LGBM

lightgbmlgbm· 2026-05-25

Net equity

Snapshot

Cum return

29.00%

Ann ret

4.40%

Sharpe

0.18

Sortino

0.29

Max DD

-21.45%

Turnover

0.83

Vs benchmark (SPY)

Beta

0.23

IR

-0.58

Alpha anual

1.39%

Hit rate vs SPY

38.0%

Drawdown

Returns mensuales

net return por rebalanceo

Heatmap mensual

net return · totales anuales compuestos

año	E	F	M	A	M	J	J	A	S	O	N	D	total
2020	0.4	1.3	14.4	-2.4	1.7	2.4	1.8	-0.9	-0.5	0.1	-0.0	-0.7	18.1%
2021	-0.2	-2.0	-4.0	-1.6	4.2	8.1	1.9	-2.7	3.6	3.9	-2.9	-6.0	1.5%
2022	-2.1	1.9	-1.8	-9.9	3.8	7.8	-3.6	-2.6	-7.2	5.7	0.0	8.8	-1.0%
2023	0.2	1.7	1.8	4.0	-1.6	-3.4	-0.3	0.5	1.0	0.3	1.1	4.9	10.2%
2024	1.5	0.2	-1.6	-0.9	2.4	-1.6	1.1	0.7	-4.4	-1.9	2.0	-1.7	-4.5%
2025	-2.1	1.4	2.4	4.7	3.4	-1.8	0.3	0.7	0.1	-4.7	-0.9	—	3.3%

−14%+14%

Contribución long vs short

descomposición del net return

Long book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	CDNS	Technology	0.158	3.33%	0.25%
2	DDOG	Technology	0.133	3.33%	-15.28%
3	CRWD	Technology	0.133	3.33%	-10.03%
4	SNPS	Technology	0.124	3.33%	9.61%
5	WDAY	Technology	0.120	3.33%	-3.54%
6	AVGO	Technology	0.103	3.33%	-9.79%
7	ANET	Technology	0.095	3.33%	4.29%
8	ADSK	Technology	0.093	3.33%	-6.03%
9	TER	Technology	0.092	3.33%	15.54%
10	MCHP	Technology	0.088	3.33%	21.72%
11	HOOD	Financial Services	0.087	3.33%	-6.52%
12	FICO	Technology	0.087	3.33%	-7.09%
13	PLTR	Technology	0.085	3.33%	0.22%
14	EG	Financial Services	0.083	3.33%	7.17%
15	PANW	Technology	0.081	3.33%	-4.45%

Short book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	EXE	Energy	-0.094	-3.33%	-9.71%
2	MU	Technology	-0.093	-3.33%	31.22%
3	NEM	Basic Materials	-0.086	-3.33%	10.24%
4	DTE	Utilities	-0.080	-3.33%	-1.30%
5	CHTR	Communication Services	-0.080	-3.33%	6.27%
6	VRTX	Healthcare	-0.078	-3.33%	6.23%
7	INCY	Healthcare	-0.074	-3.33%	-0.61%
8	WMB	Energy	-0.074	-3.33%	-0.13%
9	WEC	Utilities	-0.071	-3.33%	-2.62%
10	TKO	Communication Services	-0.070	-3.33%	7.08%
11	EQT	Energy	-0.068	-3.33%	-11.66%
12	KO	Consumer Defensive	-0.067	-3.33%	-3.93%
13	PPL	Utilities	-0.067	-3.33%	-1.13%
14	CTRA	Unknown	-0.064	-3.33%	-1.31%
15	T	Communication Services	-0.060	-3.33%	-4.76%

Feature importances

top 20 · media gain entre folds

Feature	Gain
sector	907
rd_to_revenue_global_z	787
rd_to_revenue_sector_z	683
market_momentum_12m_skip_1m	651
market_drawdown_6m	360
mom_12m_skip_1m_global_z	341
max_drawdown_12m_global_z	304
beta_12m_global_z	292
asset_turnover_global_z	276
operating_income_growth_yoy_ttm_global_z	253
earnings_yield_global_z	228
roa_global_z	226
ebitda_to_ev_global_z	208
market_confirmation_composite	205
gross_profit_growth_yoy_ttm_global_z	195
revenue_growth_acceleration_yoy_global_z	183
sales_to_ev_global_z	172
operating_income_growth_minus_revenue_growth_global_z	168
gross_margin_global_z	160
revenue_per_employee_growth_yoy_global_z	152

Resumen backtest

periodos71

start2020-01-31

end2025-11-28

vol anual12.78%

downside dev7.89%

hit rate56.3%

gross weight1.00

missing prices0

benchmarkSPY

bench sharpe0.72

tracking error18.39%

correlation0.33