per-stock model-accuracy decomposition

5616.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	0.2968	0.2554 – 0.3605	12
Hit rate · SHORT	0.7028	0.6694 – 0.7293	12
Avg return · LONG (bps)	-36.4	-53.5 – 27.3	12
Avg return · SHORT (bps)	261.0	196.5 – 301.4	12
Selection rate · LONG	0.0285	0.0236 – 0.0304	12
Selection rate · SHORT	0.0366	0.0304 – 0.0411	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

-8.3981

short

221.8

total

213.4

appearances 244416 · LONG 6855 · SHORT 8668

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