Accuracy — gru_s6
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 | +0.0881 | 34.7 | +1.27% | 55.5% | 53.7% | 0.0331 | 7.605043 |
| +7d | 1,752 | 777k | +0.1209 | 47.9 | +5.62% | 60.5% | 59.0% | 0.0886 | 20.507104 |
| +30d | 1,729 | 752k | +0.1780 | 72.7 | +18.96% | 67.5% | 63.1% | 0.1914 | 45.488279 |
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 | 57.1% | +1.37% | +0.087 | 70.3% | +7.09% | – | – | – | 20 |
| 2026-09 | +0.085 | 51.9% | +1.61% | +0.113 | 52.7% | +7.89% | +0.175 | 53.7% | +31.74% | 30 |
| 2026-08 | +0.056 | 55.5% | +0.97% | +0.087 | 57.1% | +4.08% | +0.177 | 61.5% | +18.14% | 31 |
| 2026-07 | +0.049 | 54.8% | +1.48% | +0.056 | 58.4% | +5.58% | +0.096 | 66.9% | +13.74% | 31 |
| 2026-06 | +0.050 | 51.6% | +1.32% | +0.058 | 55.8% | +3.94% | +0.116 | 70.0% | +17.46% | 30 |
| 2026-05 | +0.070 | 52.9% | +1.03% | +0.093 | 55.6% | +6.53% | +0.030 | 64.5% | +4.29% | 31 |
| 2026-04 | +0.069 | 57.6% | +1.21% | +0.058 | 59.9% | +3.13% | +0.077 | 57.5% | +11.70% | 30 |
| 2026-03 | +0.036 | 51.4% | +0.93% | +0.049 | 52.4% | +3.46% | +0.106 | 62.4% | +12.85% | 31 |
| 2026-02 | +0.049 | 53.1% | +0.62% | +0.083 | 55.4% | +4.14% | +0.081 | 66.7% | +10.97% | 28 |
| 2026-01 | +0.080 | 56.0% | +0.78% | +0.113 | 61.8% | +2.64% | +0.030 | 47.1% | +6.92% | 31 |
| 2025-12 | +0.039 | 52.3% | +0.88% | +0.061 | 53.6% | +3.34% | +0.074 | 62.2% | +3.60% | 31 |
| 2025-11 | +0.072 | 52.8% | +1.63% | +0.086 | 44.5% | +4.39% | +0.102 | 61.6% | +10.22% | 30 |
| 2025-10 | +0.060 | 58.5% | +0.50% | +0.063 | 63.6% | +0.44% | +0.144 | 45.5% | +14.03% | 31 |
| 2025-09 | +0.066 | 58.8% | +0.45% | +0.059 | 71.0% | +0.80% | +0.068 | 85.1% | -5.20% | 30 |
| 2025-08 | +0.065 | 49.8% | +0.41% | +0.064 | 49.9% | +1.20% | +0.103 | 58.0% | +5.12% | 31 |
| 2025-07 | +0.099 | 53.5% | +1.12% | +0.112 | 53.7% | +3.03% | +0.119 | 51.0% | +7.39% | 31 |
| 2025-06 | +0.073 | 58.7% | +0.58% | +0.094 | 69.6% | +0.31% | +0.172 | 64.0% | +8.63% | 30 |
| 2025-05 | +0.099 | 57.4% | +1.22% | +0.156 | 50.5% | +5.16% | +0.283 | 74.9% | +22.18% | 31 |
| 2025-04 | +0.075 | 53.9% | +0.97% | +0.112 | 57.2% | +4.12% | +0.162 | 63.4% | +14.62% | 30 |
| 2025-03 | +0.079 | 54.9% | +1.41% | +0.155 | 66.2% | +6.56% | +0.159 | 82.0% | +10.72% | 31 |
| 2025-02 | +0.083 | 53.4% | +1.97% | +0.178 | 55.9% | +9.77% | +0.253 | 71.0% | +20.53% | 28 |
| 2025-01 | +0.084 | 61.6% | +0.89% | +0.101 | 84.5% | +3.80% | +0.274 | 88.5% | +28.10% | 31 |
| 2024-12 | +0.118 | 60.9% | +1.66% | +0.164 | 65.4% | +5.84% | +0.256 | 86.4% | +24.89% | 31 |
| 2024-11 | +0.137 | 58.6% | +1.98% | +0.231 | 64.2% | +11.93% | +0.312 | 60.4% | +37.46% | 30 |
| 2024-10 | +0.109 | 60.5% | +0.82% | +0.171 | 71.0% | +4.80% | +0.336 | 78.8% | +38.37% | 31 |
| 2024-09 | +0.094 | 52.4% | +2.31% | +0.125 | 54.2% | +12.75% | +0.188 | 67.4% | +17.93% | 30 |
| 2024-08 | +0.095 | 52.3% | +3.33% | +0.155 | 56.0% | +21.06% | +0.130 | 51.1% | +49.76% | 31 |
| 2024-07 | +0.090 | 58.8% | +3.67% | +0.165 | 71.3% | +24.92% | +0.239 | 77.8% | +88.25% | 31 |
| 2024-06 | +0.106 | 61.1% | +3.40% | +0.149 | 72.4% | +16.87% | +0.244 | 78.6% | +73.03% | 30 |
| 2024-05 | +0.082 | 57.2% | +1.49% | +0.134 | 65.3% | +7.36% | +0.240 | 83.5% | +33.88% | 31 |
| 2024-04 | +0.132 | 59.1% | +2.71% | +0.221 | 70.0% | +12.01% | +0.276 | 79.7% | +17.52% | 27 |
| 2024-03 | +0.110 | 55.3% | +0.91% | +0.136 | 62.1% | +7.57% | +0.233 | 74.1% | +48.44% | 31 |
| 2024-02 | +0.115 | 57.3% | +1.57% | +0.209 | 60.0% | +13.58% | +0.306 | 53.2% | +39.28% | 29 |
| 2024-01 | +0.089 | 59.2% | +1.46% | +0.112 | 64.6% | +8.61% | +0.163 | 67.9% | +44.45% | 31 |
| 2023-12 | +0.097 | 53.3% | +0.22% | +0.080 | 57.0% | +3.61% | +0.092 | 57.7% | +17.97% | 31 |
| 2023-11 | +0.097 | 55.7% | -0.00% | +0.079 | 56.2% | -2.01% | +0.081 | 47.7% | +0.22% | 30 |
| 2023-10 | +0.097 | 58.1% | +1.10% | +0.096 | 73.0% | +3.09% | +0.088 | 51.6% | +5.38% | 31 |
| 2023-09 | +0.070 | 51.2% | +0.59% | +0.093 | 61.5% | +0.62% | +0.148 | 76.4% | +5.97% | 30 |
| 2023-08 | +0.095 | 57.1% | +1.00% | +0.110 | 60.5% | +1.75% | +0.107 | 66.8% | +3.56% | 29 |
| 2023-07 | +0.114 | 53.6% | +1.32% | +0.160 | 52.3% | +4.96% | +0.190 | 60.9% | +13.37% | 31 |
| 2023-06 | +0.106 | 57.3% | +1.10% | +0.195 | 68.4% | +5.39% | +0.310 | 63.2% | +19.22% | 30 |
| 2023-05 | +0.097 | 58.6% | +0.72% | +0.098 | 63.8% | +2.89% | +0.239 | 88.8% | +12.27% | 31 |
| 2023-04 | +0.098 | 56.6% | +0.57% | +0.130 | 64.7% | +2.78% | +0.177 | 74.6% | +8.98% | 30 |
| 2023-03 | +0.118 | 62.0% | +1.35% | +0.143 | 65.6% | +3.81% | +0.248 | 76.6% | +12.68% | 31 |
| 2023-02 | +0.123 | 56.3% | +1.13% | +0.185 | 58.8% | +6.45% | +0.338 | 86.7% | +20.62% | 28 |
| 2023-01 | +0.101 | 55.4% | +0.37% | +0.121 | 63.0% | +2.19% | +0.100 | 61.9% | +7.83% | 31 |
| 2022-12 | +0.056 | 57.5% | +0.63% | +0.085 | 67.0% | +3.13% | +0.112 | 79.7% | +9.58% | 31 |
| 2022-11 | +0.114 | 53.6% | +2.20% | +0.158 | 62.4% | +5.25% | +0.255 | 76.7% | +16.17% | 30 |
| 2022-10 | +0.084 | 55.4% | +1.31% | +0.103 | 57.9% | +4.65% | +0.149 | 70.6% | +12.36% | 31 |
| 2022-09 | +0.083 | 51.4% | +1.06% | +0.151 | 65.2% | +4.90% | +0.272 | 78.5% | +14.73% | 30 |
| 2022-08 | +0.113 | 56.9% | +1.06% | +0.147 | 58.1% | +3.58% | +0.169 | 63.7% | +5.08% | 31 |
| 2022-07 | +0.119 | 53.3% | +1.36% | +0.073 | 49.5% | +2.98% | +0.127 | 49.6% | +6.44% | 31 |
| 2022-06 | +0.079 | 57.4% | +0.91% | +0.120 | 63.1% | +6.18% | +0.151 | 53.7% | +8.96% | 30 |
| 2022-05 | +0.114 | 49.1% | +3.03% | +0.130 | 52.0% | +5.80% | +0.134 | 66.0% | +21.03% | 31 |
| 2022-04 | +0.105 | 61.2% | +1.30% | +0.170 | 71.9% | +3.09% | +0.227 | 93.1% | +23.10% | 30 |
| 2022-03 | +0.108 | 48.9% | +0.86% | +0.142 | 43.5% | +5.01% | +0.225 | 44.9% | +15.04% | 31 |
| 2022-02 | +0.077 | 53.0% | +0.79% | +0.139 | 55.8% | +5.44% | +0.278 | 67.3% | +22.34% | 28 |
| 2022-01 | +0.059 | 47.9% | +1.17% | +0.084 | 54.8% | +3.97% | +0.203 | 71.0% | +22.28% | 31 |
| 2021-12 | +0.116 | 49.7% | +1.06% | +0.188 | 51.2% | +6.47% | +0.287 | 73.3% | +19.16% | 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.