spec. ml-factor-lgbm-12f-jp-growth-fact-regime-downcite ledger
qbuntu.ai/cite/ml-factor-lgbm-12f-jp-growth-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is 3.83 across 72 runs.
sharpe_ratio3.83 sharpe_ratiosupports verdict:marginal
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· no_edge
LightGBM Factor Model 12f-quality (JP Growth Stocks)
ml-factor-lgbm-12f-jp-growth
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is 3.83 across 72 runs.. Strategy: LightGBM Factor Model 12f-quality (JP Growth Stocks). https://qbuntu.ai/cite/ml-factor-lgbm-12f-jp-growth-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:15
fact_id: ml-factor-lgbm-12f-jp-growth-fact-regime-down (immutable)