LGBM long only

lightgbmlgbm_long_only· 2026-05-25

Net equity

Snapshot

Cum return

307.14%

Ann ret

26.78%

Sharpe

0.87

Sortino

1.72

Max DD

-28.23%

Turnover

0.85

Vs benchmark (SPY)

Beta

1.41

IR

0.80

Alpha anual

5.48%

Hit rate vs SPY

50.7%

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	-5.2	-21.3	36.5	5.7	4.2	13.7	7.9	-3.1	-2.1	13.7	2.4	-0.3	51.3%
2021	7.8	0.6	0.0	-1.0	8.5	5.0	4.5	-5.5	9.4	2.0	3.6	-10.8	24.5%
2022	-5.8	8.4	-7.1	-5.5	-10.2	20.4	-4.1	-7.0	0.7	9.1	-9.2	22.4	5.6%
2023	-3.9	4.4	0.4	2.0	4.7	2.7	-1.7	-5.7	-1.1	15.0	7.7	7.4	34.6%
2024	4.3	6.7	-7.0	1.2	5.9	-0.4	4.9	2.3	0.0	9.0	-2.6	3.2	30.1%
2025	-5.4	-4.0	2.8	9.5	8.0	-1.3	2.9	6.4	3.4	-5.0	-0.3	—	16.9%

−36%+36%

Contribución long vs short

descomposición del net return

Long book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	CDNS	Technology	0.158	6.67%	0.25%
2	DDOG	Technology	0.133	6.67%	-15.28%
3	CRWD	Technology	0.133	6.67%	-10.03%
4	SNPS	Technology	0.124	6.67%	9.61%
5	WDAY	Technology	0.120	6.67%	-3.54%
6	AVGO	Technology	0.103	6.67%	-9.79%
7	ANET	Technology	0.095	6.67%	4.29%
8	ADSK	Technology	0.093	6.67%	-6.03%
9	TER	Technology	0.092	6.67%	15.54%
10	MCHP	Technology	0.088	6.67%	21.72%
11	HOOD	Financial Services	0.087	6.67%	-6.52%
12	FICO	Technology	0.087	6.67%	-7.09%
13	PLTR	Technology	0.085	6.67%	0.22%
14	EG	Financial Services	0.083	6.67%	7.17%
15	PANW	Technology	0.081	6.67%	-4.45%

Short book

2025-11-28

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

Resumen backtest

periodos71

start2020-01-31

end2025-11-28

vol anual28.76%

downside dev14.51%

hit rate62.0%

gross weight1.00

missing prices0

benchmarkSPY

bench sharpe0.72

tracking error15.05%

correlation0.89