per-stock model-accuracy decomposition

2122.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	0.6759	0.5892 – 0.8402	12
Hit rate · SHORT	0.9861	0.9367 – 1	12
Avg return · LONG (bps)	63.4	-32.1 – 128.8	12
Avg return · SHORT (bps)	255.3	151.1 – 349.5	12
Selection rate · LONG	0.0064	0.0055 – 0.0118	12
Selection rate · SHORT	0.0063	0.0046 – 0.0078	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

2.2058

short

12.0

total

14.2

appearances 57600 · LONG 472 · SHORT 435

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