Accuracy — gru_s4
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 | +0.0806 | 33.5 | +1.26% | 53.8% | 53.3% | 0.0333 | 7.612172 |
| +7d | 1,752 | 777k | +0.1102 | 43.9 | +5.32% | 60.7% | 58.9% | 0.0881 | 20.687516 |
| +30d | 1,729 | 752k | +0.1609 | 66.4 | +18.39% | 64.1% | 60.7% | 0.1930 | 45.474580 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.051 | 56.6% | +1.03% | +0.080 | 70.5% | +5.85% | – | – | – | 20 |
| 2026-09 | +0.067 | 51.7% | +1.77% | +0.080 | 51.4% | +6.51% | +0.190 | 56.6% | +35.31% | 30 |
| 2026-08 | +0.048 | 53.9% | +0.78% | +0.070 | 57.3% | +3.85% | +0.136 | 62.7% | +17.65% | 31 |
| 2026-07 | +0.042 | 51.6% | +1.45% | +0.024 | 62.1% | +4.37% | +0.033 | 60.1% | +11.76% | 31 |
| 2026-06 | +0.036 | 48.1% | +0.95% | +0.028 | 52.6% | +2.40% | +0.064 | 56.1% | +15.73% | 30 |
| 2026-05 | +0.071 | 53.4% | +1.00% | +0.090 | 56.3% | +5.30% | +0.007 | 62.6% | +8.29% | 31 |
| 2026-04 | +0.066 | 56.7% | +0.93% | +0.054 | 60.2% | +2.34% | +0.074 | 56.4% | +7.83% | 30 |
| 2026-03 | +0.028 | 49.7% | +0.62% | +0.031 | 57.2% | +2.10% | +0.070 | 54.6% | +10.55% | 31 |
| 2026-02 | +0.033 | 49.8% | +0.67% | +0.064 | 49.7% | +4.25% | +0.062 | 46.0% | +12.72% | 28 |
| 2026-01 | +0.068 | 55.8% | +0.85% | +0.083 | 61.3% | +1.47% | -0.001 | 46.6% | +7.04% | 31 |
| 2025-12 | +0.037 | 48.9% | +1.05% | +0.056 | 53.2% | +4.09% | +0.052 | 55.0% | +4.20% | 31 |
| 2025-11 | +0.071 | 52.1% | +1.71% | +0.095 | 44.0% | +4.36% | +0.108 | 49.8% | +13.31% | 30 |
| 2025-10 | +0.054 | 53.6% | +0.57% | +0.057 | 65.0% | +0.77% | +0.176 | 49.6% | +19.19% | 31 |
| 2025-09 | +0.064 | 58.1% | +0.52% | +0.055 | 71.2% | +2.35% | +0.049 | 84.6% | +4.46% | 30 |
| 2025-08 | +0.059 | 49.4% | +0.41% | +0.079 | 49.2% | +1.77% | +0.134 | 57.9% | +6.87% | 31 |
| 2025-07 | +0.089 | 53.4% | +1.02% | +0.113 | 53.7% | +3.88% | +0.136 | 51.1% | +8.23% | 31 |
| 2025-06 | +0.076 | 57.9% | +0.72% | +0.088 | 71.6% | +0.88% | +0.151 | 62.4% | +5.16% | 30 |
| 2025-05 | +0.101 | 56.6% | +1.17% | +0.159 | 60.5% | +5.42% | +0.272 | 69.5% | +20.50% | 31 |
| 2025-04 | +0.065 | 51.1% | +0.78% | +0.115 | 59.0% | +4.00% | +0.150 | 62.2% | +14.61% | 30 |
| 2025-03 | +0.059 | 48.5% | +1.38% | +0.107 | 63.1% | +6.25% | +0.116 | 61.3% | +10.34% | 31 |
| 2025-02 | +0.072 | 53.8% | +1.89% | +0.136 | 53.9% | +9.62% | +0.133 | 64.8% | +16.45% | 28 |
| 2025-01 | +0.089 | 61.2% | +0.77% | +0.125 | 84.5% | +4.88% | +0.233 | 88.2% | +23.55% | 31 |
| 2024-12 | +0.110 | 61.9% | +1.58% | +0.183 | 68.0% | +7.02% | +0.235 | 85.5% | +22.38% | 31 |
| 2024-11 | +0.115 | 58.7% | +1.55% | +0.181 | 67.3% | +10.37% | +0.290 | 58.9% | +41.42% | 30 |
| 2024-10 | +0.114 | 59.7% | +1.06% | +0.183 | 72.9% | +4.31% | +0.353 | 77.1% | +41.59% | 31 |
| 2024-09 | +0.080 | 53.0% | +1.96% | +0.105 | 53.8% | +11.86% | +0.189 | 67.6% | +19.74% | 30 |
| 2024-08 | +0.080 | 53.6% | +3.27% | +0.116 | 57.5% | +19.36% | +0.112 | 51.7% | +46.84% | 31 |
| 2024-07 | +0.082 | 53.4% | +3.44% | +0.161 | 68.7% | +23.51% | +0.204 | 63.0% | +83.68% | 31 |
| 2024-06 | +0.097 | 58.9% | +3.54% | +0.130 | 69.4% | +16.77% | +0.159 | 76.9% | +70.13% | 30 |
| 2024-05 | +0.068 | 51.4% | +1.45% | +0.111 | 64.7% | +7.87% | +0.199 | 77.8% | +33.60% | 31 |
| 2024-04 | +0.127 | 59.1% | +2.41% | +0.180 | 68.6% | +11.74% | +0.180 | 79.5% | +15.42% | 27 |
| 2024-03 | +0.093 | 56.1% | +1.32% | +0.110 | 63.1% | +5.82% | +0.271 | 71.3% | +44.13% | 31 |
| 2024-02 | +0.096 | 55.2% | +1.59% | +0.159 | 59.7% | +11.88% | +0.278 | 57.3% | +38.40% | 29 |
| 2024-01 | +0.092 | 57.8% | +1.22% | +0.112 | 63.6% | +5.62% | +0.165 | 67.4% | +31.07% | 31 |
| 2023-12 | +0.111 | 54.8% | +0.74% | +0.122 | 57.8% | +6.27% | +0.145 | 57.1% | +16.39% | 31 |
| 2023-11 | +0.067 | 54.5% | +0.03% | +0.036 | 55.5% | -1.88% | +0.043 | 47.4% | +2.99% | 30 |
| 2023-10 | +0.100 | 57.2% | +0.99% | +0.140 | 72.3% | +5.34% | +0.126 | 55.1% | +8.25% | 31 |
| 2023-09 | +0.078 | 52.0% | +0.58% | +0.087 | 61.3% | +0.11% | +0.122 | 70.2% | +5.37% | 30 |
| 2023-08 | +0.079 | 55.3% | +1.10% | +0.109 | 60.8% | +3.18% | +0.093 | 65.9% | +4.53% | 29 |
| 2023-07 | +0.094 | 54.5% | +1.07% | +0.127 | 54.1% | +3.80% | +0.179 | 60.4% | +20.12% | 31 |
| 2023-06 | +0.088 | 51.6% | +1.12% | +0.142 | 70.0% | +4.46% | +0.214 | 67.7% | +13.33% | 30 |
| 2023-05 | +0.080 | 55.2% | +0.93% | +0.073 | 63.2% | +3.42% | +0.151 | 87.5% | +13.06% | 31 |
| 2023-04 | +0.073 | 51.1% | +0.55% | +0.102 | 62.7% | +1.92% | +0.142 | 69.9% | +10.82% | 30 |
| 2023-03 | +0.107 | 58.7% | +1.38% | +0.125 | 66.2% | +2.85% | +0.268 | 67.3% | +12.61% | 31 |
| 2023-02 | +0.108 | 55.7% | +0.96% | +0.178 | 59.4% | +4.22% | +0.296 | 85.2% | +15.15% | 28 |
| 2023-01 | +0.074 | 51.8% | +0.37% | +0.092 | 62.1% | +2.15% | +0.186 | 64.1% | +10.59% | 31 |
| 2022-12 | +0.072 | 52.4% | +0.88% | +0.126 | 66.4% | +2.23% | +0.137 | 70.9% | +12.39% | 31 |
| 2022-11 | +0.111 | 53.1% | +2.46% | +0.144 | 63.6% | +5.64% | +0.203 | 62.2% | +15.10% | 30 |
| 2022-10 | +0.078 | 52.2% | +1.01% | +0.117 | 60.6% | +4.43% | +0.108 | 68.5% | +12.33% | 31 |
| 2022-09 | +0.081 | 53.2% | +1.23% | +0.133 | 64.1% | +3.58% | +0.312 | 74.3% | +15.54% | 30 |
| 2022-08 | +0.122 | 55.8% | +0.71% | +0.146 | 55.9% | +1.50% | +0.147 | 62.1% | +4.75% | 31 |
| 2022-07 | +0.096 | 49.7% | +1.52% | +0.058 | 44.6% | +1.63% | +0.117 | 56.0% | +5.78% | 31 |
| 2022-06 | +0.069 | 55.0% | +0.74% | +0.138 | 63.1% | +6.11% | +0.194 | 61.7% | +8.53% | 30 |
| 2022-05 | +0.097 | 47.6% | +3.65% | +0.111 | 49.2% | +6.67% | +0.152 | 71.7% | +10.68% | 31 |
| 2022-04 | +0.132 | 59.2% | +1.47% | +0.196 | 73.4% | +3.98% | +0.236 | 92.7% | +19.69% | 30 |
| 2022-03 | +0.114 | 50.2% | +1.47% | +0.175 | 44.7% | +8.48% | +0.241 | 46.4% | +19.28% | 31 |
| 2022-02 | +0.061 | 48.5% | +0.85% | +0.075 | 56.6% | +2.96% | +0.188 | 50.0% | +14.27% | 28 |
| 2022-01 | +0.075 | 45.8% | +1.12% | +0.099 | 56.6% | +3.93% | +0.167 | 52.0% | +20.04% | 31 |
| 2021-12 | +0.087 | 49.9% | +1.12% | +0.165 | 52.6% | +6.36% | +0.280 | 57.6% | +18.48% | 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.