Accuracy — gru_s4
val + test · 2.3M
Summary
| horizon | days | token-days | rank IC | t | LS decile | hit (alpha) | hit (price) | MAE (alpha) | MAE (price) |
|---|---|---|---|---|---|---|---|---|---|
| +1d | 530 | 414k | +0.0699 | 19.1 | +1.07% | 55.5% | 54.1% | 0.0354 | 4.523569 |
| +7d | 524 | 407k | +0.0831 | 24.5 | +4.04% | 60.6% | 59.4% | 0.0931 | 12.794399 |
| +30d | 501 | 383k | +0.1091 | 28.1 | +12.36% | 62.7% | 64.2% | 0.2030 | 26.876346 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.055 | 57.5% | +1.15% | +0.084 | 71.9% | +8.52% | – | – | – | 21 |
| 2026-09 | +0.085 | 51.7% | +1.71% | +0.111 | 50.9% | +8.94% | +0.202 | 53.2% | +35.12% | 30 |
| 2026-08 | +0.056 | 55.8% | +1.11% | +0.088 | 59.1% | +5.31% | +0.164 | 60.0% | +22.89% | 31 |
| 2026-07 | +0.061 | 58.4% | +1.63% | +0.066 | 67.8% | +4.93% | +0.080 | 69.2% | +13.79% | 31 |
| 2026-06 | +0.055 | 54.6% | +1.37% | +0.049 | 58.7% | +3.31% | +0.096 | 70.5% | +14.53% | 30 |
| 2026-05 | +0.080 | 52.9% | +0.89% | +0.109 | 55.8% | +5.66% | +0.024 | 64.6% | +5.23% | 31 |
| 2026-04 | +0.079 | 57.8% | +1.42% | +0.053 | 60.4% | +3.05% | +0.069 | 57.6% | +8.83% | 30 |
| 2026-03 | +0.047 | 56.1% | +0.97% | +0.057 | 62.1% | +3.58% | +0.064 | 66.5% | +8.89% | 31 |
| 2026-02 | +0.059 | 52.7% | +0.70% | +0.088 | 60.8% | +5.13% | +0.079 | 67.6% | +13.08% | 28 |
| 2026-01 | +0.082 | 56.2% | +1.18% | +0.117 | 61.0% | +4.74% | +0.046 | 47.1% | +14.88% | 31 |
| 2025-12 | +0.043 | 55.5% | +0.92% | +0.054 | 60.3% | +3.33% | +0.052 | 63.1% | +2.69% | 31 |
| 2025-11 | +0.073 | 51.4% | +1.43% | +0.072 | 45.7% | +3.42% | +0.087 | 62.0% | +10.71% | 30 |
| 2025-10 | +0.059 | 58.6% | +1.03% | +0.063 | 65.9% | +2.63% | +0.157 | 45.8% | +17.33% | 31 |
| 2025-09 | +0.082 | 58.9% | +0.69% | +0.087 | 71.4% | +3.42% | +0.103 | 85.1% | +7.35% | 30 |
| 2025-08 | +0.073 | 49.8% | +0.41% | +0.063 | 49.9% | +1.22% | +0.099 | 58.0% | +7.32% | 31 |
| 2025-07 | +0.089 | 53.5% | +0.84% | +0.093 | 53.6% | +2.26% | +0.139 | 51.3% | +6.49% | 31 |
| 2025-06 | +0.079 | 59.1% | +0.68% | +0.090 | 72.6% | +0.71% | +0.158 | 64.3% | +7.40% | 30 |
| 2025-05 | +0.108 | 60.3% | +1.19% | +0.181 | 71.9% | +5.25% | +0.320 | 84.3% | +22.98% | 22 |
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.