per-stock model-accuracy decomposition

5704.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	0.3782	0.3274 – 0.4397	12
Hit rate · SHORT	0.1952	0.1113 – 0.2705	12
Avg return · LONG (bps)	-48.2	-90.5 – -12.8	12
Avg return · SHORT (bps)	-302.3	-407.7 – -171.9	12
Selection rate · LONG	0.0118	0.0088 – 0.0140	12
Selection rate · SHORT	0.0052	0.0036 – 0.0061	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

-12.8

short

-38.0

total

-50.8

appearances 241920 · LONG 2834 · SHORT 1245

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