Accuracy — gru_s2
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 | +0.0796 | 10.9 | +1.08% | 55.0% | 54.3% | 0.0356 | 5.669118 |
| +7d | 265 | 178k | +0.0951 | 14.8 | +2.93% | 57.7% | 57.7% | 0.0941 | 16.216639 |
| +30d | 265 | 177k | +0.1239 | 20.9 | +8.50% | 59.2% | 62.9% | 0.2103 | 34.251133 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.082 | 56.8% | +1.16% | +0.062 | 59.8% | -0.94% | -0.018 | 46.3% | -6.96% | 28 |
| 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.