Accuracy — gru_s2
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 | +0.1118 | 41.8 | +1.84% | 56.9% | 55.1% | 0.0328 | 7.560885 |
| +7d | 1,752 | 777k | +0.1758 | 55.4 | +8.13% | 62.9% | 60.5% | 0.0858 | 20.421984 |
| +30d | 1,729 | 752k | +0.2587 | 71.3 | +26.82% | 68.5% | 64.9% | 0.1864 | 44.858235 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.064 | 57.1% | +2.25% | +0.062 | 68.8% | +7.80% | – | – | – | 20 |
| 2026-09 | +0.080 | 53.1% | +1.93% | +0.074 | 54.5% | +7.94% | +0.174 | 57.6% | +33.19% | 30 |
| 2026-08 | +0.067 | 53.7% | +0.99% | +0.088 | 54.3% | +4.03% | +0.147 | 62.4% | +15.44% | 31 |
| 2026-07 | +0.068 | 55.3% | +1.94% | +0.037 | 53.8% | +4.89% | +0.038 | 58.8% | +7.56% | 31 |
| 2026-06 | +0.055 | 55.5% | +1.41% | +0.049 | 58.7% | +4.43% | +0.071 | 66.6% | +18.33% | 30 |
| 2026-05 | +0.062 | 54.1% | +0.61% | +0.075 | 57.0% | +4.74% | -0.009 | 60.7% | +9.26% | 31 |
| 2026-04 | +0.063 | 56.8% | +1.17% | +0.040 | 52.9% | +2.11% | +0.057 | 54.7% | +10.61% | 30 |
| 2026-03 | +0.047 | 54.5% | +1.21% | +0.024 | 50.1% | +3.48% | +0.078 | 50.2% | +11.53% | 31 |
| 2026-02 | +0.051 | 50.8% | +0.64% | +0.068 | 55.1% | +2.86% | +0.034 | 55.5% | +7.73% | 28 |
| 2026-01 | +0.078 | 56.1% | +1.11% | +0.066 | 58.2% | -0.15% | -0.012 | 46.0% | -5.84% | 31 |
| 2025-12 | +0.032 | 53.0% | +1.01% | +0.057 | 57.8% | +3.30% | +0.036 | 56.1% | +3.94% | 31 |
| 2025-11 | +0.067 | 54.5% | +1.28% | +0.051 | 53.6% | +4.04% | +0.099 | 63.3% | +9.15% | 30 |
| 2025-10 | +0.079 | 56.3% | +1.06% | +0.078 | 53.5% | +2.47% | +0.154 | 58.8% | +16.98% | 31 |
| 2025-09 | +0.088 | 59.2% | +0.87% | +0.093 | 68.6% | +3.23% | +0.145 | 82.9% | +9.36% | 30 |
| 2025-08 | +0.069 | 50.3% | +0.63% | +0.060 | 50.4% | +1.68% | +0.098 | 58.1% | +6.46% | 31 |
| 2025-07 | +0.106 | 52.9% | +1.13% | +0.131 | 51.6% | +4.31% | +0.151 | 53.7% | +10.07% | 31 |
| 2025-06 | +0.078 | 56.3% | +1.02% | +0.127 | 61.7% | +2.75% | +0.191 | 60.4% | +11.12% | 30 |
| 2025-05 | +0.133 | 58.9% | +1.97% | +0.243 | 66.4% | +8.20% | +0.301 | 56.2% | +21.04% | 31 |
| 2025-04 | +0.111 | 56.0% | +1.89% | +0.236 | 60.1% | +11.77% | +0.383 | 67.9% | +44.36% | 30 |
| 2025-03 | +0.126 | 58.9% | +2.21% | +0.229 | 67.9% | +10.27% | +0.366 | 82.5% | +34.69% | 31 |
| 2025-02 | +0.130 | 60.5% | +2.68% | +0.265 | 66.7% | +11.22% | +0.289 | 64.3% | +26.84% | 28 |
| 2025-01 | +0.180 | 60.9% | +2.99% | +0.384 | 84.1% | +16.40% | +0.547 | 88.7% | +56.37% | 31 |
| 2024-12 | +0.185 | 66.8% | +2.93% | +0.317 | 71.7% | +13.97% | +0.533 | 86.3% | +53.63% | 31 |
| 2024-11 | +0.209 | 63.2% | +4.15% | +0.366 | 74.2% | +19.33% | +0.484 | 65.4% | +63.75% | 30 |
| 2024-10 | +0.134 | 60.1% | +1.66% | +0.233 | 71.3% | +7.02% | +0.434 | 80.7% | +48.84% | 31 |
| 2024-09 | +0.115 | 55.9% | +2.83% | +0.234 | 64.1% | +16.42% | +0.279 | 62.1% | +28.23% | 30 |
| 2024-08 | +0.104 | 53.6% | +3.77% | +0.174 | 53.5% | +22.94% | +0.226 | 55.8% | +61.57% | 31 |
| 2024-07 | +0.105 | 57.3% | +3.94% | +0.261 | 69.9% | +27.83% | +0.356 | 77.8% | +98.26% | 31 |
| 2024-06 | +0.151 | 62.9% | +4.11% | +0.295 | 79.8% | +21.14% | +0.347 | 79.3% | +83.28% | 30 |
| 2024-05 | +0.085 | 54.2% | +1.95% | +0.183 | 63.3% | +9.50% | +0.319 | 82.5% | +44.83% | 31 |
| 2024-04 | +0.163 | 63.2% | +3.02% | +0.347 | 75.2% | +17.48% | +0.363 | 76.7% | +27.14% | 27 |
| 2024-03 | +0.152 | 61.0% | +1.87% | +0.248 | 68.3% | +14.73% | +0.444 | 74.6% | +71.79% | 31 |
| 2024-02 | +0.120 | 56.0% | +2.07% | +0.185 | 60.7% | +13.48% | +0.324 | 59.6% | +50.83% | 29 |
| 2024-01 | +0.116 | 59.2% | +2.28% | +0.172 | 64.1% | +12.33% | +0.231 | 64.7% | +51.19% | 31 |
| 2023-12 | +0.141 | 58.0% | +1.43% | +0.214 | 66.3% | +11.28% | +0.270 | 62.5% | +35.19% | 31 |
| 2023-11 | +0.109 | 55.5% | +1.01% | +0.187 | 58.4% | +6.66% | +0.306 | 63.8% | +29.13% | 30 |
| 2023-10 | +0.137 | 60.2% | +1.48% | +0.196 | 73.2% | +6.15% | +0.231 | 61.7% | +16.64% | 31 |
| 2023-09 | +0.091 | 50.7% | +0.69% | +0.167 | 60.7% | +1.85% | +0.260 | 76.0% | +8.53% | 30 |
| 2023-08 | +0.119 | 57.5% | +1.02% | +0.128 | 55.6% | +2.01% | +0.233 | 65.7% | +11.78% | 29 |
| 2023-07 | +0.123 | 56.0% | +1.38% | +0.162 | 59.9% | +4.72% | +0.260 | 61.4% | +18.12% | 31 |
| 2023-06 | +0.109 | 57.1% | +1.20% | +0.174 | 66.4% | +4.27% | +0.284 | 66.9% | +12.52% | 30 |
| 2023-05 | +0.090 | 56.7% | +0.88% | +0.145 | 61.1% | +4.79% | +0.299 | 85.0% | +14.83% | 31 |
| 2023-04 | +0.125 | 60.2% | +0.78% | +0.183 | 62.6% | +3.09% | +0.356 | 83.8% | +19.90% | 30 |
| 2023-03 | +0.154 | 62.2% | +1.82% | +0.298 | 77.1% | +9.04% | +0.418 | 75.7% | +27.13% | 31 |
| 2023-02 | +0.165 | 59.6% | +2.07% | +0.267 | 67.7% | +9.79% | +0.387 | 85.1% | +21.30% | 28 |
| 2023-01 | +0.128 | 52.2% | +0.96% | +0.161 | 59.9% | +4.79% | +0.195 | 63.2% | +11.24% | 31 |
| 2022-12 | +0.083 | 58.8% | +1.08% | +0.168 | 69.1% | +4.67% | +0.203 | 73.8% | +14.10% | 31 |
| 2022-11 | +0.134 | 54.1% | +2.86% | +0.183 | 63.0% | +6.03% | +0.257 | 75.3% | +18.04% | 30 |
| 2022-10 | +0.094 | 54.3% | +1.80% | +0.154 | 59.4% | +4.48% | +0.183 | 68.3% | +12.92% | 31 |
| 2022-09 | +0.097 | 53.2% | +1.08% | +0.121 | 61.9% | +3.02% | +0.330 | 78.2% | +16.68% | 30 |
| 2022-08 | +0.127 | 56.5% | +1.09% | +0.182 | 55.8% | +3.87% | +0.188 | 63.1% | +8.80% | 31 |
| 2022-07 | +0.153 | 57.0% | +3.47% | +0.159 | 62.1% | +5.86% | +0.246 | 66.2% | +20.81% | 31 |
| 2022-06 | +0.135 | 57.3% | +2.54% | +0.270 | 68.1% | +15.76% | +0.464 | 72.8% | +34.77% | 30 |
| 2022-05 | +0.162 | 59.2% | +5.03% | +0.309 | 67.8% | +14.05% | +0.465 | 78.1% | +40.64% | 31 |
| 2022-04 | +0.153 | 63.8% | +2.14% | +0.273 | 74.4% | +9.74% | +0.401 | 93.0% | +36.69% | 30 |
| 2022-03 | +0.126 | 54.6% | +1.68% | +0.212 | 59.4% | +7.85% | +0.356 | 69.3% | +26.44% | 31 |
| 2022-02 | +0.110 | 53.6% | +0.77% | +0.130 | 58.7% | +3.58% | +0.251 | 68.4% | +19.69% | 28 |
| 2022-01 | +0.132 | 58.7% | +2.20% | +0.167 | 66.0% | +7.38% | +0.198 | 73.8% | +16.72% | 31 |
| 2021-12 | +0.124 | 53.4% | +1.48% | +0.207 | 52.7% | +7.72% | +0.335 | 69.7% | +21.75% | 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.