Accuracy — gru_s0
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 | +0.0966 | 39.8 | +1.36% | 56.3% | 54.0% | 0.0331 | 7.642354 |
| +7d | 1,752 | 777k | +0.1283 | 50.0 | +5.96% | 61.2% | 59.1% | 0.0885 | 20.546783 |
| +30d | 1,729 | 752k | +0.1717 | 71.7 | +18.61% | 66.6% | 63.2% | 0.1931 | 45.057708 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.091 | 57.6% | +2.33% | +0.137 | 68.1% | +14.01% | – | – | – | 20 |
| 2026-09 | +0.094 | 52.1% | +1.70% | +0.135 | 53.8% | +10.43% | +0.210 | 58.1% | +33.85% | 30 |
| 2026-08 | +0.060 | 55.4% | +1.14% | +0.084 | 56.0% | +4.20% | +0.142 | 63.3% | +18.92% | 31 |
| 2026-07 | +0.092 | 58.0% | +2.12% | +0.111 | 65.0% | +6.43% | +0.099 | 67.7% | +13.89% | 31 |
| 2026-06 | +0.065 | 55.0% | +1.45% | +0.058 | 59.3% | +3.08% | +0.130 | 71.4% | +17.09% | 30 |
| 2026-05 | +0.065 | 52.7% | +0.63% | +0.081 | 56.3% | +4.88% | -0.001 | 60.3% | -0.96% | 31 |
| 2026-04 | +0.085 | 57.9% | +1.71% | +0.073 | 58.4% | +3.96% | +0.084 | 55.7% | +8.07% | 30 |
| 2026-03 | +0.058 | 55.0% | +0.93% | +0.069 | 57.6% | +3.71% | +0.082 | 61.0% | +8.15% | 31 |
| 2026-02 | +0.058 | 51.8% | +0.48% | +0.079 | 57.0% | +4.08% | +0.072 | 68.2% | +8.90% | 28 |
| 2026-01 | +0.088 | 56.2% | +1.30% | +0.112 | 60.9% | +4.32% | +0.038 | 47.3% | +15.09% | 31 |
| 2025-12 | +0.066 | 56.6% | +1.04% | +0.077 | 60.2% | +3.47% | +0.091 | 64.0% | +4.27% | 31 |
| 2025-11 | +0.093 | 51.3% | +1.65% | +0.127 | 46.7% | +7.17% | +0.118 | 63.2% | +13.44% | 30 |
| 2025-10 | +0.066 | 59.0% | +0.51% | +0.060 | 64.9% | -0.14% | +0.149 | 45.4% | +16.26% | 31 |
| 2025-09 | +0.072 | 58.8% | +0.25% | +0.073 | 71.3% | +2.45% | +0.109 | 85.0% | +6.80% | 30 |
| 2025-08 | +0.079 | 49.8% | +0.51% | +0.089 | 49.5% | +0.90% | +0.121 | 58.0% | +1.02% | 31 |
| 2025-07 | +0.092 | 53.6% | +0.71% | +0.100 | 54.5% | +2.85% | +0.123 | 51.2% | +5.04% | 31 |
| 2025-06 | +0.078 | 59.2% | +0.79% | +0.114 | 70.2% | +2.66% | +0.113 | 61.3% | +7.25% | 30 |
| 2025-05 | +0.094 | 55.9% | +1.28% | +0.158 | 44.2% | +4.03% | +0.239 | 47.8% | +17.96% | 31 |
| 2025-04 | +0.065 | 56.0% | +0.63% | +0.074 | 59.4% | +2.08% | +0.053 | 60.7% | +0.60% | 30 |
| 2025-03 | +0.095 | 58.4% | +1.76% | +0.167 | 67.9% | +6.46% | +0.174 | 82.8% | +11.99% | 31 |
| 2025-02 | +0.098 | 53.6% | +1.37% | +0.153 | 54.2% | +6.85% | +0.215 | 71.2% | +15.44% | 28 |
| 2025-01 | +0.087 | 61.8% | +1.46% | +0.193 | 84.9% | +8.89% | +0.249 | 88.4% | +28.86% | 31 |
| 2024-12 | +0.107 | 62.8% | +1.46% | +0.150 | 64.1% | +7.31% | +0.257 | 84.9% | +28.52% | 31 |
| 2024-11 | +0.105 | 58.8% | +1.37% | +0.225 | 62.9% | +11.05% | +0.268 | 62.7% | +36.08% | 30 |
| 2024-10 | +0.112 | 60.0% | +1.08% | +0.183 | 64.0% | +3.60% | +0.302 | 75.6% | +30.21% | 31 |
| 2024-09 | +0.091 | 51.8% | +2.17% | +0.118 | 53.5% | +12.46% | +0.184 | 64.7% | +14.85% | 30 |
| 2024-08 | +0.092 | 54.0% | +3.31% | +0.139 | 56.1% | +19.68% | +0.156 | 50.9% | +49.37% | 31 |
| 2024-07 | +0.091 | 57.9% | +3.53% | +0.162 | 69.4% | +23.15% | +0.245 | 77.8% | +88.11% | 31 |
| 2024-06 | +0.101 | 60.5% | +3.19% | +0.121 | 69.2% | +15.40% | +0.152 | 77.5% | +67.40% | 30 |
| 2024-05 | +0.080 | 58.2% | +1.49% | +0.117 | 65.8% | +8.20% | +0.199 | 82.4% | +35.55% | 31 |
| 2024-04 | +0.128 | 58.1% | +2.67% | +0.197 | 65.1% | +12.03% | +0.153 | 79.6% | +12.46% | 27 |
| 2024-03 | +0.095 | 54.7% | +1.43% | +0.147 | 59.2% | +10.14% | +0.244 | 62.0% | +44.16% | 31 |
| 2024-02 | +0.087 | 56.4% | +1.04% | +0.189 | 61.6% | +11.95% | +0.264 | 56.4% | +34.08% | 29 |
| 2024-01 | +0.100 | 59.6% | +2.06% | +0.153 | 66.8% | +11.24% | +0.205 | 65.9% | +46.82% | 31 |
| 2023-12 | +0.112 | 53.7% | +0.15% | +0.127 | 60.6% | +5.20% | +0.132 | 55.6% | +21.89% | 31 |
| 2023-11 | +0.091 | 55.9% | +0.23% | +0.049 | 52.7% | -1.88% | +0.039 | 56.2% | +3.39% | 30 |
| 2023-10 | +0.113 | 57.7% | +1.04% | +0.168 | 72.0% | +6.02% | +0.132 | 56.5% | +9.44% | 31 |
| 2023-09 | +0.093 | 51.6% | +0.78% | +0.095 | 62.0% | +1.31% | +0.155 | 75.8% | +11.88% | 30 |
| 2023-08 | +0.077 | 56.3% | +0.83% | +0.066 | 61.4% | +1.67% | +0.087 | 66.6% | +2.99% | 29 |
| 2023-07 | +0.130 | 53.5% | +1.16% | +0.150 | 54.0% | +3.80% | +0.192 | 63.4% | +8.23% | 31 |
| 2023-06 | +0.132 | 60.5% | +1.26% | +0.201 | 75.0% | +5.62% | +0.300 | 69.9% | +16.51% | 30 |
| 2023-05 | +0.091 | 57.8% | +0.87% | +0.040 | 63.4% | +1.89% | +0.175 | 88.7% | +11.65% | 31 |
| 2023-04 | +0.123 | 57.9% | +0.54% | +0.153 | 60.5% | +2.59% | +0.178 | 58.2% | +12.43% | 30 |
| 2023-03 | +0.111 | 61.1% | +1.33% | +0.107 | 65.2% | +3.44% | +0.239 | 64.9% | +15.25% | 31 |
| 2023-02 | +0.129 | 57.7% | +1.23% | +0.153 | 59.9% | +5.09% | +0.238 | 74.5% | +12.01% | 28 |
| 2023-01 | +0.087 | 54.2% | +0.67% | +0.120 | 58.4% | +4.83% | +0.196 | 64.2% | +14.51% | 31 |
| 2022-12 | +0.097 | 59.1% | +1.25% | +0.133 | 67.4% | +5.45% | +0.110 | 76.9% | +14.93% | 31 |
| 2022-11 | +0.136 | 56.0% | +2.92% | +0.167 | 60.1% | +6.67% | +0.231 | 75.2% | +21.46% | 30 |
| 2022-10 | +0.119 | 57.0% | +1.17% | +0.183 | 60.7% | +4.38% | +0.192 | 70.1% | +11.03% | 31 |
| 2022-09 | +0.098 | 52.7% | +1.35% | +0.115 | 67.7% | +2.37% | +0.276 | 78.6% | +9.93% | 30 |
| 2022-08 | +0.124 | 57.1% | +0.93% | +0.157 | 55.2% | +3.01% | +0.084 | 62.7% | -4.60% | 31 |
| 2022-07 | +0.129 | 55.4% | +1.09% | +0.058 | 54.1% | +1.91% | +0.125 | 58.3% | +5.67% | 31 |
| 2022-06 | +0.093 | 56.9% | +1.51% | +0.132 | 60.8% | +2.59% | +0.171 | 50.6% | +7.49% | 30 |
| 2022-05 | +0.104 | 51.9% | +3.11% | +0.149 | 58.9% | +8.21% | +0.186 | 67.5% | +25.74% | 31 |
| 2022-04 | +0.134 | 62.6% | +1.70% | +0.196 | 73.3% | +4.46% | +0.239 | 92.4% | +15.98% | 30 |
| 2022-03 | +0.119 | 49.7% | +0.73% | +0.132 | 45.7% | +3.69% | +0.195 | 43.0% | +11.49% | 31 |
| 2022-02 | +0.119 | 57.3% | +1.40% | +0.183 | 68.5% | +5.89% | +0.295 | 66.0% | +21.87% | 28 |
| 2022-01 | +0.118 | 54.5% | +1.92% | +0.218 | 66.6% | +10.34% | +0.322 | 84.4% | +36.11% | 31 |
| 2021-12 | +0.087 | 52.8% | +0.32% | +0.101 | 36.9% | +4.67% | +0.351 | 72.8% | +33.29% | 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.