Accuracy — gru_s0
validation only · 2.3M
Summary
| horizon | days | token-days | rank IC | t | LS decile | hit (alpha) | hit (price) | MAE (alpha) | MAE (price) |
|---|---|---|---|---|---|---|---|---|---|
| +1d | 265 | 179k | +0.0806 | 14.2 | +0.86% | 55.6% | 54.5% | 0.0356 | 5.758750 |
| +7d | 265 | 178k | +0.1011 | 18.8 | +2.94% | 58.4% | 58.8% | 0.0943 | 16.266032 |
| +30d | 265 | 177k | +0.1212 | 25.4 | +9.37% | 58.2% | 66.2% | 0.2109 | 32.855225 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.090 | 56.2% | +1.16% | +0.107 | 63.3% | +3.27% | +0.036 | 47.8% | +14.81% | 28 |
| 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 | 56.0% | +1.25% | +0.187 | 41.8% | +4.35% | +0.255 | 44.9% | +18.19% | 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.