Accuracy — beta_5y
all splits (incl. in-sample) · 2.3M
In-sample rows are included. 3714 of these days fall inside the training window, where the model has already seen the answer. Measured on this dataset the inflation is large — h=30 rank IC reads +0.20 in-sample versus +0.09 held out. Use the split pills above to go back to out-of-sample.
Summary
| horizon | days | token-days | rank IC | t | LS decile | hit (alpha) | hit (price) | MAE (alpha) | MAE (price) |
|---|---|---|---|---|---|---|---|---|---|
| +1d | 1,761 | 785k | +0.0973 | 39.3 | +1.33% | 56.4% | 53.6% | 0.0331 | 7.692996 |
| +7d | 1,752 | 777k | +0.1280 | 51.2 | +5.65% | 62.2% | 59.0% | 0.0878 | 20.650055 |
| +30d | 1,729 | 752k | +0.1732 | 70.4 | +18.98% | 67.5% | 63.6% | 0.1899 | 44.797800 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.053 | 57.4% | +0.99% | +0.088 | 71.2% | +7.71% | – | – | – | 20 |
| 2026-09 | +0.083 | 51.9% | +1.71% | +0.122 | 50.0% | +8.21% | +0.207 | 57.1% | +33.07% | 30 |
| 2026-08 | +0.054 | 55.7% | +1.14% | +0.073 | 57.7% | +3.16% | +0.148 | 62.6% | +14.17% | 31 |
| 2026-07 | +0.074 | 58.6% | +1.82% | +0.081 | 66.6% | +5.87% | +0.095 | 65.1% | +13.78% | 31 |
| 2026-06 | +0.063 | 56.0% | +1.34% | +0.053 | 59.2% | +2.81% | +0.115 | 70.1% | +19.84% | 30 |
| 2026-05 | +0.073 | 52.9% | +0.85% | +0.080 | 57.0% | +4.65% | -0.002 | 62.8% | +4.44% | 31 |
| 2026-04 | +0.078 | 57.8% | +1.38% | +0.043 | 58.0% | +1.80% | +0.064 | 56.3% | +7.89% | 30 |
| 2026-03 | +0.042 | 56.7% | +0.70% | +0.063 | 61.0% | +3.28% | +0.076 | 60.5% | +7.74% | 31 |
| 2026-02 | +0.056 | 49.9% | +0.52% | +0.088 | 57.7% | +4.44% | +0.071 | 66.9% | +13.08% | 28 |
| 2026-01 | +0.078 | 55.9% | +0.73% | +0.100 | 60.3% | +2.69% | +0.027 | 47.1% | +10.72% | 31 |
| 2025-12 | +0.049 | 56.7% | +0.88% | +0.059 | 59.8% | +3.37% | +0.058 | 61.7% | +5.92% | 31 |
| 2025-11 | +0.100 | 51.7% | +1.86% | +0.132 | 47.3% | +7.90% | +0.115 | 62.7% | +14.32% | 30 |
| 2025-10 | +0.076 | 59.2% | +0.66% | +0.073 | 65.8% | +0.82% | +0.155 | 44.7% | +16.11% | 31 |
| 2025-09 | +0.070 | 58.8% | +0.46% | +0.058 | 71.3% | +0.79% | +0.072 | 84.8% | +0.90% | 30 |
| 2025-08 | +0.086 | 49.8% | +0.56% | +0.092 | 49.3% | +1.43% | +0.125 | 58.0% | +8.07% | 31 |
| 2025-07 | +0.101 | 53.4% | +0.94% | +0.099 | 53.6% | +1.52% | +0.104 | 51.3% | +3.26% | 31 |
| 2025-06 | +0.087 | 59.8% | +1.05% | +0.152 | 74.2% | +3.76% | +0.166 | 63.5% | +7.53% | 30 |
| 2025-05 | +0.101 | 58.6% | +1.07% | +0.189 | 65.7% | +5.68% | +0.293 | 71.1% | +22.24% | 31 |
| 2025-04 | +0.078 | 55.8% | +1.04% | +0.123 | 60.6% | +4.10% | +0.132 | 62.6% | +15.14% | 30 |
| 2025-03 | +0.092 | 58.9% | +1.52% | +0.140 | 67.9% | +6.41% | +0.171 | 81.8% | +10.76% | 31 |
| 2025-02 | +0.101 | 53.8% | +1.82% | +0.179 | 54.1% | +8.68% | +0.217 | 71.0% | +17.21% | 28 |
| 2025-01 | +0.083 | 61.7% | +0.83% | +0.165 | 84.9% | +7.37% | +0.254 | 88.1% | +28.44% | 31 |
| 2024-12 | +0.128 | 60.5% | +1.48% | +0.135 | 63.9% | +5.04% | +0.217 | 86.2% | +26.25% | 31 |
| 2024-11 | +0.140 | 59.4% | +2.04% | +0.253 | 68.0% | +13.32% | +0.320 | 62.3% | +37.71% | 30 |
| 2024-10 | +0.119 | 60.8% | +0.96% | +0.182 | 70.7% | +5.17% | +0.337 | 78.9% | +38.00% | 31 |
| 2024-09 | +0.092 | 51.3% | +1.99% | +0.110 | 53.5% | +11.57% | +0.169 | 66.3% | +15.46% | 30 |
| 2024-08 | +0.104 | 55.1% | +3.53% | +0.165 | 55.6% | +21.07% | +0.124 | 51.5% | +52.06% | 31 |
| 2024-07 | +0.098 | 58.1% | +3.38% | +0.184 | 69.4% | +22.91% | +0.245 | 76.6% | +87.72% | 31 |
| 2024-06 | +0.106 | 60.2% | +3.20% | +0.137 | 69.2% | +14.16% | +0.178 | 77.0% | +69.28% | 30 |
| 2024-05 | +0.076 | 58.2% | +1.67% | +0.125 | 65.6% | +6.97% | +0.232 | 81.2% | +33.21% | 31 |
| 2024-04 | +0.132 | 58.0% | +2.81% | +0.203 | 63.4% | +12.54% | +0.174 | 79.7% | +15.01% | 27 |
| 2024-03 | +0.114 | 55.2% | +1.37% | +0.154 | 59.9% | +6.92% | +0.233 | 70.6% | +42.65% | 31 |
| 2024-02 | +0.101 | 57.1% | +0.93% | +0.185 | 60.9% | +11.57% | +0.292 | 57.5% | +39.57% | 29 |
| 2024-01 | +0.101 | 59.7% | +1.59% | +0.134 | 64.3% | +6.54% | +0.173 | 67.2% | +42.23% | 31 |
| 2023-12 | +0.111 | 53.0% | +0.48% | +0.114 | 57.6% | +4.79% | +0.124 | 56.6% | +18.49% | 31 |
| 2023-11 | +0.092 | 55.9% | +0.20% | +0.074 | 56.1% | +0.67% | +0.054 | 47.6% | +2.07% | 30 |
| 2023-10 | +0.118 | 57.4% | +0.93% | +0.160 | 72.3% | +5.76% | +0.151 | 57.4% | +14.10% | 31 |
| 2023-09 | +0.090 | 51.6% | +0.77% | +0.118 | 62.1% | +1.45% | +0.189 | 75.0% | +11.38% | 30 |
| 2023-08 | +0.101 | 56.3% | +1.10% | +0.118 | 61.3% | +2.10% | +0.141 | 66.7% | +5.29% | 29 |
| 2023-07 | +0.123 | 53.2% | +1.24% | +0.142 | 55.1% | +3.85% | +0.210 | 62.4% | +21.01% | 31 |
| 2023-06 | +0.115 | 59.9% | +1.08% | +0.181 | 74.7% | +3.55% | +0.295 | 70.5% | +15.93% | 30 |
| 2023-05 | +0.093 | 57.8% | +0.92% | +0.069 | 63.6% | +2.84% | +0.191 | 88.7% | +12.47% | 31 |
| 2023-04 | +0.087 | 57.8% | +0.74% | +0.109 | 68.7% | +2.61% | +0.131 | 81.1% | +10.65% | 30 |
| 2023-03 | +0.112 | 65.1% | +1.60% | +0.168 | 74.7% | +4.76% | +0.281 | 70.7% | +16.44% | 31 |
| 2023-02 | +0.127 | 58.9% | +0.92% | +0.186 | 64.7% | +5.07% | +0.330 | 86.3% | +16.81% | 28 |
| 2023-01 | +0.109 | 54.7% | +0.77% | +0.131 | 61.7% | +4.17% | +0.198 | 63.3% | +10.56% | 31 |
| 2022-12 | +0.080 | 59.7% | +1.05% | +0.145 | 69.6% | +4.78% | +0.130 | 76.5% | +13.34% | 31 |
| 2022-11 | +0.135 | 56.0% | +2.89% | +0.172 | 59.3% | +5.64% | +0.215 | 74.3% | +15.45% | 30 |
| 2022-10 | +0.104 | 56.8% | +1.58% | +0.131 | 60.6% | +4.29% | +0.113 | 68.4% | +5.28% | 31 |
| 2022-09 | +0.109 | 52.7% | +1.10% | +0.128 | 67.5% | +3.02% | +0.310 | 78.6% | +14.20% | 30 |
| 2022-08 | +0.123 | 54.4% | +1.12% | +0.143 | 54.1% | +3.39% | +0.093 | 63.6% | +4.05% | 31 |
| 2022-07 | +0.135 | 54.9% | +1.22% | +0.064 | 54.0% | +1.76% | +0.138 | 53.2% | +6.33% | 31 |
| 2022-06 | +0.095 | 48.9% | +0.69% | +0.115 | 49.1% | +5.32% | +0.176 | 52.5% | +10.36% | 30 |
| 2022-05 | +0.122 | 57.1% | +3.36% | +0.133 | 64.0% | +7.39% | +0.156 | 65.4% | +16.77% | 31 |
| 2022-04 | +0.118 | 61.1% | +1.34% | +0.145 | 72.1% | +2.45% | +0.196 | 92.2% | +20.43% | 30 |
| 2022-03 | +0.145 | 49.4% | +0.93% | +0.161 | 44.5% | +5.37% | +0.204 | 44.3% | +13.06% | 31 |
| 2022-02 | +0.100 | 57.9% | +1.12% | +0.165 | 70.2% | +4.14% | +0.241 | 63.0% | +13.13% | 28 |
| 2022-01 | +0.098 | 57.7% | +1.26% | +0.145 | 67.1% | +7.29% | +0.232 | 81.0% | +22.63% | 31 |
| 2021-12 | +0.108 | 53.0% | +0.60% | +0.110 | 36.7% | +4.48% | +0.289 | 71.7% | +23.68% | 14 |
t-stats at +7d and +30d are optimistic: consecutive windows overlap, so the effective sample size is closer to the number of distinct days than the number of rows. +1d is the clean read. Long-short spreads are before trading costs and slippage, and the tail of the top-1000 by volume is thin.