Accuracy — gru_s1
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 | +0.0937 | 39.0 | +1.34% | 56.3% | 53.8% | 0.0331 | 7.620488 |
| +7d | 1,752 | 777k | +0.1241 | 50.5 | +5.73% | 62.0% | 59.3% | 0.0878 | 20.512973 |
| +30d | 1,729 | 752k | +0.1666 | 65.9 | +18.84% | 67.1% | 63.0% | 0.1906 | 45.115698 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.071 | 57.7% | +1.39% | +0.088 | 71.8% | +6.96% | – | – | – | 20 |
| 2026-09 | +0.092 | 52.2% | +1.89% | +0.122 | 51.4% | +7.70% | +0.190 | 56.2% | +34.21% | 30 |
| 2026-08 | +0.050 | 55.8% | +0.92% | +0.075 | 58.5% | +3.53% | +0.128 | 62.0% | +14.23% | 31 |
| 2026-07 | +0.080 | 58.7% | +1.95% | +0.081 | 67.1% | +6.39% | +0.072 | 65.0% | +12.88% | 31 |
| 2026-06 | +0.055 | 53.8% | +1.68% | +0.045 | 56.7% | +3.43% | +0.103 | 68.0% | +15.22% | 30 |
| 2026-05 | +0.075 | 52.8% | +0.89% | +0.093 | 55.5% | +5.14% | +0.017 | 62.5% | +0.91% | 31 |
| 2026-04 | +0.082 | 57.9% | +1.38% | +0.056 | 60.4% | +2.41% | +0.088 | 57.1% | +9.47% | 30 |
| 2026-03 | +0.046 | 56.1% | +1.03% | +0.061 | 60.9% | +3.33% | +0.095 | 61.6% | +8.98% | 31 |
| 2026-02 | +0.053 | 52.6% | +0.76% | +0.076 | 57.4% | +4.53% | +0.058 | 63.1% | +12.67% | 28 |
| 2026-01 | +0.073 | 56.3% | +0.99% | +0.100 | 61.4% | +1.94% | +0.030 | 46.7% | +5.93% | 31 |
| 2025-12 | +0.045 | 55.3% | +1.10% | +0.062 | 57.7% | +3.73% | +0.051 | 61.6% | +6.88% | 31 |
| 2025-11 | +0.086 | 51.1% | +1.73% | +0.094 | 44.1% | +5.35% | +0.103 | 59.2% | +7.96% | 30 |
| 2025-10 | +0.067 | 59.1% | +0.95% | +0.057 | 65.7% | +0.20% | +0.136 | 46.0% | +14.77% | 31 |
| 2025-09 | +0.060 | 58.9% | +0.31% | +0.057 | 71.3% | +1.84% | +0.062 | 84.8% | +4.12% | 30 |
| 2025-08 | +0.077 | 49.9% | +0.43% | +0.077 | 49.4% | +1.93% | +0.106 | 58.0% | +4.48% | 31 |
| 2025-07 | +0.099 | 53.5% | +0.95% | +0.119 | 53.8% | +3.82% | +0.151 | 52.2% | +9.92% | 31 |
| 2025-06 | +0.089 | 59.8% | +0.98% | +0.123 | 74.1% | +2.63% | +0.176 | 64.2% | +12.11% | 30 |
| 2025-05 | +0.098 | 57.9% | +1.26% | +0.179 | 61.6% | +6.15% | +0.279 | 70.8% | +21.85% | 31 |
| 2025-04 | +0.063 | 56.3% | +0.69% | +0.089 | 59.6% | +3.60% | +0.121 | 61.0% | +10.08% | 30 |
| 2025-03 | +0.093 | 57.0% | +1.52% | +0.151 | 68.3% | +7.12% | +0.151 | 80.9% | +9.51% | 31 |
| 2025-02 | +0.097 | 54.2% | +1.94% | +0.147 | 52.2% | +7.88% | +0.183 | 70.5% | +15.98% | 28 |
| 2025-01 | +0.075 | 61.8% | +0.85% | +0.147 | 85.1% | +6.13% | +0.217 | 88.4% | +25.04% | 31 |
| 2024-12 | +0.121 | 60.3% | +1.51% | +0.154 | 65.2% | +7.33% | +0.267 | 85.9% | +29.85% | 31 |
| 2024-11 | +0.145 | 58.8% | +2.08% | +0.246 | 69.1% | +13.24% | +0.269 | 59.0% | +33.94% | 30 |
| 2024-10 | +0.113 | 61.0% | +1.19% | +0.170 | 73.7% | +3.89% | +0.339 | 77.2% | +34.13% | 31 |
| 2024-09 | +0.085 | 51.6% | +2.08% | +0.111 | 53.7% | +12.11% | +0.162 | 66.1% | +17.65% | 30 |
| 2024-08 | +0.092 | 54.5% | +3.39% | +0.139 | 55.6% | +20.23% | +0.138 | 50.1% | +49.53% | 31 |
| 2024-07 | +0.085 | 59.1% | +3.30% | +0.169 | 71.2% | +23.48% | +0.243 | 72.5% | +81.62% | 31 |
| 2024-06 | +0.086 | 60.7% | +3.07% | +0.114 | 69.9% | +14.79% | +0.185 | 77.7% | +70.94% | 30 |
| 2024-05 | +0.074 | 58.3% | +1.54% | +0.126 | 66.2% | +8.26% | +0.195 | 80.2% | +37.27% | 31 |
| 2024-04 | +0.116 | 58.5% | +2.53% | +0.175 | 66.5% | +11.25% | +0.115 | 79.5% | +9.76% | 27 |
| 2024-03 | +0.122 | 56.0% | +1.41% | +0.165 | 62.1% | +7.45% | +0.270 | 73.7% | +47.71% | 31 |
| 2024-02 | +0.110 | 55.8% | +1.37% | +0.211 | 60.4% | +12.12% | +0.321 | 57.6% | +44.22% | 29 |
| 2024-01 | +0.098 | 59.8% | +1.64% | +0.136 | 63.8% | +8.44% | +0.199 | 68.0% | +49.79% | 31 |
| 2023-12 | +0.115 | 53.0% | +0.06% | +0.118 | 54.5% | +3.67% | +0.138 | 58.6% | +23.13% | 31 |
| 2023-11 | +0.093 | 55.7% | -0.07% | +0.069 | 56.2% | -3.33% | +0.054 | 48.0% | -2.98% | 30 |
| 2023-10 | +0.107 | 57.2% | +0.79% | +0.125 | 71.3% | +4.56% | +0.068 | 53.2% | +4.56% | 31 |
| 2023-09 | +0.082 | 51.5% | +0.45% | +0.085 | 61.9% | +0.85% | +0.122 | 74.5% | +8.62% | 30 |
| 2023-08 | +0.082 | 56.7% | +0.82% | +0.104 | 61.1% | +2.61% | +0.069 | 66.3% | +3.36% | 29 |
| 2023-07 | +0.109 | 53.3% | +1.22% | +0.163 | 53.5% | +4.04% | +0.219 | 63.1% | +12.78% | 31 |
| 2023-06 | +0.122 | 59.8% | +1.23% | +0.178 | 73.4% | +4.97% | +0.283 | 70.7% | +18.91% | 30 |
| 2023-05 | +0.083 | 57.8% | +0.81% | +0.059 | 63.6% | +2.50% | +0.180 | 88.8% | +11.32% | 31 |
| 2023-04 | +0.086 | 57.5% | +0.65% | +0.095 | 67.7% | +1.81% | +0.144 | 77.8% | +9.43% | 30 |
| 2023-03 | +0.118 | 65.2% | +1.34% | +0.148 | 71.8% | +2.97% | +0.284 | 73.9% | +15.58% | 31 |
| 2023-02 | +0.135 | 58.7% | +1.09% | +0.218 | 61.0% | +5.92% | +0.320 | 85.0% | +18.39% | 28 |
| 2023-01 | +0.082 | 55.1% | +0.62% | +0.093 | 64.6% | +1.99% | +0.146 | 63.1% | +10.99% | 31 |
| 2022-12 | +0.076 | 59.7% | +0.93% | +0.083 | 69.7% | +3.80% | +0.051 | 74.8% | +7.89% | 31 |
| 2022-11 | +0.130 | 56.4% | +2.45% | +0.156 | 63.9% | +6.75% | +0.181 | 73.3% | +17.84% | 30 |
| 2022-10 | +0.109 | 56.8% | +1.37% | +0.132 | 60.5% | +3.55% | +0.084 | 68.3% | +5.35% | 31 |
| 2022-09 | +0.109 | 52.4% | +1.13% | +0.137 | 66.6% | +3.12% | +0.309 | 78.7% | +14.19% | 30 |
| 2022-08 | +0.128 | 55.2% | +1.15% | +0.171 | 55.6% | +2.52% | +0.164 | 63.4% | +2.37% | 31 |
| 2022-07 | +0.122 | 54.3% | +1.59% | +0.098 | 49.8% | +3.64% | +0.161 | 54.7% | +4.26% | 31 |
| 2022-06 | +0.081 | 57.9% | +1.35% | +0.108 | 61.2% | +5.21% | +0.139 | 56.5% | +7.21% | 30 |
| 2022-05 | +0.109 | 49.9% | +3.39% | +0.122 | 54.4% | +11.62% | +0.076 | 65.4% | +17.26% | 31 |
| 2022-04 | +0.135 | 61.9% | +2.10% | +0.188 | 74.2% | +5.36% | +0.226 | 92.9% | +40.43% | 30 |
| 2022-03 | +0.123 | 49.3% | +0.60% | +0.200 | 44.1% | +6.19% | +0.274 | 46.2% | +16.74% | 31 |
| 2022-02 | +0.114 | 56.4% | +0.96% | +0.180 | 64.7% | +6.07% | +0.278 | 58.8% | +20.68% | 28 |
| 2022-01 | +0.105 | 53.1% | +1.42% | +0.157 | 66.0% | +6.21% | +0.274 | 78.7% | +25.19% | 31 |
| 2021-12 | +0.109 | 50.8% | +0.95% | +0.115 | 41.5% | +4.50% | +0.302 | 71.4% | +23.14% | 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.