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marginalno_edge· equity· factor· machine-learning· meta-label

LightGBMファクター（12因子・メタラベル）（東証グロース）のバックテスト

ML Factor 12f-Quality with Meta-Label Filter (JP Growth Stocks)

slug: ml-factor-lgbm-12f-meta-label-jp-growth

東証グロース（約495銘柄）でLightGBMファクター（12因子・メタラベル）をバックテストした。54通りの中央値 Sharpe は +1.08。p-value は 0.15。Max DD は -19.5%。期間は 2024-07-01〜2025-06-30。最良 Sharpe +3.03 は代表値ではない。

判定は marginal。どこかのパラメータでは p-value が 0.10 を下回るが、中央値自体は promising の基準（Sharpe > 0.5 かつ p-value < 0.05）に届いていない。主因は no_edge。レジーム・取引回数・コストには分類されず、中央値が採用ラインに届いていない。

成績の中央値

Sharpe（中央値）
+1.08
Max DD
-19.5%
勝率
—
Alpha（年率）
—
p-value
0.15
期間: 2024-07-01 → 2025-06-30
54通りの Sharpe:中央値 1.08最良 3.03 （代表値ではない）最悪 -1.93p25–p75 -0.16–2.03

仮説

原文は英語。

Combining H1's 12f-quality features (sharpe_60d, max_dd_60d, price_r2_60d) with H4's meta-label P(win) filter produces synergistic improvement: better features yield better base scores, and meta-label filters more accurately on higher-quality inputs. Phase 2c showed 12f-quality (Sharpe 1.28) and meta-label 0.55 (Sharpe 1.16) independently improve over 9f-base (0.58), but the combination is untested.

採用しなかった理由

Across 54 grid combinations, median Sharpe=1.08, best=3.03. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 3.03 (p=0.0028).
period 2024-07-01–2025-06-30; cost=5.0bps
sharpe_ratio3.03
cite ↗ /cite/ml-factor-lgbm-12f-meta-label-jp-growth-fact-best-sharpevia r-ml-factor-lgbm-12f-meta-label-jp-growth-0007
Median Sharpe across 54 grid runs is 1.08.
Full grid of 54 parameter combinations.
sharpe_ratio1.08
cite ↗ /cite/ml-factor-lgbm-12f-meta-label-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 4.06 across 54 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio4.06
cite ↗ /cite/ml-factor-lgbm-12f-meta-label-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 1.06 across 54 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio1.06
cite ↗ /cite/ml-factor-lgbm-12f-meta-label-jp-growth-fact-regime-flat
Median Sharpe in UP regime is 0.65 across 54 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.65
cite ↗ /cite/ml-factor-lgbm-12f-meta-label-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
meta_threshold=0.5, n_short_max=10, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0001
num_leaves: 7
n_short_max: 10
meta_threshold: 0.5
+2.07+1.52+1.78+3.54
meta_threshold=0.5, n_short_max=10, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0002
num_leaves: 7
n_short_max: 10
meta_threshold: 0.5
+1.63+1.63+1.00+12.70
meta_threshold=0.5, n_short_max=10, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0004
num_leaves: 15
n_short_max: 10
meta_threshold: 0.5
+1.96+1.33+2.37+2.42
meta_threshold=0.5, n_short_max=10, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0005
num_leaves: 15
n_short_max: 10
meta_threshold: 0.5
+0.15+0.62-1.99+10.77
meta_threshold=0.5, n_short_max=10, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0007
num_leaves: 31
n_short_max: 10
meta_threshold: 0.5
+3.03+1.40+3.74+4.23
meta_threshold=0.5, n_short_max=10, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0008
num_leaves: 31
n_short_max: 10
meta_threshold: 0.5
+0.56+1.77-3.20+13.34
meta_threshold=0.5, n_short_max=15, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0010
num_leaves: 7
n_short_max: 15
meta_threshold: 0.5
+1.41+0.39+1.44+3.00
meta_threshold=0.5, n_short_max=15, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0011
num_leaves: 7
n_short_max: 15
meta_threshold: 0.5
+0.64+0.46+0.58+16.71
meta_threshold=0.5, n_short_max=15, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0013
num_leaves: 15
n_short_max: 15
meta_threshold: 0.5
+1.93+1.39+2.64+1.66
meta_threshold=0.5, n_short_max=15, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0014
num_leaves: 15
n_short_max: 15
meta_threshold: 0.5
-0.91-0.45-2.93+8.26
meta_threshold=0.5, n_short_max=15, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0016
num_leaves: 31
n_short_max: 15
meta_threshold: 0.5
+1.88+0.84+2.47+2.53
meta_threshold=0.5, n_short_max=15, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0017
num_leaves: 31
n_short_max: 15
meta_threshold: 0.5
+1.01+1.81-1.90+8.32
meta_threshold=0.5, n_short_max=20, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0019
num_leaves: 7
n_short_max: 20
meta_threshold: 0.5
+1.07+0.27+0.93+2.59
meta_threshold=0.5, n_short_max=20, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0020
num_leaves: 7
n_short_max: 20
meta_threshold: 0.5
+0.91+0.61+1.33+14.10
meta_threshold=0.5, n_short_max=20, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0022
num_leaves: 15
n_short_max: 20
meta_threshold: 0.5
+1.72+1.57+2.09+1.25
meta_threshold=0.5, n_short_max=20, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0023
num_leaves: 15
n_short_max: 20
meta_threshold: 0.5
-1.19-0.77-3.02+7.24
meta_threshold=0.5, n_short_max=20, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0025
num_leaves: 31
n_short_max: 20
meta_threshold: 0.5
+2.17+0.66+3.24+1.72
meta_threshold=0.5, n_short_max=20, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0026
num_leaves: 31
n_short_max: 20
meta_threshold: 0.5
-0.02+0.59-2.22+2.83
meta_threshold=0.55, n_short_max=10, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0028
num_leaves: 7
n_short_max: 10
meta_threshold: 0.55
+1.63+1.21+1.12+3.34
meta_threshold=0.55, n_short_max=10, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0029
num_leaves: 7
n_short_max: 10
meta_threshold: 0.55
+0.50+0.57-0.32+12.70
meta_threshold=0.55, n_short_max=10, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0031
num_leaves: 15
n_short_max: 10
meta_threshold: 0.55
+1.88+1.22+2.00+2.70
meta_threshold=0.55, n_short_max=10, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0032
num_leaves: 15
n_short_max: 10
meta_threshold: 0.55
-0.52-0.28-2.04+7.68
meta_threshold=0.55, n_short_max=10, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0034
num_leaves: 31
n_short_max: 10
meta_threshold: 0.55
+2.13+0.89+2.97+2.59
meta_threshold=0.55, n_short_max=10, num_leaves=31
r-ml-factor-lgbm-12f-meta-label-jp-growth-0035
num_leaves: 31
n_short_max: 10
meta_threshold: 0.55
+0.77+1.04-0.49+13.34
meta_threshold=0.55, n_short_max=15, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0037
num_leaves: 7
n_short_max: 15
meta_threshold: 0.55
+1.10-0.63+1.80+2.90
meta_threshold=0.55, n_short_max=15, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0038
num_leaves: 7
n_short_max: 15
meta_threshold: 0.55
+0.34+0.75-0.83+8.87
meta_threshold=0.55, n_short_max=15, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0040
num_leaves: 15
n_short_max: 15
meta_threshold: 0.55
+2.02+1.07+2.42+2.60
meta_threshold=0.55, n_short_max=15, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0041
num_leaves: 15
n_short_max: 15
meta_threshold: 0.55
-1.56-1.24-3.03+6.74
meta_threshold=0.6, n_short_max=10, num_leaves=7
r-ml-factor-lgbm-12f-meta-label-jp-growth-0055
num_leaves: 7
n_short_max: 10
meta_threshold: 0.6
+1.68+1.09+1.25+4.44
meta_threshold=0.6, n_short_max=10, num_leaves=15
r-ml-factor-lgbm-12f-meta-label-jp-growth-0059
num_leaves: 15
n_short_max: 10
meta_threshold: 0.6
-1.93-1.87-2.29+2.96

対象ユニバース

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

関連する戦略

same_strategy:LightGBMファクター（12因子）（東証グロース）same_strategy:LightGBMファクター（9因子）（東証グロース）same_strategy:機械学習ファクター（メタラベル）（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:16
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略