per-stock model-accuracy decomposition

5721.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	0.4518	0.4156 – 0.4668	12
Hit rate · SHORT	0.5769	0.5517 – 0.5964	12
Avg return · LONG (bps)	94.7	62.9 – 161.9	12
Avg return · SHORT (bps)	172.8	37.0 – 243.9	12
Selection rate · LONG	0.0385	0.0266 – 0.0447	12
Selection rate · SHORT	0.0760	0.0674 – 0.0848	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

97.1

short

318.1

total

415.1

appearances 286464 · LONG 10639 · SHORT 22729

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