per-stock model-accuracy decomposition

3905.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	0.5026	0.4913 – 0.5289	12
Hit rate · SHORT	0.4815	0.4581 – 0.5365	12
Avg return · LONG (bps)	145.4	92.7 – 165.7	12
Avg return · SHORT (bps)	15.0	-102.5 – 48.7	12
Selection rate · LONG	0.0440	0.0394 – 0.0458	12
Selection rate · SHORT	0.0552	0.0544 – 0.0593	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

280.6

short

-22.7

total

258.0

appearances 489216 · LONG 21084 · SHORT 27646

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