LGBM no sector

lightgbmlgbm_no_sector· 2026-05-25

Net equity

Snapshot

Cum return

-21.15%

Ann ret

-3.94%

Sharpe

-0.53

Sortino

-0.71

Max DD

-34.10%

Turnover

0.88

Vs benchmark (SPY)

Beta

0.25

IR

-1.11

Alpha anual

-7.34%

Hit rate vs SPY

29.6%

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	0.3	-4.1	12.3	1.3	-1.3	-0.2	1.3	0.9	1.1	-0.4	-1.8	-0.8	8.2%
2021	4.9	-3.0	-2.1	-2.9	6.1	5.2	0.4	-8.3	0.6	6.1	-3.6	-8.8	-6.6%
2022	-5.0	-1.6	-1.0	-6.8	3.7	3.8	-3.9	-3.4	-5.2	5.9	0.9	3.7	-9.5%
2023	-4.4	-1.9	-0.2	1.0	0.7	1.5	-2.1	-2.1	-2.3	-0.6	2.0	1.8	-6.6%
2024	-1.5	-0.3	-0.8	-3.0	-2.1	1.8	-1.6	1.3	-1.4	3.4	0.0	-0.5	-4.9%
2025	-2.1	0.7	1.0	-2.1	0.1	-0.9	-0.8	-0.7	1.1	0.5	0.4	—	-2.9%

−12%+12%

Contribución long vs short

descomposición del net return

Long book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	GOOG	Communication Services	0.029	3.33%	0.13%
2	GOOGL	Communication Services	0.029	3.33%	0.15%
3	IBKR	Financial Services	0.028	3.33%	5.81%
4	KKR	Financial Services	0.028	3.33%	5.50%
5	META	Communication Services	0.027	3.33%	1.57%
6	PLTR	Technology	0.025	3.33%	0.22%
7	AIG	Financial Services	0.024	3.33%	10.57%
8	EG	Financial Services	0.023	3.33%	7.17%
9	CRWD	Technology	0.023	3.33%	-10.03%
10	HOOD	Financial Services	0.022	3.33%	-6.52%
11	AXON	Industrials	0.021	3.33%	5.67%
12	COF	Financial Services	0.020	3.33%	12.50%
13	LLY	Healthcare	0.020	3.33%	2.12%
14	APO	Financial Services	0.019	3.33%	11.58%
15	ABNB	Consumer Cyclical	0.019	3.33%	11.96%

Short book

2025-11-28

#	Ticker	Sector	Score	Peso	Ret 63d
1	APP	Technology	-0.027	-3.33%	-0.85%
2	APH	Technology	-0.023	-3.33%	0.55%
3	BA	Industrials	-0.019	-3.33%	22.15%
4	INCY	Healthcare	-0.018	-3.33%	-0.61%
5	GILD	Healthcare	-0.018	-3.33%	-1.55%
6	KO	Consumer Defensive	-0.016	-3.33%	-3.93%
7	NEM	Basic Materials	-0.014	-3.33%	10.24%
8	UBER	Technology	-0.014	-3.33%	-4.29%
9	GLW	Technology	-0.014	-3.33%	9.37%
10	GIS	Consumer Defensive	-0.013	-3.33%	-2.85%
11	NOC	Industrials	-0.013	-3.33%	7.36%
12	TPL	Energy	-0.012	-3.33%	4.70%
13	IP	Consumer Cyclical	-0.012	-3.33%	2.69%
14	CHD	Consumer Defensive	-0.011	-3.33%	-2.30%
15	NVDA	Technology	-0.011	-3.33%	4.97%

Feature importances

top 20 · media gain entre folds

Feature	Gain
rd_to_revenue_global_z	511
rd_to_revenue_sector_z	468
market_momentum_12m_skip_1m	346
max_drawdown_12m_global_z	240
operating_income_growth_yoy_ttm_global_z	206
beta_12m_global_z	197
mom_12m_skip_1m_global_z	189
market_confirmation_composite	154
market_drawdown_6m	148
negative_stock_based_compensation_to_revenue_global_z	123
asset_turnover_global_z	116
gross_margin_global_z	112
ebitda_to_ev_global_z	103
operating_income_growth_minus_revenue_growth_global_z	103
gross_profit_growth_yoy_ttm_global_z	96
operating_income_growth_yoy_ttm_sector_z	90
roa_global_z	88
roic_global_z	86
revenue_per_employee_growth_yoy_global_z	85
revenue_growth_minus_employee_growth_global_z	85

Resumen backtest

periodos71

start2020-01-31

end2025-11-28

vol anual11.61%

downside dev8.62%

hit rate45.1%

gross weight1.00

missing prices0

benchmarkSPY

bench sharpe0.72

tracking error17.26%

correlation0.39