# LightGBM Factor Model 13f-financial (JP Growth Stocks)

- **Slug**: `ml-factor-lgbm-13f-jp-growth`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, machine-learning
- **Source**: qbuntu-analysis (computed asof 2026-09-24T02:22:15)
- **Reproducibility**: analysis-engine@1455e77, backtest-lib@17a7674, grid tier=shallow (python 3.12.10, numpy 2.4.2, pandas 3.0.0)
- **HTML**: https://qbuntu.ai/strategies/ml-factor-lgbm-13f-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/ml-factor-lgbm-13f-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Adding 4 financial features from J-Quants (sales_growth_yoy, operating_margin, operating_margin_change, eps_growth_yoy) to the ml-factor 9f baseline improves prediction accuracy and Sharpe ratio. Phase 1 showed 9f as the only promising strategy (Sharpe 1.65) but financial_store data (505 stocks, 2023-12~) was never tested.

## Why it didn't work

Across 72 grid combinations, median Sharpe=0.42, best=2.91. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | 0.4173 |
| Max drawdown | -16.2% |
| p-value | 0.2 |
| Backtest period | 2024-07-01 to 2025-06-30 |

Sharpe distribution across 72 grid runs: median 0.42, best 2.91 (best-case — not representative), worst -1.61, p25 -0.97, p75 1.46.

## Methodology

- Notes: {"validation": "walk-forward (3 folds, 2023-12-01 onward = financial_store boundary)", "walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-ml-factor-lgbm-13f-jp-growth-0001` | n_short=10, num_leaves=7, feature_set="9f-base" | 1.26 | 1.83 | -0.28 | 3.25 |
| `r-ml-factor-lgbm-13f-jp-growth-0002` | n_short=10, num_leaves=7, feature_set="9f-base" | 1.62 | 2.41 | -1.44 | 10.04 |
| `r-ml-factor-lgbm-13f-jp-growth-0005` | n_short=15, num_leaves=7, feature_set="9f-base" | 1.28 | 1.81 | -1.25 | 13.37 |
| `r-ml-factor-lgbm-13f-jp-growth-0007` | n_short=20, num_leaves=7, feature_set="9f-base" | -0.75 | 0.28 | -2.2 | 0.17 |
| `r-ml-factor-lgbm-13f-jp-growth-0010` | n_short=10, num_leaves=15, feature_set="9f-base" | 2.25 | 4.02 | 0.44 | 2.73 |
| `r-ml-factor-lgbm-13f-jp-growth-0013` | n_short=15, num_leaves=15, feature_set="9f-base" | 1.17 | 3.55 | -0.83 | 0.95 |
| `r-ml-factor-lgbm-13f-jp-growth-0016` | n_short=20, num_leaves=15, feature_set="9f-base" | 0.62 | 3.3 | -1.76 | 0.9 |
| `r-ml-factor-lgbm-13f-jp-growth-0019` | n_short=10, num_leaves=31, feature_set="9f-base" | 2.09 | 2.75 | 0.6 | 3.74 |
| `r-ml-factor-lgbm-13f-jp-growth-0020` | n_short=10, num_leaves=31, feature_set="9f-base" | 0.38 | 0.73 | -1.64 | 21.08 |
| `r-ml-factor-lgbm-13f-jp-growth-0023` | n_short=15, num_leaves=31, feature_set="9f-base" | 0.46 | 0.73 | -1.36 | 22.54 |
| `r-ml-factor-lgbm-13f-jp-growth-0026` | n_short=20, num_leaves=31, feature_set="9f-base" | 0.22 | 0.47 | -1.37 | 18.95 |
| `r-ml-factor-lgbm-13f-jp-growth-0029` | n_short=10, num_leaves=7, feature_set="13f-financial" | 2.43 | 3.82 | -2.42 | 30.27 |
| `r-ml-factor-lgbm-13f-jp-growth-0032` | n_short=15, num_leaves=7, feature_set="13f-financial" | 2.38 | 4.02 | -3.08 | 22.01 |
| `r-ml-factor-lgbm-13f-jp-growth-0035` | n_short=20, num_leaves=7, feature_set="13f-financial" | 1.66 | 3.21 | -3.36 | 26.35 |
| `r-ml-factor-lgbm-13f-jp-growth-0038` | n_short=10, num_leaves=15, feature_set="13f-financial" | 1.8 | 2.72 | -1.8 | 11.01 |
| `r-ml-factor-lgbm-13f-jp-growth-0041` | n_short=15, num_leaves=15, feature_set="13f-financial" | 1.86 | 2.91 | -1.6 | 4.36 |
| `r-ml-factor-lgbm-13f-jp-growth-0044` | n_short=20, num_leaves=15, feature_set="13f-financial" | 1.41 | 2.52 | -2.3 | 4.04 |
| `r-ml-factor-lgbm-13f-jp-growth-0047` | n_short=10, num_leaves=31, feature_set="13f-financial" | 1.99 | 2.9 | -2.05 | 27.21 |
| `r-ml-factor-lgbm-13f-jp-growth-0050` | n_short=15, num_leaves=31, feature_set="13f-financial" | 1.94 | 2.64 | -1.42 | 15.73 |
| `r-ml-factor-lgbm-13f-jp-growth-0053` | n_short=20, num_leaves=31, feature_set="13f-financial" | 1.79 | 2.95 | -3.01 | 14.57 |
| `r-ml-factor-lgbm-13f-jp-growth-0055` | n_short=10, num_leaves=7, feature_set="12f-quality" | 2.04 | 1.52 | 1.73 | 3.53 |
| `r-ml-factor-lgbm-13f-jp-growth-0058` | n_short=15, num_leaves=7, feature_set="12f-quality" | 1.41 | 0.39 | 1.44 | 2.98 |
| `r-ml-factor-lgbm-13f-jp-growth-0061` | n_short=20, num_leaves=7, feature_set="12f-quality" | 1.02 | 0.27 | 0.77 | 2.66 |
| `r-ml-factor-lgbm-13f-jp-growth-0064` | n_short=10, num_leaves=15, feature_set="12f-quality" | 1.95 | 1.33 | 2.69 | 1.75 |
| `r-ml-factor-lgbm-13f-jp-growth-0067` | n_short=15, num_leaves=15, feature_set="12f-quality" | 1.84 | 1.39 | 2.75 | 1.02 |
| `r-ml-factor-lgbm-13f-jp-growth-0070` | n_short=20, num_leaves=15, feature_set="12f-quality" | 1.43 | 1.57 | 2.11 | -0.14 |
| `r-ml-factor-lgbm-13f-jp-growth-0073` | n_short=10, num_leaves=31, feature_set="12f-quality" | 2.91 | 1.4 | 3.8 | 3.92 |
| `r-ml-factor-lgbm-13f-jp-growth-0074` | n_short=10, num_leaves=31, feature_set="12f-quality" | 0.59 | 1.67 | -2.97 | 13.34 |
| `r-ml-factor-lgbm-13f-jp-growth-0077` | n_short=15, num_leaves=31, feature_set="12f-quality" | 0.63 | 1.35 | -2.07 | 8.32 |
| `r-ml-factor-lgbm-13f-jp-growth-0085` | n_short=15, num_leaves=7, feature_set="16f-all" | -1.61 | -0.14 | -3.21 | -0.54 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 2.91 (p=0.004).**
  - Value: 2.91 sharpe_ratio
  - Context: period 2024-07-01–2025-06-30; cost=5.0bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/ml-factor-lgbm-13f-jp-growth-fact-best-sharpe

- **Median Sharpe across 72 grid runs is 0.42.**
  - Value: 0.42 sharpe_ratio
  - Context: Full grid of 72 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/ml-factor-lgbm-13f-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 3.83 across 72 runs.**
  - Value: 3.83 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/ml-factor-lgbm-13f-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -2.21 across 72 runs.**
  - Value: -2.21 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/ml-factor-lgbm-13f-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is 0.94 across 72 runs.**
  - Value: 0.94 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/ml-factor-lgbm-13f-jp-growth-fact-regime-up

## Related strategies

- variant: [ml-factor-lgbm-12f-jp-growth](https://qbuntu.ai/strategies/ml-factor-lgbm-12f-jp-growth)
- variant: [ml-factor-lgbm-16f-jp-growth](https://qbuntu.ai/strategies/ml-factor-lgbm-16f-jp-growth)
- variant: [ml-factor-lgbm-9f-jp-growth](https://qbuntu.ai/strategies/ml-factor-lgbm-9f-jp-growth)

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Cite as: qbuntu (2026). LightGBM Factor Model 13f-financial (JP Growth Stocks). https://qbuntu.ai/strategies/ml-factor-lgbm-13f-jp-growth

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