LGBM macro

lightgbmlgbm_macro· 2026-05-25

Net equity

Snapshot

Cum return

-10.53%

Ann ret

-1.86%

Sharpe

-0.19

Sortino

-0.26

Max DD

-41.16%

Turnover

0.87

Vs benchmark (SPY)

Beta

0.39

IR

-0.86

Alpha anual

-6.67%

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	-2.5	-10.0	19.0	3.3	-1.6	2.5	1.0	-1.0	3.0	2.3	3.0	3.2	21.9%
2021	2.2	-0.5	-0.7	-0.0	-0.8	3.2	2.4	-10.4	0.7	5.8	-1.9	-16.2	-16.9%
2022	-4.5	-2.3	-6.3	-10.1	6.3	4.6	-5.1	-3.7	-6.1	5.5	2.4	6.0	-14.1%
2023	1.3	7.0	-0.8	5.0	-0.8	-2.5	0.7	3.4	2.4	-1.3	-1.8	4.0	17.4%
2024	1.2	-3.1	1.1	-3.6	1.4	0.6	1.6	-0.2	-3.0	-5.4	1.7	-0.4	-8.4%
2025	4.0	3.9	2.9	4.3	-0.4	-2.1	-1.4	-3.8	-2.0	-3.0	-6.1	—	-4.3%

−19%+19%

Contribución long vs short

descomposición del net return

Long book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	WDAY	Technology	0.155	3.33%	-3.54%
2	CDNS	Technology	0.152	3.33%	0.25%
3	ANET	Technology	0.139	3.33%	4.29%
4	NOW	Technology	0.132	3.33%	-10.32%
5	MSCI	Financial Services	0.131	3.33%	1.00%
6	PANW	Technology	0.130	3.33%	-4.45%
7	PLTR	Technology	0.128	3.33%	0.22%
8	CRWD	Technology	0.127	3.33%	-10.03%
9	HOOD	Financial Services	0.116	3.33%	-6.52%
10	SNPS	Technology	0.112	3.33%	9.61%
11	DDOG	Technology	0.112	3.33%	-15.28%
12	MPWR	Technology	0.111	3.33%	1.03%
13	TDG	Industrials	0.111	3.33%	0.27%
14	CL	Consumer Defensive	0.102	3.33%	-2.82%
15	MA	Financial Services	0.102	3.33%	3.52%

Short book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	NEM	Basic Materials	-0.202	-3.33%	10.24%
2	WBD	Communication Services	-0.163	-3.33%	19.44%
3	MU	Technology	-0.149	-3.33%	31.22%
4	INCY	Healthcare	-0.129	-3.33%	-0.61%
5	NCLH	Consumer Cyclical	-0.123	-3.33%	22.67%
6	WDC	Technology	-0.123	-3.33%	14.87%
7	TPL	Energy	-0.107	-3.33%	4.70%
8	IVZ	Financial Services	-0.104	-3.33%	9.27%
9	APO	Financial Services	-0.095	-3.33%	11.58%
10	EXE	Energy	-0.095	-3.33%	-9.71%
11	CHTR	Communication Services	-0.093	-3.33%	6.27%
12	HPE	Technology	-0.090	-3.33%	10.85%
13	IBKR	Financial Services	-0.090	-3.33%	5.81%
14	DAL	Industrials	-0.086	-3.33%	7.65%
15	NVDA	Technology	-0.083	-3.33%	4.97%

Feature importances

top 20 · media gain entre folds

Feature	Gain
sector	1,517
treasury_10y	710
beta_12m_global_z	698
yield_curve_10y_3m	686
rd_to_revenue_sector_z	673
rd_to_revenue_global_z	670
treasury_3m	514
max_drawdown_12m_global_z	479
baa_credit_spread	447
asset_turnover_global_z	360
market_momentum_12m_skip_1m	342
spy_realized_vol_3m	307
mom_12m_skip_1m_global_z	290
vix_level	288
negative_vol_3m_global_z	276
ebitda_to_ev_global_z	272
roa_global_z	262
market_confirmation_composite	260
vix_percentile_1y	250
operating_income_growth_yoy_ttm_global_z	246

Resumen backtest

periodos71

start2020-01-31

end2025-11-28

vol anual16.85%

downside dev12.49%

hit rate49.3%

gross weight1.00

missing prices0

benchmarkSPY

bench sharpe0.72

tracking error18.85%

correlation0.42