per-stock model-accuracy decomposition

1711.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	0.4714	0.4337 – 0.5018	12
Hit rate · SHORT	0.5027	0.4326 – 0.6723	12
Avg return · LONG (bps)	-30.3	-63.1 – -12.1	12
Avg return · SHORT (bps)	75.3	-30.3 – 253.9	12
Selection rate · LONG	0.0137	0.0112 – 0.0149	12
Selection rate · SHORT	0.0082	0.0077 – 0.0102	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

-23.7

short

38.2

total

14.5

appearances 462336 · LONG 5993 · SHORT 4037

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