LGBM dual tail

lightgbmlgbm_dual_tail· 2026-05-25

Net equity

Snapshot

Cum return

-18.46%

Ann ret

-3.39%

Sharpe

-0.52

Sortino

-0.62

Max DD

-32.70%

Turnover

0.74

Vs benchmark (SPY)

Beta

0.09

IR

-0.95

Alpha anual

-4.33%

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	0.7	-0.3	-2.5	4.1	1.6	1.1	0.5	1.9	0.2	0.3	1.7	-0.5	9.1%
2021	-6.5	-1.8	-3.1	-1.3	4.4	5.3	2.2	-8.1	2.3	0.6	-3.1	-10.9	-19.4%
2022	-0.3	-4.2	-5.1	-4.8	-2.8	3.3	1.1	-2.5	0.8	2.0	-1.6	5.2	-9.1%
2023	-1.3	-4.4	2.1	-0.6	4.4	5.4	0.7	0.6	3.7	-0.5	1.2	-1.0	10.5%
2024	-2.0	0.1	3.2	-2.2	-1.9	-0.5	0.8	4.2	0.7	-0.2	-0.7	1.7	2.8%
2025	-0.7	3.2	2.0	-4.1	2.7	-3.4	1.6	-5.8	-3.3	-0.7	-1.6	—	-10.1%

−11%+11%

Contribución long vs short

descomposición del net return

Long book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	DOW	Basic Materials	0.236	3.33%	1.83%
2	LYB	Basic Materials	0.236	3.33%	-7.35%
3	BAX	Healthcare	0.236	3.33%	2.20%
4	MCHP	Technology	0.236	3.33%	21.72%
5	ON	Technology	0.236	3.33%	12.43%
6	CRL	Healthcare	0.231	3.33%	14.95%
7	TPR	Consumer Cyclical	0.231	3.33%	15.55%
8	ADSK	Technology	0.229	3.33%	-6.03%
9	LLY	Healthcare	0.229	3.33%	2.12%
10	PANW	Technology	0.229	3.33%	-4.45%
11	CDNS	Technology	0.229	3.33%	0.25%
12	CNC	Healthcare	0.229	3.33%	10.27%
13	ADBE	Technology	0.227	3.33%	3.24%
14	ERIE	Financial Services	0.227	3.33%	-5.43%
15	LRCX	Technology	0.227	3.33%	19.75%

Short book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	TSLA	Consumer Cyclical	0.223	-3.33%	1.84%
2	NCLH	Consumer Cyclical	0.223	-3.33%	22.67%
3	DASH	Communication Services	0.225	-3.33%	6.91%
4	AMZN	Consumer Cyclical	0.223	-3.33%	-3.16%
5	CCL	Consumer Cyclical	0.223	-3.33%	19.26%
6	MU	Technology	0.216	-3.33%	31.22%
7	RCL	Consumer Cyclical	0.221	-3.33%	6.61%
8	WBD	Communication Services	0.216	-3.33%	19.44%
9	FSLR	Energy	0.225	-3.33%	4.10%
10	TPL	Energy	0.218	-3.33%	4.70%
11	EL	Consumer Defensive	0.216	-3.33%	12.73%
12	COIN	Financial Services	0.227	-3.33%	-8.97%
13	BIIB	Healthcare	0.218	-3.33%	0.02%
14	APP	Technology	0.219	-3.33%	-0.85%
15	ALB	Basic Materials	0.223	-3.33%	12.50%

Feature importances

top 20 · media gain entre folds

Feature	Gain
negative_vol_3m_global_z	3,782
max_drawdown_12m_global_z	3,075
sector	2,822
rd_to_revenue_global_z	2,631
rd_to_revenue_sector_z	1,111
mom_12m_skip_1m_global_z	1,012
asset_turnover_global_z	924
market_momentum_12m_skip_1m	589
beta_12m_global_z	523
net_payout_yield_global_z	514
negative_stock_based_compensation_to_revenue_global_z	468
sales_to_ev_sector_z	460
market_confirmation_composite	455
sales_to_ev_global_z	453
revenue_per_employee_growth_yoy_global_z	451
operating_income_growth_yoy_ttm_global_z	446
revenue_growth_acceleration_yoy_global_z	431
ebitda_to_ev_global_z	375
revenue_growth_minus_employee_growth_global_z	366
cash_to_assets_global_z	344

Resumen backtest

periodos71

start2020-01-31

end2025-11-28

vol anual10.99%

downside dev9.09%

hit rate50.7%

gross weight1.00

missing prices0

benchmarkSPY

bench sharpe0.72

tracking error19.69%

correlation0.16