per-stock model-accuracy decomposition

2813.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	0.5112	0.4925 – 0.5736	12
Hit rate · SHORT	0.5153	0.4134 – 0.5420	12
Avg return · LONG (bps)	49.0	-42.0 – 90.7	12
Avg return · SHORT (bps)	-197.9	-264.6 – -120.2	12
Selection rate · LONG	0.0058	0.0053 – 0.0066	12
Selection rate · SHORT	0.0086	0.0079 – 0.0105	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

3.9672

short

-57.4

total

-53.4

appearances 334848 · LONG 1994 · SHORT 3067

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