LGBM dual tail macro
lightgbmlgbm_dual_tail_macro· 2026-05-25
Net equity
Snapshot
Cum return
-0.61%
Ann ret
-0.10%
Sharpe
-0.29
Sortino
-0.37
Max DD
-18.41%
Turnover
0.72
Vs benchmark (SPY)
Beta
0.15
IR
-0.89
Alpha anual
-2.15%
Hit rate vs SPY
36.6%
Drawdown
Returns mensuales
net return por rebalanceoHeatmap mensual
net return · totales anuales compuestos| año | E | F | M | A | M | J | J | A | S | O | N | D | total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | -1.1 | -4.2 | 1.4 | 1.2 | 0.2 | 1.2 | 0.9 | -0.9 | -0.6 | 2.7 | 0.7 | -0.3 | 1.1% |
| 2021 | -6.0 | -2.1 | -5.0 | 0.5 | 3.9 | 3.7 | 0.5 | -0.9 | -4.3 | -0.5 | 3.0 | -5.4 | -12.5% |
| 2022 | -2.9 | 1.9 | -0.1 | -2.2 | 0.8 | 3.8 | -2.8 | 0.1 | -5.2 | 4.8 | 0.3 | 4.1 | 2.3% |
| 2023 | -2.5 | 2.3 | -0.4 | 1.4 | 1.7 | 5.0 | 0.5 | -0.1 | -0.8 | 0.2 | 2.0 | 3.4 | 13.4% |
| 2024 | -0.6 | -0.9 | 2.3 | -1.9 | 2.3 | -3.8 | 2.5 | 1.3 | 1.4 | -3.6 | 0.4 | -0.4 | -1.3% |
| 2025 | 1.4 | 2.0 | -1.4 | -0.9 | 3.4 | -2.8 | 0.7 | 0.7 | -0.3 | -2.0 | -2.6 | — | -1.9% |
−6%+6%
Contribución long vs short
descomposición del net returnLong book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | ON | Technology | 0.389 | 3.33% | 12.43% |
| 2 | DOW | Basic Materials | 0.384 | 3.33% | 1.83% |
| 3 | MCHP | Technology | 0.380 | 3.33% | 21.72% |
| 4 | SMCI | Technology | 0.379 | 3.33% | -7.33% |
| 5 | BAX | Healthcare | 0.369 | 3.33% | 2.20% |
| 6 | ISRG | Healthcare | 0.368 | 3.33% | -0.95% |
| 7 | TER | Technology | 0.367 | 3.33% | 15.54% |
| 8 | ANET | Technology | 0.366 | 3.33% | 4.29% |
| 9 | DELL | Technology | 0.365 | 3.33% | -3.25% |
| 10 | LYB | Basic Materials | 0.363 | 3.33% | -7.35% |
| 11 | ADSK | Technology | 0.362 | 3.33% | -6.03% |
| 12 | BLDR | Industrials | 0.361 | 3.33% | -7.55% |
| 13 | KKR | Financial Services | 0.361 | 3.33% | 5.50% |
| 14 | LRCX | Technology | 0.361 | 3.33% | 19.75% |
| 15 | PLTR | Technology | 0.361 | 3.33% | 0.22% |
Short book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | NCLH | Consumer Cyclical | 0.351 | -3.33% | 22.67% |
| 2 | TSLA | Consumer Cyclical | 0.349 | -3.33% | 1.84% |
| 3 | CCL | Consumer Cyclical | 0.351 | -3.33% | 19.26% |
| 4 | EL | Consumer Defensive | 0.333 | -3.33% | 12.73% |
| 5 | FSLR | Energy | 0.351 | -3.33% | 4.10% |
| 6 | RCL | Consumer Cyclical | 0.340 | -3.33% | 6.61% |
| 7 | WBD | Communication Services | 0.348 | -3.33% | 19.44% |
| 8 | TTD | Communication Services | 0.357 | -3.33% | -4.80% |
| 9 | BIIB | Healthcare | 0.326 | -3.33% | 0.02% |
| 10 | DASH | Communication Services | 0.359 | -3.33% | 6.91% |
| 11 | TPL | Energy | 0.330 | -3.33% | 4.70% |
| 12 | VTRS | Healthcare | 0.313 | -3.33% | 16.52% |
| 13 | AMZN | Consumer Cyclical | 0.339 | -3.33% | -3.16% |
| 14 | ALGN | Healthcare | 0.332 | -3.33% | 6.35% |
| 15 | LULU | Consumer Cyclical | 0.347 | -3.33% | 15.57% |
Feature importances
top 20 · media gain entre folds| Feature | Gain |
|---|---|
| negative_vol_3m_global_z | 6,818 |
| sector | 3,758 |
| max_drawdown_12m_global_z | 3,035 |
| rd_to_revenue_global_z | 2,633 |
| beta_12m_global_z | 1,186 |
| rd_to_revenue_sector_z | 1,115 |
| mom_12m_skip_1m_global_z | 1,052 |
| asset_turnover_global_z | 1,020 |
| treasury_10y | 846 |
| baa_credit_spread | 672 |
| ebitda_to_ev_global_z | 574 |
| net_payout_yield_global_z | 521 |
| yield_curve_10y_3m | 510 |
| sales_to_ev_global_z | 505 |
| market_confirmation_composite | 502 |
| operating_income_growth_yoy_ttm_global_z | 496 |
| rate_level_10y | 469 |
| sales_to_ev_sector_z | 466 |
| negative_sloan_accruals_global_z | 396 |
| roa_global_z | 388 |
Resumen backtest
periodos71
start2020-01-31
end2025-11-28
vol anual8.74%
downside dev6.77%
hit rate53.5%
gross weight1.00
missing prices0
benchmarkSPY
bench sharpe0.72
tracking error17.45%
correlation0.32