Accuracy — gru_s6
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 | +0.0650 | 17.9 | +1.00% | 54.6% | 53.2% | 0.0355 | 4.487357 |
| +7d | 524 | 408k | +0.0833 | 23.9 | +3.64% | 57.4% | 56.8% | 0.0938 | 12.459180 |
| +30d | 501 | 384k | +0.1121 | 32.8 | +10.86% | 61.8% | 63.7% | 0.2044 | 26.599538 |
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 | +0.102 | 58.2% | +1.34% | +0.191 | 54.8% | +6.09% | +0.302 | 75.0% | +22.28% | 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.