Accuracy — gru_s3
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 | +0.0645 | 16.9 | +0.99% | 55.5% | 54.1% | 0.0355 | 4.557834 |
| +7d | 524 | 408k | +0.0730 | 19.4 | +3.05% | 60.2% | 59.2% | 0.0933 | 12.665467 |
| +30d | 501 | 384k | +0.0988 | 25.9 | +9.51% | 60.9% | 62.4% | 0.2038 | 26.704565 |
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 | +0.112 | 59.5% | +1.16% | +0.218 | 67.8% | +5.34% | +0.323 | 68.8% | +19.75% | 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.