Accuracy — gru_s3
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 | +0.0905 | 35.5 | +1.25% | 56.4% | 54.1% | 0.0331 | 7.659618 |
| +7d | 1,752 | 777k | +0.1160 | 44.9 | +5.46% | 62.2% | 59.7% | 0.0877 | 20.622281 |
| +30d | 1,729 | 752k | +0.1659 | 65.2 | +18.50% | 66.7% | 63.2% | 0.1907 | 45.231295 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.045 | 57.1% | +0.79% | +0.048 | 70.9% | +6.18% | – | – | – | 20 |
| 2026-09 | +0.069 | 51.6% | +1.39% | +0.063 | 51.2% | +5.07% | +0.121 | 56.1% | +26.16% | 30 |
| 2026-08 | +0.053 | 55.3% | +1.10% | +0.071 | 57.3% | +4.84% | +0.134 | 62.3% | +15.07% | 31 |
| 2026-07 | +0.057 | 58.5% | +1.68% | +0.042 | 67.7% | +4.04% | +0.048 | 65.7% | +9.45% | 31 |
| 2026-06 | +0.047 | 54.5% | +1.33% | +0.039 | 58.4% | +3.39% | +0.081 | 67.9% | +14.01% | 30 |
| 2026-05 | +0.080 | 52.9% | +1.08% | +0.105 | 57.1% | +6.38% | +0.032 | 61.8% | +6.69% | 31 |
| 2026-04 | +0.064 | 57.7% | +1.25% | +0.034 | 59.2% | +2.21% | +0.071 | 55.8% | +10.27% | 30 |
| 2026-03 | +0.035 | 56.5% | +0.69% | +0.035 | 62.0% | +1.42% | +0.058 | 62.8% | +6.74% | 31 |
| 2026-02 | +0.051 | 52.4% | +0.72% | +0.079 | 60.5% | +4.70% | +0.069 | 63.3% | +9.30% | 28 |
| 2026-01 | +0.073 | 56.0% | +0.94% | +0.106 | 60.6% | +1.79% | +0.017 | 46.8% | -0.28% | 31 |
| 2025-12 | +0.038 | 56.5% | +1.05% | +0.052 | 60.2% | +3.25% | +0.071 | 61.7% | +5.47% | 31 |
| 2025-11 | +0.073 | 51.1% | +1.53% | +0.075 | 45.2% | +3.94% | +0.082 | 60.2% | +8.47% | 30 |
| 2025-10 | +0.059 | 59.2% | +0.62% | +0.050 | 65.6% | -0.01% | +0.156 | 46.1% | +14.68% | 31 |
| 2025-09 | +0.068 | 58.8% | +0.23% | +0.052 | 71.3% | +0.06% | +0.064 | 84.7% | +0.40% | 30 |
| 2025-08 | +0.074 | 49.8% | +0.47% | +0.071 | 49.8% | +1.24% | +0.124 | 58.3% | +7.51% | 31 |
| 2025-07 | +0.089 | 53.5% | +1.00% | +0.109 | 53.8% | +2.80% | +0.120 | 51.9% | +6.61% | 31 |
| 2025-06 | +0.078 | 59.4% | +0.74% | +0.086 | 72.3% | +0.72% | +0.170 | 61.9% | +9.20% | 30 |
| 2025-05 | +0.109 | 59.4% | +1.10% | +0.202 | 64.2% | +5.90% | +0.306 | 65.3% | +21.13% | 31 |
| 2025-04 | +0.071 | 56.0% | +0.75% | +0.116 | 60.2% | +4.23% | +0.168 | 61.3% | +15.86% | 30 |
| 2025-03 | +0.087 | 57.7% | +1.44% | +0.154 | 68.7% | +7.37% | +0.172 | 80.8% | +15.69% | 31 |
| 2025-02 | +0.085 | 53.7% | +1.67% | +0.166 | 54.9% | +9.71% | +0.194 | 70.1% | +18.53% | 28 |
| 2025-01 | +0.078 | 61.8% | +0.66% | +0.113 | 84.7% | +3.61% | +0.243 | 87.4% | +29.10% | 31 |
| 2024-12 | +0.114 | 61.6% | +1.31% | +0.185 | 67.4% | +7.00% | +0.254 | 85.7% | +25.11% | 31 |
| 2024-11 | +0.141 | 58.7% | +1.48% | +0.235 | 65.6% | +10.87% | +0.315 | 63.3% | +38.48% | 30 |
| 2024-10 | +0.114 | 60.6% | +0.96% | +0.171 | 70.9% | +3.42% | +0.368 | 77.1% | +39.73% | 31 |
| 2024-09 | +0.095 | 51.5% | +2.02% | +0.119 | 53.8% | +11.86% | +0.189 | 65.9% | +15.66% | 30 |
| 2024-08 | +0.098 | 54.7% | +3.48% | +0.150 | 56.1% | +20.59% | +0.127 | 51.3% | +49.77% | 31 |
| 2024-07 | +0.097 | 58.7% | +3.45% | +0.190 | 70.4% | +23.66% | +0.257 | 75.9% | +88.19% | 31 |
| 2024-06 | +0.094 | 60.7% | +3.44% | +0.135 | 70.4% | +17.58% | +0.212 | 76.1% | +70.58% | 30 |
| 2024-05 | +0.074 | 58.3% | +1.44% | +0.118 | 66.1% | +7.53% | +0.213 | 81.9% | +33.93% | 31 |
| 2024-04 | +0.114 | 58.5% | +2.62% | +0.165 | 69.9% | +9.85% | +0.187 | 79.6% | +13.41% | 27 |
| 2024-03 | +0.094 | 57.0% | +0.89% | +0.109 | 63.2% | +7.90% | +0.191 | 70.9% | +44.25% | 31 |
| 2024-02 | +0.106 | 56.7% | +0.95% | +0.187 | 60.6% | +12.42% | +0.272 | 57.8% | +36.29% | 29 |
| 2024-01 | +0.099 | 59.7% | +1.43% | +0.122 | 64.6% | +6.53% | +0.151 | 66.9% | +34.06% | 31 |
| 2023-12 | +0.107 | 55.0% | +0.17% | +0.117 | 58.6% | +3.74% | +0.114 | 55.5% | +13.33% | 31 |
| 2023-11 | +0.097 | 55.8% | +0.10% | +0.071 | 56.1% | -0.89% | +0.033 | 46.5% | +2.54% | 30 |
| 2023-10 | +0.116 | 58.9% | +1.02% | +0.159 | 73.0% | +5.62% | +0.182 | 59.7% | +18.33% | 31 |
| 2023-09 | +0.089 | 51.6% | +0.66% | +0.092 | 61.6% | +1.24% | +0.162 | 73.7% | +7.72% | 30 |
| 2023-08 | +0.095 | 56.4% | +0.88% | +0.102 | 61.2% | +1.17% | +0.113 | 66.8% | +4.37% | 29 |
| 2023-07 | +0.126 | 54.1% | +1.39% | +0.176 | 57.1% | +4.72% | +0.258 | 63.9% | +20.40% | 31 |
| 2023-06 | +0.117 | 59.8% | +1.16% | +0.166 | 73.3% | +3.70% | +0.267 | 70.2% | +15.32% | 30 |
| 2023-05 | +0.091 | 57.9% | +0.97% | +0.071 | 63.7% | +2.73% | +0.168 | 88.1% | +12.50% | 31 |
| 2023-04 | +0.080 | 55.6% | +0.68% | +0.081 | 64.4% | +2.31% | +0.109 | 70.6% | +9.74% | 30 |
| 2023-03 | +0.110 | 63.0% | +1.31% | +0.133 | 67.2% | +3.29% | +0.274 | 66.2% | +13.55% | 31 |
| 2023-02 | +0.137 | 59.3% | +0.87% | +0.216 | 62.5% | +6.09% | +0.338 | 85.4% | +17.54% | 28 |
| 2023-01 | +0.108 | 53.4% | +0.58% | +0.124 | 61.0% | +2.47% | +0.136 | 63.3% | +9.16% | 31 |
| 2022-12 | +0.066 | 59.6% | +0.84% | +0.057 | 70.1% | +1.90% | +0.049 | 76.6% | +2.13% | 31 |
| 2022-11 | +0.124 | 56.1% | +2.51% | +0.120 | 60.5% | +4.42% | +0.173 | 73.9% | +11.58% | 30 |
| 2022-10 | +0.095 | 56.8% | +1.52% | +0.104 | 60.4% | +4.16% | +0.114 | 68.7% | +6.21% | 31 |
| 2022-09 | +0.105 | 52.8% | +1.34% | +0.130 | 67.4% | +5.43% | +0.293 | 78.3% | +15.61% | 30 |
| 2022-08 | +0.113 | 55.8% | +0.84% | +0.139 | 55.0% | +4.28% | +0.103 | 62.7% | +3.14% | 31 |
| 2022-07 | +0.113 | 55.1% | +0.96% | +0.056 | 51.2% | +1.50% | +0.109 | 48.2% | +3.74% | 31 |
| 2022-06 | +0.075 | 56.2% | +0.33% | +0.104 | 52.3% | +3.98% | +0.118 | 52.3% | +9.20% | 30 |
| 2022-05 | +0.115 | 52.8% | +4.68% | +0.124 | 61.8% | +14.74% | +0.151 | 66.8% | +29.53% | 31 |
| 2022-04 | +0.116 | 62.3% | +1.09% | +0.162 | 74.0% | +3.23% | +0.204 | 92.6% | +38.80% | 30 |
| 2022-03 | +0.132 | 49.3% | +1.23% | +0.186 | 44.3% | +7.73% | +0.242 | 44.6% | +16.83% | 31 |
| 2022-02 | +0.094 | 57.3% | +0.74% | +0.133 | 70.0% | +4.46% | +0.242 | 64.6% | +18.15% | 28 |
| 2022-01 | +0.087 | 53.9% | +1.02% | +0.104 | 65.5% | +3.03% | +0.214 | 76.3% | +16.02% | 31 |
| 2021-12 | +0.114 | 52.4% | +1.13% | +0.188 | 37.0% | +7.97% | +0.320 | 72.9% | +23.72% | 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.