per-stock model-accuracy decomposition

3111.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	0.3448	0.2539 – 0.4816	12
Hit rate · SHORT	0.6709	0.5594 – 0.7632	12
Avg return · LONG (bps)	-12.4	-42.5 – 43.5	12
Avg return · SHORT (bps)	173.3	81.1 – 367.3	12
Selection rate · LONG	0.0247	0.0181 – 0.0266	12
Selection rate · SHORT	0.0212	0.0185 – 0.0245	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

4.6558

short

55.4

total

60.0

appearances 115200 · LONG 2741 · SHORT 2479

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