LightGBMファクター（9因子）（東証グロース）のバックテスト
LightGBM Factor Model (JP Growth Stocks)
slug: ml-factor-lgbm-9f-jp-growth
東証グロース（約495銘柄）でLightGBMファクター（9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。
A LightGBM model trained on cross-sectional factor features (momentum, volatility, volume, mean-reversion signals) can predict next-period stock returns. Walk-forward validation ensures no lookahead bias. Tests multiple feature sets (9f-base, 15f-swing, 8f-no-volume, 7f-no-mrs) and hyperparameters.
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-9f-jp-growth-fact-best-sharpevia r-ml-factor-lgbm-9f-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 |
|---|---|---|---|---|---|
num_leaves=7, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0001 | num_leaves: 7 feature_set: "9f-base" | +1.26 | +1.83 | -0.28 | +3.25 |
num_leaves=7, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0002 | num_leaves: 7 feature_set: "9f-base" | +1.62 | +2.41 | -1.44 | +10.04 |
num_leaves=7, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0005 | num_leaves: 7 feature_set: "9f-base" | +1.28 | +1.81 | -1.25 | +13.37 |
num_leaves=7, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0008 | num_leaves: 7 feature_set: "9f-base" | +0.96 | +1.33 | -1.21 | +10.43 |
num_leaves=15, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0011 | num_leaves: 15 feature_set: "9f-base" | -0.49 | -0.01 | -2.79 | +13.20 |
num_leaves=15, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0014 | num_leaves: 15 feature_set: "9f-base" | -0.68 | -0.24 | -2.73 | +12.38 |
num_leaves=15, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0017 | num_leaves: 15 feature_set: "9f-base" | -0.95 | -0.54 | -2.98 | +10.02 |
num_leaves=31, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0019 | num_leaves: 31 feature_set: "9f-base" | +2.09 | +2.75 | +0.60 | +3.74 |
num_leaves=31, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0022 | num_leaves: 31 feature_set: "9f-base" | +1.20 | +2.83 | -1.17 | +3.20 |
num_leaves=31, feature_set=9f-base r-ml-factor-lgbm-9f-jp-growth-0025 | num_leaves: 31 feature_set: "9f-base" | +0.55 | +2.18 | -1.79 | +2.62 |
num_leaves=7, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0028 | num_leaves: 7 feature_set: "13f-financial" | -1.42 | -0.49 | -2.14 | -1.37 |
num_leaves=7, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0031 | num_leaves: 7 feature_set: "13f-financial" | -1.39 | +0.25 | -2.38 | -1.97 |
num_leaves=7, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0034 | num_leaves: 7 feature_set: "13f-financial" | -1.43 | +0.73 | -2.74 | -2.05 |
num_leaves=15, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0037 | num_leaves: 15 feature_set: "13f-financial" | -1.42 | -0.49 | -2.14 | -1.37 |
num_leaves=15, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0040 | num_leaves: 15 feature_set: "13f-financial" | -1.39 | +0.25 | -2.38 | -1.97 |
num_leaves=15, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0043 | num_leaves: 15 feature_set: "13f-financial" | -1.43 | +0.73 | -2.74 | -2.05 |
num_leaves=31, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0046 | num_leaves: 31 feature_set: "13f-financial" | -1.42 | -0.49 | -2.14 | -1.37 |
num_leaves=31, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0049 | num_leaves: 31 feature_set: "13f-financial" | -1.39 | +0.25 | -2.38 | -1.97 |
num_leaves=31, feature_set=13f-financial r-ml-factor-lgbm-9f-jp-growth-0052 | num_leaves: 31 feature_set: "13f-financial" | -1.43 | +0.73 | -2.74 | -2.05 |
num_leaves=7, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0055 | num_leaves: 7 feature_set: "12f-quality" | +2.04 | +1.52 | +1.73 | +3.53 |
num_leaves=7, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0056 | num_leaves: 7 feature_set: "12f-quality" | +1.66 | +1.74 | +0.81 | +12.70 |
num_leaves=7, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0059 | num_leaves: 7 feature_set: "12f-quality" | +1.15 | +1.04 | +0.91 | +16.71 |
num_leaves=7, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0062 | num_leaves: 7 feature_set: "12f-quality" | +0.74 | +0.43 | +1.14 | +14.10 |
num_leaves=15, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0065 | num_leaves: 15 feature_set: "12f-quality" | -0.04 | +0.56 | -2.65 | +10.77 |
num_leaves=15, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0068 | num_leaves: 15 feature_set: "12f-quality" | -0.47 | +0.09 | -2.84 | +8.26 |
num_leaves=15, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0071 | num_leaves: 15 feature_set: "12f-quality" | -0.96 | -0.51 | -2.94 | +7.24 |
num_leaves=31, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0073 | num_leaves: 31 feature_set: "12f-quality" | +2.91 | +1.40 | +3.80 | +3.92 |
num_leaves=31, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0076 | num_leaves: 31 feature_set: "12f-quality" | +1.89 | +0.84 | +2.57 | +2.41 |
num_leaves=31, feature_set=12f-quality r-ml-factor-lgbm-9f-jp-growth-0079 | num_leaves: 31 feature_set: "12f-quality" | +1.55 | +0.66 | +2.20 | +1.82 |
num_leaves=7, feature_set=16f-all r-ml-factor-lgbm-9f-jp-growth-0085 | 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
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:15