Accuracy — gru_s5
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 | +0.0665 | 18.8 | +0.97% | 55.6% | 54.2% | 0.0355 | 4.545321 |
| +7d | 524 | 408k | +0.0773 | 23.7 | +3.16% | 60.8% | 59.6% | 0.0931 | 12.730103 |
| +30d | 501 | 384k | +0.0973 | 28.6 | +9.12% | 62.8% | 64.4% | 0.2035 | 26.898712 |
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 | +0.096 | 59.8% | +1.08% | +0.180 | 76.7% | +6.67% | +0.269 | 84.5% | +22.95% | 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.