Accuracy — gru_s5
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 | +0.0921 | 37.8 | +1.26% | 56.4% | 53.9% | 0.0331 | 7.659924 |
| +7d | 1,752 | 777k | +0.1196 | 48.8 | +5.44% | 62.3% | 58.7% | 0.0875 | 20.744546 |
| +30d | 1,729 | 752k | +0.1696 | 70.0 | +18.55% | 67.9% | 63.3% | 0.1908 | 45.577251 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.052 | 57.4% | +1.25% | +0.054 | 71.7% | +5.76% | – | – | – | 20 |
| 2026-09 | +0.077 | 51.7% | +1.41% | +0.092 | 50.6% | +5.24% | +0.166 | 52.5% | +27.85% | 30 |
| 2026-08 | +0.054 | 56.0% | +1.01% | +0.077 | 58.9% | +3.70% | +0.135 | 59.4% | +13.06% | 31 |
| 2026-07 | +0.056 | 58.3% | +1.51% | +0.060 | 67.7% | +4.08% | +0.074 | 69.0% | +8.97% | 31 |
| 2026-06 | +0.057 | 55.0% | +1.45% | +0.055 | 59.0% | +3.06% | +0.094 | 71.1% | +11.43% | 30 |
| 2026-05 | +0.073 | 52.8% | +0.81% | +0.087 | 55.6% | +4.51% | +0.031 | 64.8% | +3.14% | 31 |
| 2026-04 | +0.066 | 57.9% | +1.19% | +0.037 | 60.6% | +2.46% | +0.069 | 57.6% | +6.52% | 30 |
| 2026-03 | +0.047 | 56.3% | +0.84% | +0.054 | 62.3% | +2.67% | +0.069 | 66.3% | +9.09% | 31 |
| 2026-02 | +0.060 | 51.6% | +0.48% | +0.086 | 59.4% | +3.79% | +0.069 | 68.6% | +8.25% | 28 |
| 2026-01 | +0.075 | 56.1% | +0.73% | +0.098 | 60.7% | +2.12% | +0.007 | 47.0% | +4.55% | 31 |
| 2025-12 | +0.049 | 56.2% | +0.94% | +0.048 | 60.3% | +3.28% | +0.036 | 64.1% | +2.63% | 31 |
| 2025-11 | +0.084 | 51.4% | +1.49% | +0.096 | 45.8% | +4.28% | +0.092 | 63.1% | +8.84% | 30 |
| 2025-10 | +0.064 | 59.2% | +0.67% | +0.061 | 66.3% | +1.08% | +0.146 | 45.3% | +17.72% | 31 |
| 2025-09 | +0.069 | 58.9% | +0.44% | +0.076 | 71.3% | +1.84% | +0.105 | 85.1% | +5.92% | 30 |
| 2025-08 | +0.062 | 49.8% | +0.43% | +0.052 | 49.3% | +0.70% | +0.099 | 58.0% | +2.42% | 31 |
| 2025-07 | +0.081 | 53.5% | +0.94% | +0.098 | 53.8% | +2.35% | +0.116 | 51.3% | +2.89% | 31 |
| 2025-06 | +0.081 | 59.6% | +0.83% | +0.097 | 74.1% | +1.70% | +0.142 | 64.2% | +8.20% | 30 |
| 2025-05 | +0.098 | 58.9% | +1.03% | +0.157 | 66.6% | +6.28% | +0.258 | 82.2% | +22.50% | 31 |
| 2025-04 | +0.063 | 56.2% | +0.63% | +0.093 | 60.9% | +2.76% | +0.103 | 63.3% | +10.72% | 30 |
| 2025-03 | +0.089 | 57.9% | +1.75% | +0.152 | 68.4% | +7.35% | +0.169 | 83.0% | +14.34% | 31 |
| 2025-02 | +0.086 | 53.5% | +1.43% | +0.162 | 54.0% | +8.44% | +0.220 | 71.1% | +16.39% | 28 |
| 2025-01 | +0.085 | 61.8% | +0.60% | +0.135 | 85.0% | +4.96% | +0.226 | 88.6% | +27.20% | 31 |
| 2024-12 | +0.109 | 61.7% | +1.29% | +0.160 | 66.6% | +6.53% | +0.266 | 86.4% | +30.37% | 31 |
| 2024-11 | +0.133 | 59.2% | +2.02% | +0.259 | 70.3% | +14.06% | +0.265 | 56.3% | +37.34% | 30 |
| 2024-10 | +0.111 | 60.8% | +0.95% | +0.178 | 74.2% | +5.42% | +0.339 | 77.9% | +36.65% | 31 |
| 2024-09 | +0.090 | 51.5% | +2.02% | +0.132 | 53.9% | +11.51% | +0.212 | 67.3% | +19.03% | 30 |
| 2024-08 | +0.093 | 54.9% | +3.22% | +0.153 | 55.8% | +21.11% | +0.160 | 50.8% | +51.97% | 31 |
| 2024-07 | +0.095 | 58.5% | +3.76% | +0.179 | 70.5% | +24.07% | +0.285 | 78.0% | +91.46% | 31 |
| 2024-06 | +0.105 | 60.7% | +3.87% | +0.165 | 70.1% | +17.92% | +0.252 | 78.6% | +74.11% | 30 |
| 2024-05 | +0.085 | 58.2% | +1.56% | +0.141 | 66.1% | +8.42% | +0.227 | 83.5% | +39.31% | 31 |
| 2024-04 | +0.127 | 58.2% | +2.64% | +0.183 | 67.6% | +10.36% | +0.216 | 79.7% | +13.83% | 27 |
| 2024-03 | +0.108 | 57.3% | +1.37% | +0.132 | 64.1% | +7.00% | +0.251 | 75.2% | +44.90% | 31 |
| 2024-02 | +0.100 | 56.5% | +1.32% | +0.187 | 58.3% | +13.09% | +0.284 | 53.5% | +39.02% | 29 |
| 2024-01 | +0.101 | 59.7% | +1.59% | +0.139 | 63.7% | +7.34% | +0.179 | 68.1% | +45.16% | 31 |
| 2023-12 | +0.096 | 53.5% | +0.11% | +0.071 | 54.7% | +3.08% | +0.105 | 58.2% | +14.82% | 31 |
| 2023-11 | +0.096 | 55.8% | +0.04% | +0.055 | 55.3% | +0.08% | +0.085 | 45.2% | +4.33% | 30 |
| 2023-10 | +0.118 | 56.9% | +1.14% | +0.138 | 68.3% | +5.04% | +0.150 | 51.6% | +16.26% | 31 |
| 2023-09 | +0.075 | 51.5% | +0.79% | +0.090 | 61.9% | +0.55% | +0.133 | 76.2% | +5.45% | 30 |
| 2023-08 | +0.084 | 56.4% | +0.89% | +0.097 | 61.4% | +1.90% | +0.095 | 66.6% | +2.28% | 29 |
| 2023-07 | +0.133 | 53.7% | +1.45% | +0.168 | 51.3% | +4.83% | +0.234 | 59.9% | +24.31% | 31 |
| 2023-06 | +0.117 | 59.9% | +1.12% | +0.184 | 72.7% | +5.44% | +0.306 | 64.0% | +19.19% | 30 |
| 2023-05 | +0.087 | 58.0% | +0.72% | +0.064 | 63.6% | +3.04% | +0.170 | 88.8% | +13.81% | 31 |
| 2023-04 | +0.093 | 56.9% | +0.85% | +0.095 | 69.1% | +2.50% | +0.098 | 83.9% | +6.36% | 30 |
| 2023-03 | +0.119 | 64.4% | +1.36% | +0.135 | 73.0% | +3.09% | +0.273 | 78.3% | +18.73% | 31 |
| 2023-02 | +0.121 | 58.7% | +1.26% | +0.129 | 61.5% | +4.71% | +0.227 | 86.0% | +10.26% | 28 |
| 2023-01 | +0.093 | 55.3% | +0.02% | +0.085 | 66.3% | +1.79% | +0.130 | 59.7% | +11.11% | 31 |
| 2022-12 | +0.090 | 59.5% | +1.04% | +0.108 | 70.0% | +3.18% | +0.086 | 80.5% | +11.02% | 31 |
| 2022-11 | +0.130 | 55.9% | +2.29% | +0.197 | 59.7% | +5.03% | +0.298 | 76.6% | +22.27% | 30 |
| 2022-10 | +0.116 | 56.8% | +1.30% | +0.155 | 60.4% | +4.86% | +0.191 | 70.5% | +10.70% | 31 |
| 2022-09 | +0.110 | 52.8% | +1.41% | +0.143 | 67.5% | +3.93% | +0.296 | 78.5% | +13.43% | 30 |
| 2022-08 | +0.123 | 55.9% | +0.55% | +0.169 | 54.3% | +2.19% | +0.137 | 62.6% | -1.05% | 31 |
| 2022-07 | +0.121 | 54.4% | +1.30% | +0.075 | 50.5% | +2.42% | +0.143 | 44.4% | +6.49% | 31 |
| 2022-06 | +0.076 | 54.5% | +0.98% | +0.111 | 51.8% | +6.59% | +0.168 | 50.3% | +8.65% | 30 |
| 2022-05 | +0.114 | 52.8% | +3.35% | +0.121 | 61.5% | +8.05% | +0.156 | 66.7% | +22.77% | 31 |
| 2022-04 | +0.118 | 61.7% | +0.84% | +0.162 | 73.7% | +1.74% | +0.201 | 93.1% | +24.84% | 30 |
| 2022-03 | +0.134 | 49.4% | +1.04% | +0.183 | 44.1% | +5.97% | +0.206 | 44.8% | +13.89% | 31 |
| 2022-02 | +0.106 | 57.2% | +0.95% | +0.142 | 70.2% | +4.10% | +0.225 | 68.7% | +13.52% | 28 |
| 2022-01 | +0.083 | 54.2% | +0.88% | +0.117 | 65.5% | +3.89% | +0.185 | 83.1% | +11.55% | 31 |
| 2021-12 | +0.094 | 52.2% | +0.93% | +0.121 | 36.7% | +4.19% | +0.245 | 73.2% | +15.15% | 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.