LGBM short filter
lightgbmlgbm_short_filter· 2026-05-25
Net equity
Snapshot
Cum return
59.00%
Ann ret
8.15%
Sharpe
0.45
Sortino
0.81
Max DD
-15.43%
Turnover
0.82
Vs benchmark (SPY)
Beta
0.18
IR
-0.37
Alpha anual
5.79%
Hit rate vs SPY
38.0%
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 | 2.1 | 2.2 | 11.2 | -0.7 | 1.9 | 4.9 | 3.3 | 0.5 | -0.5 | -3.5 | -0.1 | -1.4 | 20.9% |
| 2021 | -3.3 | -0.7 | -2.0 | -1.6 | 7.2 | 7.0 | 0.5 | -4.8 | 7.1 | 9.1 | -6.2 | -5.5 | 5.4% |
| 2022 | -0.5 | 0.4 | 0.2 | -4.1 | -0.6 | 9.3 | -0.4 | -0.6 | -6.0 | 2.2 | -3.1 | 9.0 | 4.8% |
| 2023 | 1.9 | 3.8 | 0.6 | 4.5 | -2.4 | -1.7 | 1.4 | 1.1 | 3.1 | -0.1 | -0.3 | 3.5 | 16.3% |
| 2024 | 0.6 | 0.5 | -2.3 | -2.0 | 2.5 | -4.6 | 0.3 | 1.7 | -2.0 | 1.1 | 2.5 | -0.9 | -3.0% |
| 2025 | -4.0 | -0.8 | 2.7 | 5.4 | 1.8 | 1.1 | 1.0 | 2.7 | 3.3 | -4.5 | -2.9 | — | 5.5% |
−11%+11%
Contribución long vs short
descomposición del net returnLong book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | CDNS | Technology | 0.158 | 3.33% | 0.25% |
| 2 | DDOG | Technology | 0.133 | 3.33% | -15.28% |
| 3 | CRWD | Technology | 0.133 | 3.33% | -10.03% |
| 4 | SNPS | Technology | 0.124 | 3.33% | 9.61% |
| 5 | WDAY | Technology | 0.120 | 3.33% | -3.54% |
| 6 | AVGO | Technology | 0.103 | 3.33% | -9.79% |
| 7 | ANET | Technology | 0.095 | 3.33% | 4.29% |
| 8 | ADSK | Technology | 0.093 | 3.33% | -6.03% |
| 9 | TER | Technology | 0.092 | 3.33% | 15.54% |
| 10 | MCHP | Technology | 0.088 | 3.33% | 21.72% |
| 11 | HOOD | Financial Services | 0.087 | 3.33% | -6.52% |
| 12 | FICO | Technology | 0.087 | 3.33% | -7.09% |
| 13 | PLTR | Technology | 0.085 | 3.33% | 0.22% |
| 14 | EG | Financial Services | 0.083 | 3.33% | 7.17% |
| 15 | PANW | Technology | 0.081 | 3.33% | -4.45% |
Short book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | BG | Consumer Defensive | -0.036 | -3.33% | -3.91% |
| 2 | SOLV | Healthcare | -0.035 | -3.33% | -7.64% |
| 3 | OKE | Energy | -0.027 | -3.33% | 0.89% |
| 4 | MRNA | Healthcare | -0.029 | -3.33% | 27.73% |
| 5 | HUM | Healthcare | -0.030 | -3.33% | 9.56% |
| 6 | C | Financial Services | -0.020 | -3.33% | 15.60% |
| 7 | CHTR | Communication Services | -0.080 | -3.33% | 6.27% |
| 8 | NKE | Consumer Cyclical | -0.034 | -3.33% | -3.23% |
| 9 | T | Communication Services | -0.060 | -3.33% | -4.76% |
| 10 | NCLH | Consumer Cyclical | -0.041 | -3.33% | 22.67% |
| 11 | KMI | Energy | -0.035 | -3.33% | 1.53% |
| 12 | OMC | Communication Services | -0.021 | -3.33% | 14.05% |
| 13 | LKQ | Consumer Cyclical | -0.021 | -3.33% | 1.91% |
| 14 | NEE | Utilities | -0.035 | -3.33% | -4.40% |
| 15 | DIS | Communication Services | -0.043 | -3.33% | 5.47% |
Resumen backtest
periodos71
start2020-01-31
end2025-11-28
vol anual12.83%
downside dev7.23%
hit rate54.9%
gross weight1.00
missing prices0
benchmarkSPY
bench sharpe0.72
tracking error19.35%
correlation0.26