per-stock model-accuracy decomposition

1803.T

computed asof 2026-08-07T09:15:52

read this first — not a buy signal

Model predictability decomposition: measures how accurately the ml-factor-lgbm-9f-jp-growth model family predicts this stock's returns within the jp-listed universe. High hit_rate_long does NOT mean 'good stock to buy' -- it means 'the model historically predicted this stock well when selecting it LONG'. This is a property of model-stock fit, not intrinsic stock quality.

Decomposes ml-factor-lgbm-9f-jp-growth. Standalone walk-forward run of the same LightGBM 9-factor family on the jp-listed universe (~4,100 tickers); the referenced record's verdict applies to the jp-growth universe only.

Accuracy (median across grid)

metric	median	p25 – p75	n
Hit rate · LONG	0.4684	0.4167 – 0.5074	12
Hit rate · SHORT	0	0 – 0	2
Avg return · LONG (bps)	-0.8445	-38.3 – 9.7945	12
Avg return · SHORT (bps)	-152.5	-196.7 – -108.3	2
Selection rate · LONG	0.0006	0.0005 – 0.0014	12
Selection rate · SHORT	0	0 – 0	12

Hit rate ≈ 0.5 means the model's picks on this stock were near coin-flip. Returns in bps per trade (1 bps = 0.01%).

PnL contribution

long

-0.3126

short

-0.0305

total

-0.3431

appearances 761856 · LONG 670 · SHORT 2

Research, not investment advice. Metrics describe model–stock fit, not the stock's merit.