Robustez (2023-01-03 → 2026-09-11)
Estrategia: sma_cross · Parámetros: {'fast': 20, 'slow': 50, 'trend': 200, 'atr_period': 14, 'stop_atr_mult': 2.0, 'take_profit_atr_mult': 3.0, 'max_hold_days': 40, 'calendar_days': False, 'volume_filter_ratio': 0.8, 'entry_window': 5, 'exit_mode': 'take_profit'} · Benchmark: SPY
Reglas congeladas: mismas que el reporte de cartera (take_profit, régimen off, reglas de riesgo, paridad de hueco). Ventana fuera de muestra.
Exclusión por símbolo (leave-one-out) y ventana de entrada
| Símbolo | Periodo | Retorno | CAGR | Max DD | Sharpe | Trades | Win % | Expectancy | Exposición | Buy & Hold |
|---|---|---|---|---|---|---|---|---|---|---|
| BASE | 2023-01-03 → 2026-09-11 | +11.1% | +2.9% | -3.6% | 0.92 | 92 | 53% | +1.19% | 58% | +100.6% |
| SIN AAPL | 2023-01-03 → 2026-09-11 | +13.9% | +3.6% | -2.9% | 1.22 | 83 | 57% | +1.62% | 55% | +100.6% |
| SIN AMZN | 2023-01-03 → 2026-09-11 | +13.5% | +3.5% | -3.6% | 1.18 | 83 | 57% | +1.57% | 55% | +100.6% |
| SIN GOOGL | 2023-01-03 → 2026-09-11 | +7.6% | +2.0% | -4.0% | 0.69 | 86 | 51% | +0.91% | 51% | +100.6% |
| SIN JPM | 2023-01-03 → 2026-09-11 | +10.0% | +2.6% | -3.2% | 0.88 | 83 | 53% | +1.22% | 49% | +100.6% |
| SIN META | 2023-01-03 → 2026-09-11 | +11.0% | +2.9% | -3.6% | 0.93 | 88 | 53% | +1.24% | 57% | +100.6% |
| SIN MSFT | 2023-01-03 → 2026-09-11 | +10.0% | +2.6% | -3.2% | 0.87 | 84 | 52% | +1.20% | 56% | +100.6% |
| SIN NVDA | 2023-01-03 → 2026-09-11 | +7.1% | +1.9% | -3.6% | 0.70 | 82 | 52% | +0.87% | 57% | +100.6% |
| SIN QQQ | 2023-01-03 → 2026-09-11 | +11.2% | +2.9% | -3.1% | 1.00 | 85 | 54% | +1.30% | 55% | +100.6% |
| SIN SPY | 2023-01-03 → 2026-09-11 | +12.4% | +3.2% | -3.0% | 1.07 | 86 | 55% | +1.42% | 57% | +100.6% |
| SIN XOM | 2023-01-03 → 2026-09-11 | +12.9% | +3.4% | -2.6% | 1.12 | 83 | 57% | +1.53% | 52% | +100.6% |
| SIN TOP2 (NVDA+GOOGL) | 2023-01-03 → 2026-09-11 | +3.1% | +0.8% | -4.0% | 0.34 | 75 | 49% | +0.44% | 50% | +100.6% |
| ENTRY_WINDOW=1 | 2023-01-03 → 2026-09-11 | +7.6% | +2.0% | -2.2% | 0.87 | 55 | 56% | +1.40% | 40% | +100.6% |
Lectura
- Base: +11.1 %, DD -3.6 %, Sharpe 0.92, 92 operaciones.
- Peor exclusión: SIN TOP2 (NVDA+GOOGL) → +3.1 % (Sharpe 0.34). Mejor exclusión: SIN AAPL → +13.9 %.
- Si quitar un solo símbolo hunde el retorno o el Sharpe, el resultado depende de ese activo y no de la regla. No se elimina ningún perdedor a posteriori.
- SIN TOP2 (NVDA+GOOGL): +3.1 %, Sharpe 0.34, 75 ops → ≥ 0: no depende solo de ellos.
- ENTRY_WINDOW=1: +7.6 %, DD -2.2 %, Sharpe 0.87, 55 ops, frente a la ventana vigente (+11.1 %, Sharpe 0.92).