LightGBMファクター（16因子）（東証グロース）のバックテスト
LightGBM Factor Model 16f-all (JP Growth Stocks)
slug: ml-factor-lgbm-16f-jp-growth
東証グロース（約495銘柄）でLightGBMファクター（16因子）をバックテストした。72通りの中央値 Sharpe は +0.42。p-value は 0.20。Max DD は -16.2%。期間は 2024-07-01〜2025-06-30。最良 Sharpe +2.91 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）
+0.42
Max DD
-16.2%
勝率
—
Alpha（年率）
—
p-value
0.20
期間: 2024-07-01 → 2025-06-30
72通りの Sharpe:中央値 0.42最良 2.91 （代表値ではない）最悪 -1.61p25–p75 -0.97–1.46
仮説
原文は英語。
Combining the ml-factor 9f baseline with both the 4 J-Quants financial features and the 3 quality proxies (16 features total) improves prediction accuracy and Sharpe ratio over any subset. Tests whether the two feature families are complementary.
採用しなかった理由
Across 72 grid combinations, median Sharpe=0.42, best=2.91. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 2.91 (p=0.004).
period 2024-07-01–2025-06-30; cost=5.0bps
cite ↗ /cite/ml-factor-lgbm-16f-jp-growth-fact-best-sharpevia r-ml-factor-lgbm-16f-jp-growth-0073
Median Sharpe across 72 grid runs is 0.42.
Full grid of 72 parameter combinations.
Median Sharpe in DOWN regime is 3.83 across 72 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -2.21 across 72 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.94 across 72 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
feature_set=9f-base, num_leaves=7, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0001 | n_short: 10 num_leaves: 7 feature_set: "9f-base" | +1.26 | +1.83 | -0.28 | +3.25 |
feature_set=9f-base, num_leaves=7, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0002 | n_short: 10 num_leaves: 7 feature_set: "9f-base" | +1.62 | +2.41 | -1.44 | +10.04 |
feature_set=9f-base, num_leaves=7, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0005 | n_short: 15 num_leaves: 7 feature_set: "9f-base" | +1.28 | +1.81 | -1.25 | +13.37 |
feature_set=9f-base, num_leaves=7, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0007 | n_short: 20 num_leaves: 7 feature_set: "9f-base" | -0.75 | +0.28 | -2.20 | +0.17 |
feature_set=9f-base, num_leaves=15, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0010 | n_short: 10 num_leaves: 15 feature_set: "9f-base" | +2.25 | +4.02 | +0.44 | +2.73 |
feature_set=9f-base, num_leaves=15, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0013 | n_short: 15 num_leaves: 15 feature_set: "9f-base" | +1.17 | +3.55 | -0.83 | +0.95 |
feature_set=9f-base, num_leaves=15, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0016 | n_short: 20 num_leaves: 15 feature_set: "9f-base" | +0.62 | +3.30 | -1.76 | +0.90 |
feature_set=9f-base, num_leaves=31, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0019 | n_short: 10 num_leaves: 31 feature_set: "9f-base" | +2.09 | +2.75 | +0.60 | +3.74 |
feature_set=9f-base, num_leaves=31, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0020 | n_short: 10 num_leaves: 31 feature_set: "9f-base" | +0.38 | +0.73 | -1.64 | +21.08 |
feature_set=9f-base, num_leaves=31, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0023 | n_short: 15 num_leaves: 31 feature_set: "9f-base" | +0.46 | +0.73 | -1.36 | +22.54 |
feature_set=9f-base, num_leaves=31, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0026 | n_short: 20 num_leaves: 31 feature_set: "9f-base" | +0.22 | +0.47 | -1.37 | +18.95 |
feature_set=13f-financial, num_leaves=7, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0029 | n_short: 10 num_leaves: 7 feature_set: "13f-financial" | +2.43 | +3.82 | -2.42 | +30.27 |
feature_set=13f-financial, num_leaves=7, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0032 | n_short: 15 num_leaves: 7 feature_set: "13f-financial" | +2.38 | +4.02 | -3.08 | +22.01 |
feature_set=13f-financial, num_leaves=7, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0035 | n_short: 20 num_leaves: 7 feature_set: "13f-financial" | +1.66 | +3.21 | -3.36 | +26.35 |
feature_set=13f-financial, num_leaves=15, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0038 | n_short: 10 num_leaves: 15 feature_set: "13f-financial" | +1.80 | +2.72 | -1.80 | +11.01 |
feature_set=13f-financial, num_leaves=15, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0041 | n_short: 15 num_leaves: 15 feature_set: "13f-financial" | +1.86 | +2.91 | -1.60 | +4.36 |
feature_set=13f-financial, num_leaves=15, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0044 | n_short: 20 num_leaves: 15 feature_set: "13f-financial" | +1.41 | +2.52 | -2.30 | +4.04 |
feature_set=13f-financial, num_leaves=31, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0047 | n_short: 10 num_leaves: 31 feature_set: "13f-financial" | +1.99 | +2.90 | -2.05 | +27.21 |
feature_set=13f-financial, num_leaves=31, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0050 | n_short: 15 num_leaves: 31 feature_set: "13f-financial" | +1.94 | +2.64 | -1.42 | +15.73 |
feature_set=13f-financial, num_leaves=31, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0053 | n_short: 20 num_leaves: 31 feature_set: "13f-financial" | +1.79 | +2.95 | -3.01 | +14.57 |
feature_set=12f-quality, num_leaves=7, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0055 | n_short: 10 num_leaves: 7 feature_set: "12f-quality" | +2.04 | +1.52 | +1.73 | +3.53 |
feature_set=12f-quality, num_leaves=7, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0058 | n_short: 15 num_leaves: 7 feature_set: "12f-quality" | +1.41 | +0.39 | +1.44 | +2.98 |
feature_set=12f-quality, num_leaves=7, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0061 | n_short: 20 num_leaves: 7 feature_set: "12f-quality" | +1.02 | +0.27 | +0.77 | +2.66 |
feature_set=12f-quality, num_leaves=15, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0064 | n_short: 10 num_leaves: 15 feature_set: "12f-quality" | +1.95 | +1.33 | +2.69 | +1.75 |
feature_set=12f-quality, num_leaves=15, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0067 | n_short: 15 num_leaves: 15 feature_set: "12f-quality" | +1.84 | +1.39 | +2.75 | +1.02 |
feature_set=12f-quality, num_leaves=15, n_short=20 r-ml-factor-lgbm-16f-jp-growth-0070 | n_short: 20 num_leaves: 15 feature_set: "12f-quality" | +1.43 | +1.57 | +2.11 | -0.14 |
feature_set=12f-quality, num_leaves=31, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0073 | n_short: 10 num_leaves: 31 feature_set: "12f-quality" | +2.91 | +1.40 | +3.80 | +3.92 |
feature_set=12f-quality, num_leaves=31, n_short=10 r-ml-factor-lgbm-16f-jp-growth-0074 | n_short: 10 num_leaves: 31 feature_set: "12f-quality" | +0.59 | +1.67 | -2.97 | +13.34 |
feature_set=12f-quality, num_leaves=31, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0077 | n_short: 15 num_leaves: 31 feature_set: "12f-quality" | +0.63 | +1.35 | -2.07 | +8.32 |
feature_set=16f-all, num_leaves=7, n_short=15 r-ml-factor-lgbm-16f-jp-growth-0085 | n_short: 15 num_leaves: 7 feature_set: "16f-all" | -1.61 | -0.14 | -3.21 | -0.54 |
対象ユニバース
Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:15