per-stock model-accuracy decomposition

5892.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	0.4180	0.3999 – 0.4442	12
Hit rate · SHORT	0.5184	0.4630 – 0.5888	12
Avg return · LONG (bps)	35.7	-9.4561 – 53.9	12
Avg return · SHORT (bps)	-97.0	-201.7 – -43.4	12
Selection rate · LONG	0.0160	0.0129 – 0.0188	12
Selection rate · SHORT	0.0155	0.0124 – 0.0200	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

18.5

short

-73.8

total

-55.3

appearances 427968 · LONG 6504 · SHORT 6798

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