per-stock model-accuracy decomposition

2204.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	0.8606	0.5909 – 0.9500	4
Hit rate · SHORT	0	0 – 0	7
Avg return · LONG (bps)	178.3	76.1 – 222.2	4
Avg return · SHORT (bps)	-340.0	-340.0 – -340.0	7
Selection rate · LONG	0	0 – 0.0001	12
Selection rate · SHORT	0.0001	0 – 0.0023	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

1.0777

short

-5.6786

total

-4.6008

appearances 101376 · LONG 51 · SHORT 167

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