Accuracy — gru_s2
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 | +0.0706 | 16.5 | +1.20% | 54.7% | 54.1% | 0.0355 | 4.454165 |
| +7d | 524 | 408k | +0.0765 | 19.1 | +3.72% | 56.4% | 56.5% | 0.0942 | 12.449250 |
| +30d | 501 | 384k | +0.0984 | 24.9 | +10.79% | 58.7% | 59.7% | 0.2064 | 26.786676 |
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 | +0.127 | 56.9% | +1.73% | +0.226 | 64.2% | +5.94% | +0.290 | 50.6% | +17.22% | 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.