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marginalno_edge· equity· cross-sectional· factor· machine-learning

LightGBM Factor Model 16f-all (JP Growth Stocks)

slug: ml-factor-lgbm-16f-jp-growth

LightGBM Factor Model 16f-all (JP Growth Stocks) backtest. Median Sharpe across 72 parameter sets is +0.42. p-value is 0.20. Max DD is -16.2%. Period: 2024-07-01 to 2025-06-30. Best Sharpe +2.91 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

Performance summary

Sharpe (median)
+0.42
Max DD
-16.2%
Win rate
—
Alpha (ann.)
—
p-value
0.20
backtest period: 2024-07-01 → 2025-06-30
Sharpe across 72 grid runs:median 0.42best 2.91 (not representative)worst -1.61p25–p75 -0.97–1.46

Hypothesis

Combining the ml-factor 9f baseline with both the 4 J-Quants financial features and the 3 quality proxies (16 features total) improves prediction accuracy and Sharpe ratio over any subset. Tests whether the two feature families are complementary.

Why it didn't work

Across 72 grid combinations, median Sharpe=0.42, best=2.91. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 2.91 (p=0.004).
period 2024-07-01–2025-06-30; cost=5.0bps
sharpe_ratio2.91
cite ↗ /cite/ml-factor-lgbm-16f-jp-growth-fact-best-sharpevia r-ml-factor-lgbm-16f-jp-growth-0073
Median Sharpe across 72 grid runs is 0.42.
Full grid of 72 parameter combinations.
sharpe_ratio0.42
cite ↗ /cite/ml-factor-lgbm-16f-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 3.83 across 72 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio3.83
cite ↗ /cite/ml-factor-lgbm-16f-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -2.21 across 72 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-2.21
cite ↗ /cite/ml-factor-lgbm-16f-jp-growth-fact-regime-flat
Median Sharpe in UP regime is 0.94 across 72 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.94
cite ↗ /cite/ml-factor-lgbm-16f-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
feature_set=9f-base, num_leaves=7, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0001
n_short: 10
num_leaves: 7
feature_set: "9f-base"
+1.26+1.83-0.28+3.25
feature_set=9f-base, num_leaves=7, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0002
n_short: 10
num_leaves: 7
feature_set: "9f-base"
+1.62+2.41-1.44+10.04
feature_set=9f-base, num_leaves=7, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0005
n_short: 15
num_leaves: 7
feature_set: "9f-base"
+1.28+1.81-1.25+13.37
feature_set=9f-base, num_leaves=7, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0007
n_short: 20
num_leaves: 7
feature_set: "9f-base"
-0.75+0.28-2.20+0.17
feature_set=9f-base, num_leaves=15, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0010
n_short: 10
num_leaves: 15
feature_set: "9f-base"
+2.25+4.02+0.44+2.73
feature_set=9f-base, num_leaves=15, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0013
n_short: 15
num_leaves: 15
feature_set: "9f-base"
+1.17+3.55-0.83+0.95
feature_set=9f-base, num_leaves=15, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0016
n_short: 20
num_leaves: 15
feature_set: "9f-base"
+0.62+3.30-1.76+0.90
feature_set=9f-base, num_leaves=31, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0019
n_short: 10
num_leaves: 31
feature_set: "9f-base"
+2.09+2.75+0.60+3.74
feature_set=9f-base, num_leaves=31, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0020
n_short: 10
num_leaves: 31
feature_set: "9f-base"
+0.38+0.73-1.64+21.08
feature_set=9f-base, num_leaves=31, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0023
n_short: 15
num_leaves: 31
feature_set: "9f-base"
+0.46+0.73-1.36+22.54
feature_set=9f-base, num_leaves=31, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0026
n_short: 20
num_leaves: 31
feature_set: "9f-base"
+0.22+0.47-1.37+18.95
feature_set=13f-financial, num_leaves=7, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0029
n_short: 10
num_leaves: 7
feature_set: "13f-financial"
+2.43+3.82-2.42+30.27
feature_set=13f-financial, num_leaves=7, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0032
n_short: 15
num_leaves: 7
feature_set: "13f-financial"
+2.38+4.02-3.08+22.01
feature_set=13f-financial, num_leaves=7, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0035
n_short: 20
num_leaves: 7
feature_set: "13f-financial"
+1.66+3.21-3.36+26.35
feature_set=13f-financial, num_leaves=15, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0038
n_short: 10
num_leaves: 15
feature_set: "13f-financial"
+1.80+2.72-1.80+11.01
feature_set=13f-financial, num_leaves=15, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0041
n_short: 15
num_leaves: 15
feature_set: "13f-financial"
+1.86+2.91-1.60+4.36
feature_set=13f-financial, num_leaves=15, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0044
n_short: 20
num_leaves: 15
feature_set: "13f-financial"
+1.41+2.52-2.30+4.04
feature_set=13f-financial, num_leaves=31, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0047
n_short: 10
num_leaves: 31
feature_set: "13f-financial"
+1.99+2.90-2.05+27.21
feature_set=13f-financial, num_leaves=31, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0050
n_short: 15
num_leaves: 31
feature_set: "13f-financial"
+1.94+2.64-1.42+15.73
feature_set=13f-financial, num_leaves=31, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0053
n_short: 20
num_leaves: 31
feature_set: "13f-financial"
+1.79+2.95-3.01+14.57
feature_set=12f-quality, num_leaves=7, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0055
n_short: 10
num_leaves: 7
feature_set: "12f-quality"
+2.04+1.52+1.73+3.53
feature_set=12f-quality, num_leaves=7, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0058
n_short: 15
num_leaves: 7
feature_set: "12f-quality"
+1.41+0.39+1.44+2.98
feature_set=12f-quality, num_leaves=7, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0061
n_short: 20
num_leaves: 7
feature_set: "12f-quality"
+1.02+0.27+0.77+2.66
feature_set=12f-quality, num_leaves=15, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0064
n_short: 10
num_leaves: 15
feature_set: "12f-quality"
+1.95+1.33+2.69+1.75
feature_set=12f-quality, num_leaves=15, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0067
n_short: 15
num_leaves: 15
feature_set: "12f-quality"
+1.84+1.39+2.75+1.02
feature_set=12f-quality, num_leaves=15, n_short=20
r-ml-factor-lgbm-16f-jp-growth-0070
n_short: 20
num_leaves: 15
feature_set: "12f-quality"
+1.43+1.57+2.11-0.14
feature_set=12f-quality, num_leaves=31, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0073
n_short: 10
num_leaves: 31
feature_set: "12f-quality"
+2.91+1.40+3.80+3.92
feature_set=12f-quality, num_leaves=31, n_short=10
r-ml-factor-lgbm-16f-jp-growth-0074
n_short: 10
num_leaves: 31
feature_set: "12f-quality"
+0.59+1.67-2.97+13.34
feature_set=12f-quality, num_leaves=31, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0077
n_short: 15
num_leaves: 31
feature_set: "12f-quality"
+0.63+1.35-2.07+8.32
feature_set=16f-all, num_leaves=7, n_short=15
r-ml-factor-lgbm-16f-jp-growth-0085
n_short: 15
num_leaves: 7
feature_set: "16f-all"
-1.61-0.14-3.21-0.54

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

Related strategies

variant:ml-factor-lgbm-12f-jp-growthvariant:ml-factor-lgbm-13f-jp-growthvariant:ml-factor-lgbm-9f-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:15
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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