Accuracy — beta_5y
val + test + live · 2.3M
Summary
| horizon | days | token-days | rank IC | t | LS decile | hit (alpha) | hit (price) | MAE (alpha) | MAE (price) |
|---|---|---|---|---|---|---|---|---|---|
| +1d | 530 | 415k | +0.0738 | 19.8 | +1.05% | 55.6% | 54.2% | 0.0355 | 4.572499 |
| +7d | 524 | 408k | +0.0915 | 24.8 | +3.74% | 60.1% | 58.9% | 0.0931 | 12.586056 |
| +30d | 501 | 384k | +0.1074 | 27.2 | +11.32% | 61.6% | 63.3% | 0.2032 | 26.322480 |
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 | +0.105 | 59.6% | +1.33% | +0.221 | 69.5% | +5.99% | +0.311 | 74.9% | +21.24% | 23 |
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.