado como un consejo de inversión. Los resultados pasados no garantizan resultados futuros. Es importante 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) | 4.99 |
| Sortino (anualizado) | 8.05 |
| Calmar | 3.33 |
| Max Drawdown | -33.11% |
| Profit Factor | 1.86 |
| Win Rate (= Hit Rate global) | 65.00% |
| Expectancy por trade | 0.300% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1492 | 65.5% |
| 30-50 | 410 | 63.4% |
| 50-60 | 59 | 57.6% |
| 60-70 | 30 | 76.7% |
| 70-80 | 8 | 62.5% |
| 80-100 | 1 | 100.0% |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 520 muestras historicas el 2026-06-15T00:30:00Z. 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 | 3645 | 65.9% | 0 | N/A |
| 30-50 | 1203 | 67.3% | 0 | N/A |
| 50-60 | 67 | 35.8% | 0 | N/A |
| 60-70 | 79 | 60.8% | 0 | N/A |
| 70-80 | 1 | 100.0% | 0 | N/A |
| 80-100 | 5 | 60.0% | 5000 | 65.8% |
Curva isotonic (knots)
| raw_conf | calibrated |
|---|---|
| 29.0 | 100.0% |
| 29.0 | 100.0% |
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| 29.0 | 100.0% |
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| 57.0 | 100.0% |
| 57.0 | 100.0% |
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| 57.0 | 100.0% |
| 57.0 | 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% |
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| 57.0 | 100.0% |
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| 60.0 | 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 = 65.8%, 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 520 (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: 7.90% (cap 20%)
- Risk score medio: 71.5/100 (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% | 1 | 12.5% |
| 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 |
| QQQ | NASDAQ 100 | ALCISTA | 57 | 15.64% | 59.9 |
| BTC-USD | Bitcoin | BAJISTA | 45 | 0.00% | 70.9 |
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% | 291.1300 | 296.9526 | GBM/Kalman ensemble: conf_raw=46.6% (cal=100.0%), dir=ALCISTA, vol_annual=26.6%, regime=BEAR |
| MEDIO (1-3m) | A2A.MI | A2A.MI | ALCISTA | 100.0% | 50.0 | 0.00% | 2.2720 | 2.2768 | Stacking ensemble (ridge): pred_return=0.21%, conf_raw=54.5% (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.