LGBM 21d

lightgbmlgbm_21d· 2026-05-25

Net equity

Sin datos.

Snapshot

Cum return

—

Ann ret

—

Sharpe

—

Sortino

—

Max DD

—

Turnover

—

Vs benchmark (SPY)

Beta

—

IR

—

Alpha anual

—

Hit rate vs SPY

—

Drawdown

Sin datos de drawdown.

Returns mensuales

net return por rebalanceo

Sin retornos para mostrar.

Heatmap mensual

net return · totales anuales compuestos

Sin retornos mensuales para mostrar.

Contribución long vs short

descomposición del net return

Sin contribuciones para mostrar.

Long book

#	Ticker	Sector	Score	Peso	Ret 63d
Sin posiciones long.

Short book

#	Ticker	Sector	Score	Peso	Ret 63d
Sin posiciones short.

Feature importances

top 20 · media gain entre folds

Feature	Gain
market_momentum_12m_skip_1m	465
rd_to_revenue_global_z	394
market_drawdown_6m	308
sector	276
rd_to_revenue_sector_z	234
mom_12m_skip_1m_global_z	140
mom_1m_global_z	117
beta_12m_global_z	101
distance_to_52w_high_global_z	99
max_drawdown_12m_global_z	97
market_confirmation_composite	76
negative_vol_3m_global_z	70
asset_turnover_global_z	64
sales_to_ev_global_z	57
operating_income_growth_yoy_ttm_global_z	57
revenue_per_employee_growth_yoy_global_z	57
ebitda_to_ev_global_z	56
book_to_market_global_z	50
roa_global_z	49
earnings_yield_global_z	48

Resumen backtest

periodos—

start—

end—

vol anual—

downside dev—

hit rate—

gross weight—

missing prices—

benchmark—

bench sharpe—

tracking error—

correlation—