Accuracy — gru_s4
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 | +0.0585 | 16.2 | +0.96% | 53.0% | 51.8% | 0.0357 | 4.493706 |
| +7d | 524 | 408k | +0.0724 | 20.5 | +3.38% | 58.0% | 57.0% | 0.0938 | 12.651336 |
| +30d | 501 | 384k | +0.0979 | 23.9 | +11.75% | 57.6% | 59.4% | 0.2059 | 26.851213 |
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 | +0.102 | 55.1% | +1.31% | +0.190 | 66.3% | +6.47% | +0.300 | 70.5% | +21.24% | 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.