per-stock model-accuracy decomposition

2872.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	0.3615	0.2400 – 0.4686	12
Hit rate · SHORT	0.6271	0.5771 – 0.6598	12
Avg return · LONG (bps)	-197.3	-320.6 – -174.5	12
Avg return · SHORT (bps)	147.3	107.7 – 317.9	12
Selection rate · LONG	0.0199	0.0145 – 0.0226	12
Selection rate · SHORT	0.0180	0.0148 – 0.0224	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

-39.2

short

41.6

total

2.3900

appearances 105984 · LONG 2043 · SHORT 2037

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