Feature Library
Diccionario, cobertura y consenso de importancias entre runs.
Inventario
Total features
69
63 implementadas
Bloques
10
Por bloque
| Bloque | Features |
|---|---|
| balance_sheet_risk | 9 |
| market_confirmation | 9 |
| human_capital | 9 |
| profitability_quality | 8 |
| growth_quality | 8 |
| macro_regime | 8 |
| valuation | 6 |
| operating_discipline | 6 |
| cash_conversion | 5 |
| innovation | 1 |
Cobertura mensual core
Diccionario
69 features| Feature | Bloque | Signo esperado | Frecuencia | Descripción | Activa |
|---|---|---|---|---|---|
| roic | profitability_quality | ↑ positive | quarterly_ttm | Rentabilidad operativa sobre capital invertido. | sí |
| gross_profit_to_assets | profitability_quality | ↑ positive | quarterly_ttm | Productividad economica antes de gastos operativos. | sí |
| roa | profitability_quality | ↑ positive | quarterly_ttm | Rentabilidad sobre activos totales. | sí |
| operating_margin | profitability_quality | ↑ positive | quarterly_ttm | Margen operativo despues de estructura de costes. | sí |
| gross_margin | profitability_quality | ↑ positive | quarterly_ttm | Poder de margen antes de gastos operativos. | sí |
| asset_turnover | profitability_quality | ↑ positive | quarterly_ttm | Eficiencia en el uso de activos. | sí |
| roe | profitability_quality | ↑ positive | quarterly_ttm | Rentabilidad sobre patrimonio contable. | sí |
| operating_cash_flow_to_net_income | cash_conversion | ↑ positive | quarterly_ttm | Conversion de beneficio contable en caja operativa. | sí |
| free_cash_flow_margin | cash_conversion | ↑ positive | quarterly_ttm | Caja libre generada por dolar de ventas. | sí |
| negative_sloan_accruals | cash_conversion | ↑ positive | quarterly_ttm | Penaliza beneficios apoyados en accruals. | sí |
| negative_capex_to_ocf | cash_conversion | ↓ negative | quarterly_ttm | Penaliza negocios que consumen mucha caja operativa en capex. | sí |
| revenue_growth_yoy_ttm | growth_quality | ↑ positive | quarterly_ttm | Crecimiento TTM de ventas frente a hace un ano. | sí |
| gross_profit_growth_yoy_ttm | growth_quality | ↑ positive | quarterly_ttm | Crecimiento de beneficio bruto. | sí |
| operating_income_growth_yoy_ttm | growth_quality | ↑ positive | quarterly_ttm | Crecimiento operativo TTM. | sí |
| free_cash_flow_growth_yoy_ttm | growth_quality | ↑ positive | quarterly_ttm | Crecimiento TTM de caja libre. | sí |
| operating_margin_expansion_yoy | growth_quality | ↑ positive | quarterly_ttm | Mejora interanual del margen operativo. | sí |
| revenue_growth_acceleration_yoy | growth_quality | ↑ positive | quarterly_ttm | Aceleracion interanual del crecimiento de ventas. | sí |
| operating_cash_flow_growth_acceleration_yoy | growth_quality | ↑ positive | quarterly_ttm | Aceleracion interanual del crecimiento de caja operativa. | sí |
| earnings_yield | valuation | ↑ positive | monthly | Beneficio TTM por dolar de market cap. | sí |
| fcf_yield | valuation | ↑ positive | monthly | Caja libre TTM por dolar de market cap. | sí |
| ebitda_to_ev | valuation | ↑ positive | monthly | EBITDA TTM por dolar de enterprise value. | sí |
| sales_to_ev | valuation | ↑ positive | monthly | Ventas TTM por dolar de enterprise value. | sí |
| book_to_market | valuation | ↑ positive | monthly | Equity contable frente a valor de mercado. | sí |
| negative_debt_to_assets | balance_sheet_risk | ↑ positive | quarterly | Penaliza deuda elevada frente a activos. | sí |
| negative_net_debt_to_ebitda | balance_sheet_risk | ↑ positive | quarterly_ttm | Penaliza deuda neta elevada frente a EBITDA. | sí |
| interest_coverage | balance_sheet_risk | ↑ positive | quarterly_ttm | Capacidad de cubrir intereses con EBIT. | sí |
| negative_cost_of_debt | balance_sheet_risk | ↑ positive | quarterly_ttm | Penaliza deuda cara. | sí |
| negative_cost_of_debt_change_yoy | balance_sheet_risk | ↑ positive | quarterly_ttm | Penaliza deterioro del coste de financiacion. | sí |
| quick_ratio | balance_sheet_risk | ↑ positive | quarterly | Liquidez estricta de corto plazo. | sí |
| cash_to_assets | balance_sheet_risk | ↑ positive | quarterly | Colchon de liquidez. | sí |
| negative_liabilities_to_assets | balance_sheet_risk | ↑ positive | quarterly | Penaliza peso elevado de pasivos totales. | sí |
| mom_1m | market_confirmation | ↑ positive | daily_to_monthly | Momentum de corto plazo. | sí |
| mom_3m | market_confirmation | ↑ positive | daily_to_monthly | Momentum de tres meses. | sí |
| mom_6m | market_confirmation | ↑ positive | daily_to_monthly | Momentum de medio plazo. | sí |
| mom_12m_skip_1m | market_confirmation | ↑ positive | daily_to_monthly | Momentum anual excluyendo ultimo mes. | sí |
| distance_to_52w_high | market_confirmation | ↑ positive | daily_to_monthly | Cercania al maximo de 52 semanas. | sí |
| negative_vol_3m | market_confirmation | ↑ positive | daily_to_monthly | Penaliza volatilidad realizada reciente. | sí |
| beta_12m | market_confirmation | none | daily_to_monthly | Sensibilidad al mercado. | sí |
| max_drawdown_12m | market_confirmation | ↑ positive | daily_to_monthly | Peor drawdown realizado durante el ultimo ano. | sí |
| revenue_per_employee | human_capital | ↑ positive | annual_forward_filled | Productividad comercial por empleado. | sí |
| gross_profit_per_employee | human_capital | ↑ positive | annual_forward_filled | Productividad economica antes de gastos operativos por empleado. | sí |
| operating_income_per_employee | human_capital | ↑ positive | annual_forward_filled | Eficiencia operativa por empleado. | sí |
| free_cash_flow_per_employee | human_capital | ↑ positive | annual_forward_filled | Caja libre generada por empleado. | sí |
| employee_growth_yoy | human_capital | none | annual_forward_filled | Crecimiento anual de plantilla. | sí |
| revenue_per_employee_growth_yoy | human_capital | ↑ positive | annual_forward_filled | Mejora anual de productividad comercial por empleado. | sí |
| employee_growth_acceleration_yoy | human_capital | none | annual_forward_filled | Aceleracion o frenazo en contratacion. | sí |
| revenue_growth_minus_employee_growth | human_capital | ↑ positive | annual_forward_filled | Operating leverage humano: ventas creciendo mas que plantilla. | sí |
| rd_to_revenue | innovation | none | quarterly_ttm | Intensidad de inversion en innovacion. | sí |
| negative_receivables_growth_minus_revenue_growth | operating_discipline | ↑ positive | quarterly_ttm | Penaliza receivables creciendo mas rapido que ventas. | sí |
| negative_inventory_growth_minus_revenue_growth | operating_discipline | ↑ positive | quarterly_ttm | Penaliza inventario creciendo mas rapido que ventas. | sí |
| operating_income_growth_minus_revenue_growth | operating_discipline | ↑ positive | quarterly_ttm | Mide si el crecimiento de ventas se convierte en mejora operativa. | sí |
| negative_stock_based_compensation_to_revenue | operating_discipline | ↑ positive | quarterly_ttm | Penaliza compensacion en acciones elevada frente a ventas. | sí |
| share_count_reduction_yoy | operating_discipline | ↑ positive | quarterly_ttm | Reduccion de acciones diluidas; captura recompras netas o menor dilucion. | sí |
| net_payout_yield | operating_discipline | none | quarterly_ttm | Capital devuelto al accionista neto de emisiones. | sí |
| vix_percentile_1y | macro_regime | none | daily_to_monthly | Nivel de volatilidad implicita frente al ultimo ano. | no |
| vix_change_1m | macro_regime | none | daily_to_monthly | Shock mensual de volatilidad. | no |
| high_yield_spread | macro_regime | none | daily_to_monthly | Estres de credito high yield. | no |
| high_yield_spread_change_3m | macro_regime | none | daily_to_monthly | Deterioro o mejora reciente del credito. | no |
| yield_curve_10y_3m | macro_regime | none | daily_to_monthly | Pendiente de curva como proxy de ciclo. | no |
| rate_level_10y | macro_regime | none | daily_to_monthly | Nivel de tipos largos. | no |
| market_momentum_12m_skip_1m | macro_regime | none | daily_to_monthly | Regimen risk-on/risk-off del mercado. | sí |
| market_drawdown_6m | macro_regime | none | daily_to_monthly | Estres realizado del mercado en seis meses. | sí |
| profitability_quality_composite | profitability_quality | ↑ positive | monthly | Composite construido desde features normalizadas. | sí |
| cash_conversion_composite | cash_conversion | ↑ positive | monthly | Composite construido desde features normalizadas. | sí |
| growth_quality_composite | growth_quality | ↑ positive | monthly | Composite construido desde features normalizadas. | sí |
| valuation_composite | valuation | ↑ positive | monthly | Composite construido desde features normalizadas. | sí |
| balance_sheet_risk_composite | balance_sheet_risk | ↑ positive | monthly | Composite construido desde features normalizadas. | sí |
| market_confirmation_composite | market_confirmation | ↑ positive | monthly | Composite construido desde features normalizadas. | sí |
| human_capital_composite | human_capital | ↑ positive | monthly | Composite construido desde features normalizadas. | sí |
Cobertura más baja
4 features < 90%| Feature | Coverage | Non-null | Total |
|---|---|---|---|
| negative_inventory_growth_minus_revenue_growth | 68.4% | 43,104 | 63,063 |
| employee_growth_acceleration_yoy | 82.0% | 51,742 | 63,063 |
| revenue_per_employee_growth_yoy | 82.8% | 52,204 | 63,063 |
| free_cash_flow_growth_yoy_ttm | 86.9% | 54,773 | 63,063 |
Consenso de importancias
top 20 · media entre runs| Feature | Mean gain | Runs |
|---|---|---|
| sector | 2,325.6 | 7 |
| rd_to_revenue_global_z | 1,475.3 | 8 |
| negative_vol_3m_global_z | 1,435.7 | 8 |
| max_drawdown_12m_global_z | 1,124.1 | 8 |
| rd_to_revenue_sector_z | 854.6 | 8 |
| treasury_10y | 778.0 | 2 |
| beta_12m_global_z | 684.5 | 8 |
| yield_curve_10y_3m | 597.9 | 2 |
| asset_turnover_global_z | 580.5 | 8 |
| baa_credit_spread | 559.4 | 2 |
| market_momentum_12m_skip_1m | 553.8 | 8 |
| mom_12m_skip_1m_global_z | 539.1 | 8 |
| treasury_3m | 425.2 | 2 |
| roa_global_z | 378.1 | 8 |
| market_drawdown_6m | 353.7 | 8 |
| spy_realized_vol_3m | 325.7 | 2 |
| sales_to_ev_global_z | 322.1 | 8 |
| rate_level_10y | 320.9 | 2 |
| operating_income_growth_yoy_ttm_global_z | 319.9 | 8 |
| vix_level | 318.1 | 2 |