Accuracy — gru_s6
validation only · 2.3M
Summary
| horizon | days | token-days | rank IC | t | LS decile | hit (alpha) | hit (price) | MAE (alpha) | MAE (price) |
|---|---|---|---|---|---|---|---|---|---|
| +1d | 265 | 179k | +0.0722 | 12.4 | +0.83% | 55.3% | 54.2% | 0.0356 | 5.705336 |
| +7d | 265 | 178k | +0.0897 | 15.8 | +2.22% | 58.2% | 58.7% | 0.0943 | 16.182130 |
| +30d | 265 | 177k | +0.1191 | 21.6 | +7.66% | 60.7% | 69.2% | 0.2099 | 33.065630 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.083 | 56.1% | +0.69% | +0.104 | 62.9% | +1.20% | +0.026 | 47.5% | +6.20% | 28 |
| 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.