Informes
Recientes
Informe Diario
2026-06-16
Informe de Trading
1. Contexto Macro
La situación internacional se caracteriza por una disminución en la volatilidad, con el VIX (Volatility Index) en 16.15 (-8.65%). Los rendimientos de los bonos del Tesoro de EE. UU. a 10 y 30 años aumentaron ligeramente, mientras que el tipo de cambio del dólar estadounidense disminuyó levemente. El precio del petróleo crudo WTI disminuyó un 3.48%, y el oro y la plata aumentaron un 0.87% y un 0.72%, respectivamente.
El sentimiento del mercado es neutral, con un score de +0.023 según FinBERT NLP. El Ãndice de riesgo geopolÃtico es de 0.46/1.00.
2. Corto Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| ENI.MI | 22.15 | 20.22 | ALCISTA | 47.8% | 21.26 | 25.05 | 3.3 |
| SY1.DE | 82.52 | 89.63 | BAJISTA | 46.2% | 79.19 | 93.18 | 3.2 |
| IHG.L | 169.47 | 177.92 | ALCISTA | 56.7% | 163.43 | 182.14 | 2.1 |
| ACX.MC | 16.91 | 17.55 | ALCISTA | 56.7% | 16.27 | 17.88 | 1.5 |
| FCIT.L | 349.40 | 369.46 | ALCISTA | 40.2% | 342.36 | 379.49 | 4.3 |
Justificación: Los modelos GBM y Kalman coinciden en la dirección alcista para ENI.MI, IHG.L y ACX.MC. Sin embargo, para SY1.DE, el modelo GBM apunta a una dirección alcista, mientras que el modelo Kalman apunta a una dirección bajista.
3. Medio Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| TIT.MI | 7.98 | 3.10 | ALCISTA | 31.8% | 7.74 | 15.31 | 30.4 |
| PCT.L | 726.83 | 765.27 | ALCISTA | 41.5% | 695.61 | 784.49 | 1.8 |
| MRL.MC | 15.36 | 15.73 | ALCISTA | 61.0% | 14.92 | 15.92 | 1.3 |
| ASML.AS | 1628.40 | 1594.75 | ALCISTA | 56.7% | 1550.87 | 1678.88 | 0.7 |
| RTO.L | 441.40 | 430.31 | ALCISTA | 47.8% | 428.82 | 458.03 | 1.3 |
Justificación: Los modelos GBM y Kalman coinciden en la dirección alcista para TIT.MI, PCT.L y MRL.MC. Sin embargo, para ASML.AS y RTO.L, el modelo GBM apunta a una dirección alcista, mientras que el modelo Kalman apunta a una dirección bajista.
4. Largo Plazo
| Ticker | Precio | Pred | Dir | Conf | SL | TP | R/R |
|---|---|---|---|---|---|---|---|
| NOVN.SW | 119.84 | 116.12 | ALCISTA | 40.2% | 116.89 | 125.42 | 1.9 |
| RMV.L | 433.80 | 444.80 | BAJISTA | 46.2% | 418.56 | 450.30 | 1.1 |
| IMI.L | 2988.00 | 3077.31 | ALCISTA | 40.2% | 2901.87 | 3121.96 | 1.6 |
| SEB-A.ST | 192.75 | 198.02 | ALCISTA | 40.2% | 187.49 | 200.65 | 1.5 |
| BNP.PA | 99.84 | 101.45 | ALCISTA | 56.7% | 95.98 | 102.25 | 0.6 |
Justificación: Los modelos GBM y Kalman coinciden en la dirección alcista para NOVN.SW, IMI.L y SEB-A.ST. Sin embargo, para RMV.L, el modelo GBM apunta a una dirección alcista, mientras que el modelo Kalman apunta a una dirección bajista.
5. Criptomonedas
No hay datos disponibles para criptomonedas.
6. Cartera Diversificada
| Ticker | Peso | Precio | Vol | Plazo |
|---|---|---|---|---|
| ENI.MI | 9.2% | 22.15 | 32% | Corto |
| SY1.DE | 9.1% | 82.52 | 32% | Corto |
| IHG.L | 10.3% | 169.47 | 28% | Corto |
| TIT.MI | 12.1% | 7.98 | 24% | Medio |
| PCT.L | 8.5% | 726.83 | 34% | Medio |
| MRL.MC | 12.9% | 15.36 | 23% | Medio |
| NOVN.SW | 14.9% | 119.84 | 20% | Largo |
| RMV.L | 10.4% | 433.80 | 28% | Largo |
| IMI.L | 12.7% | 2988.00 | 23% | Largo |
Justificación: La cartera está diversificada en diferentes sectores y plazos, con un enfoque en acciones alcistas en el corto plazo y acciones con potencial de crecimiento en el medio y largo plazo.
7. Alertas
- Eventos earnings: ACN el 2026-06-18, CCL el 2026-06-23
- Eventos dividendos: ARES el 2026-06-16, BBY el 2026-06-18, AVGO el 2026-06-22, APH el 2026-06-23
8. Backtesting
- SE: FALLO | Entrada $82.94, Hoy $86.66, Ret real +4.485%, Ret pred -2.068%, Dir BAJISTA (conf 56.0%)
- RTO.L: FALLO | Entrada $457.4, Hoy $442.6, Ret real -3.236%, Ret pred +1.223%, Dir ALCISTA (conf 63.0%)
- PST.MI: ACERTO | Entrada $28.23, Hoy $29.13, Ret real +3.188%, Ret pred +0.209%, Dir ALCISTA (conf 56.8%)
- G.MI: ACERTO | Entrada $41.17, Hoy $42.38, Ret real +2.939%, Ret pred -0.038%, Dir ALCISTA (conf 54.5%)
- UMG.AS: FALLO | Entrada $17.76, Hoy $18.25, Ret real +2.759%, Ret pred -0.584%, Dir BAJISTA (conf 55.4%)
9. Performance Modelos
| Modelo | Accuracy | MAE | Sesgo |
|---|---|---|---|
| ensemble | 53% | 3.52% | -0.57% |
| gbm | 52% | 1.95% | -0.38% |
| ml | 52% | 10.18% | 0.20% |
| merton | 50% | 1.76% | -0.48% |
| kalman | 48% | 2.19% | -0.94% |
Justificación: El modelo ensemble tiene la mayor precisión, seguido del modelo gbm. El modelo kalman tiene la menor precisión y un sesgo negativo significativo.
10. Calibracion
| Bucket | n | Hit rate | Avg conf |
|---|---|---|---|
| 00-30% | 44446 | 53% | 15% |
| 30-50% | 13064 | 55% | 38% |
| 50-60% | 1059 | 53% | 57% |
| 60-70% | 786 | 55% | 62% |
| 70-80% | 67 | 76% | 77% |
| 80+% | 34 | 65% | 82% |
Justificación: La calibración de las predicciones es buena, con un hit rate que aumenta con la confianza. Sin embargo, el bucket 80+% tiene un hit rate de 65%, lo que sugiere que hay sobreconfianza en las predicciones con alta confianza.
11. Disclaimer
Este informe 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) | 6.46 |
| Sortino (anualizado) | 10.72 |
| Calmar | 3.60 |
| Max Drawdown | -43.20% |
| Profit Factor | 2.21 |
| Win Rate (= Hit Rate global) | 68.85% |
| Expectancy por trade | 0.377% |
| N evaluaciones | 2000 |
Hit rate por bucket de confianza
| Bucket conf. | N | Hit rate |
|---|---|---|
| 00-30 | 1452 | 69.7% |
| 30-50 | 461 | 66.8% |
| 50-60 | 37 | 48.6% |
| 60-70 | 43 | 74.4% |
| 70-80 | 7 | 100.0% |
| 80-100 | 0 | N/A |
13. Calibracion (post-isotonic)
Isotonic (PAV) calibrator entrenado sobre 528 muestras historicas el 2026-06-16T00:30:00Z. 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 | 3712 | 56.1% | 0 | N/A |
| 30-50 | 1156 | 59.3% | 0 | N/A |
| 50-60 | 81 | 24.7% | 0 | N/A |
| 60-70 | 51 | 54.9% | 0 | N/A |
| 70-80 | 0 | N/A | 0 | N/A |
| 80-100 | 0 | N/A | 5000 | 56.3% |
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% |
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| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 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% |
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| 57.0 | 100.0% |
| 57.0 | 100.0% |
| 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% |
| 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% |
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| 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% |
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| 70.0 | 100.0% |
Criterio de exito (bucket 80+ >= 70% hit_rate): NO (hit rate calibrado = 56.3%, 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 528 (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: 7.83% (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 | 7.18% | 57.3 |
| SPY | S&P 500 | ALCISTA | 57 | 20.00% | 58.6 |
| URTH | MSCI World | ALCISTA | 57 | 20.00% | 59.1 |
| QQQ | NASDAQ 100 | ALCISTA | 57 | 15.42% | 60.0 |
| BTC-USD | Bitcoin | BAJISTA | 45 | 0.00% | 72.9 |
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% | 2.2740 | 2.2769 | Stacking ensemble (ridge): pred_return=0.13%, conf_raw=52.9% (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.