gru_s5
gru · 250,771 params · beta · trained on 2021-10-20 → 2026-10-21 · 2.4M predictions across 1,769 dates and 1,000 tokens
showing validation only — 2.3M assessed, 56k still pending a matured horizon.
Out-of-sample skill by horizon
+1d · rank IC
+0.0727 t=+13.0
265 days · 179k token-days
+1d · long-short decile
+0.82%
beta-adjusted alpha per period, before costs
+1d · direction hit
55.9%
in alpha space · 54.4% on raw price
+7d · rank IC
+0.0855 t=+17.0
265 days · 178k token-days
+7d · long-short decile
+2.43%
beta-adjusted alpha per period, before costs
+7d · direction hit
61.8%
in alpha space · 61.8% on raw price
+30d · rank IC
+0.1082 t=+19.7
265 days · 177k token-days
+30d · long-short decile
+8.01%
beta-adjusted alpha per period, before costs
+30d · direction hit
62.0%
in alpha space · 70.4% on raw price
How to read this. rank IC is the mean daily cross-sectional Spearman correlation between predicted and realised alpha — it measures ranking, which is what the system is used for, and 0 means no skill. long-short decile is the realised beta-adjusted alpha of the top predicted decile minus the bottom, per period, before trading costs. direction hit is the share of tokens whose sign was right; 50% is a coin flip. Absolute price targets are tilts, not forecasts.
Model
- checkpoint
- runs/ablate_cells/gru_s5//model.pt
- cell type
- gru
- parameters
- 250,771
- target
- beta
- horizons
- 1d, 7d, 30d
- calibration slopes
- 0.85, 0.60, 0.40
- data window
- 2021-10-20 → 2026-10-21
- train / val boundary
- 2025-05-08
- val / test boundary
- 2026-01-28
- registered
- 2026-10-21 18:31:57Z
- notes
- A/B arm: gru seed 5, production hyperparameters (lr 1e-3, bs 1024)
Recent dates
| date | split | tokens | BTC | IC +1d | LS +1d | IC +7d | LS +7d | IC +30d | LS +30d |
|---|---|---|---|---|---|---|---|---|---|
| 2026-01-28 | held out | 806 | -5.21% | +0.069 | -0.74% | +0.033 | +1.39% | +0.005 | +3.02% |
| 2026-01-27 | held out | 808 | +0.05% | -0.007 | -0.07% | +0.077 | +2.00% | +0.025 | +0.74% |
| 2026-01-26 | held out | 809 | +0.98% | +0.099 | +2.19% | +0.056 | +0.76% | +0.020 | +5.10% |
| 2026-01-25 | held out | 804 | +1.95% | +0.064 | +0.02% | +0.057 | -0.07% | +0.045 | +4.56% |
| 2026-01-24 | held out | 803 | -2.83% | +0.105 | +0.68% | +0.048 | -0.91% | +0.024 | +10.55% |
| 2026-01-23 | held out | 804 | -0.44% | +0.062 | -0.14% | +0.040 | -2.19% | +0.007 | +2.92% |
| 2026-01-22 | held out | 804 | +0.01% | +0.084 | +2.33% | +0.027 | -1.58% | +0.000 | +6.24% |
| 2026-01-21 | held out | 800 | +0.11% | -0.013 | +1.07% | +0.073 | -0.56% | -0.005 | +2.88% |
| 2026-01-20 | held out | 799 | +1.19% | -0.002 | +1.43% | +0.050 | +0.88% | -0.016 | +3.25% |
| 2026-01-19 | held out | 797 | -4.59% | +0.001 | -0.14% | +0.044 | +0.61% | -0.023 | +7.17% |
| 2026-01-18 | held out | 802 | -1.15% | +0.080 | -0.27% | +0.067 | +2.18% | -0.023 | +13.59% |
| 2026-01-17 | held out | 804 | -1.55% | +0.052 | -1.16% | +0.046 | +2.12% | -0.047 | +8.32% |
| 2026-01-16 | held out | 803 | -0.41% | +0.166 | +1.64% | +0.065 | -0.50% | -0.011 | +8.04% |
| 2026-01-15 | held out | 805 | -0.09% | +0.012 | -0.33% | +0.089 | -0.80% | -0.028 | +4.09% |
| 2026-01-14 | held out | 804 | -1.41% | +0.136 | +1.22% | +0.100 | -2.96% | +0.001 | +5.21% |
| 2026-01-13 | held out | 804 | +1.65% | +0.181 | +1.27% | +0.159 | +0.04% | -0.016 | +5.01% |
| 2026-01-12 | held out | 802 | +4.60% | +0.102 | +2.15% | +0.152 | -0.48% | -0.013 | +6.07% |
| 2026-01-11 | held out | 796 | +0.35% | +0.108 | -0.18% | +0.152 | -0.40% | +0.015 | +5.00% |
| 2026-01-10 | held out | 797 | +0.55% | +0.095 | -1.10% | +0.116 | +4.92% | -0.004 | +1.29% |
| 2026-01-09 | held out | 801 | -0.16% | +0.051 | +0.26% | +0.085 | +2.71% | -0.007 | +1.81% |
| 2026-01-08 | held out | 801 | -0.56% | +0.044 | +0.23% | +0.111 | +2.80% | -0.022 | +1.54% |
Accuracy by month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.075 | 56.0% | +0.61% | +0.088 | 63.1% | +0.95% | +0.000 | 47.4% | +3.96% | 28 |
| 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 |