Accuracy — gru_s7
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 | +0.0836 | 34.2 | +1.28% | 56.3% | 53.7% | 0.0331 | 7.647656 |
| +7d | 1,752 | 777k | +0.1180 | 48.2 | +5.74% | 62.3% | 59.3% | 0.0880 | 20.649599 |
| +30d | 1,729 | 752k | +0.1669 | 67.3 | +18.69% | 67.9% | 63.3% | 0.1919 | 45.475478 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.056 | 57.2% | +1.38% | +0.113 | 71.6% | +9.71% | – | – | – | 20 |
| 2026-09 | +0.082 | 52.1% | +1.77% | +0.112 | 50.6% | +7.75% | +0.175 | 54.4% | +32.42% | 30 |
| 2026-08 | +0.055 | 56.1% | +1.07% | +0.085 | 58.6% | +5.97% | +0.156 | 61.3% | +17.71% | 31 |
| 2026-07 | +0.077 | 58.7% | +1.84% | +0.100 | 68.1% | +6.91% | +0.094 | 68.9% | +14.36% | 31 |
| 2026-06 | +0.058 | 54.6% | +1.64% | +0.060 | 58.7% | +3.32% | +0.106 | 70.4% | +20.27% | 30 |
| 2026-05 | +0.064 | 52.8% | +0.99% | +0.072 | 55.4% | +5.21% | +0.002 | 64.6% | +3.21% | 31 |
| 2026-04 | +0.074 | 57.9% | +1.39% | +0.062 | 60.6% | +3.44% | +0.057 | 57.5% | +9.66% | 30 |
| 2026-03 | +0.037 | 56.7% | +0.67% | +0.051 | 62.1% | +3.50% | +0.065 | 63.3% | +9.54% | 31 |
| 2026-02 | +0.060 | 52.6% | +0.91% | +0.091 | 61.8% | +4.67% | +0.060 | 64.6% | +9.52% | 28 |
| 2026-01 | +0.074 | 56.2% | +0.72% | +0.123 | 61.3% | +3.34% | +0.047 | 47.2% | +10.00% | 31 |
| 2025-12 | +0.046 | 56.7% | +0.97% | +0.066 | 60.4% | +3.58% | +0.087 | 63.5% | +2.38% | 31 |
| 2025-11 | +0.072 | 51.2% | +1.53% | +0.079 | 44.8% | +4.40% | +0.100 | 61.4% | +11.14% | 30 |
| 2025-10 | +0.061 | 58.8% | +0.72% | +0.075 | 65.9% | +2.95% | +0.141 | 45.4% | +16.89% | 31 |
| 2025-09 | +0.062 | 58.8% | +0.52% | +0.068 | 71.2% | +1.50% | +0.111 | 85.1% | +6.52% | 30 |
| 2025-08 | +0.049 | 49.9% | +0.27% | +0.031 | 50.2% | -0.59% | +0.068 | 58.0% | +1.22% | 31 |
| 2025-07 | +0.091 | 53.6% | +0.98% | +0.094 | 53.7% | +2.05% | +0.096 | 51.0% | +1.31% | 31 |
| 2025-06 | +0.066 | 59.0% | +0.54% | +0.087 | 73.0% | +0.87% | +0.132 | 63.9% | +6.74% | 30 |
| 2025-05 | +0.091 | 58.6% | +1.05% | +0.153 | 62.4% | +4.42% | +0.279 | 76.4% | +20.78% | 31 |
| 2025-04 | +0.060 | 56.0% | +0.48% | +0.088 | 60.8% | +2.42% | +0.103 | 63.2% | +7.90% | 30 |
| 2025-03 | +0.088 | 58.2% | +1.65% | +0.161 | 68.5% | +7.78% | +0.175 | 82.9% | +11.42% | 31 |
| 2025-02 | +0.089 | 53.4% | +1.50% | +0.174 | 54.2% | +8.13% | +0.226 | 71.1% | +19.95% | 28 |
| 2025-01 | +0.086 | 61.8% | +0.89% | +0.166 | 84.8% | +7.15% | +0.267 | 88.6% | +30.97% | 31 |
| 2024-12 | +0.105 | 59.9% | +1.29% | +0.161 | 69.1% | +6.45% | +0.223 | 86.5% | +19.30% | 31 |
| 2024-11 | +0.120 | 58.8% | +1.57% | +0.236 | 67.4% | +10.89% | +0.274 | 58.7% | +34.70% | 30 |
| 2024-10 | +0.107 | 61.0% | +0.83% | +0.172 | 74.2% | +3.97% | +0.340 | 77.9% | +33.36% | 31 |
| 2024-09 | +0.083 | 51.4% | +2.00% | +0.087 | 53.9% | +11.68% | +0.152 | 67.4% | +12.61% | 30 |
| 2024-08 | +0.087 | 53.7% | +3.40% | +0.148 | 55.7% | +21.26% | +0.127 | 51.1% | +48.94% | 31 |
| 2024-07 | +0.083 | 58.4% | +3.43% | +0.168 | 70.5% | +23.75% | +0.273 | 77.6% | +88.66% | 31 |
| 2024-06 | +0.100 | 60.9% | +3.50% | +0.148 | 70.4% | +17.13% | +0.198 | 78.5% | +72.57% | 30 |
| 2024-05 | +0.075 | 58.3% | +1.55% | +0.128 | 66.1% | +8.29% | +0.194 | 83.6% | +33.38% | 31 |
| 2024-04 | +0.108 | 57.6% | +2.54% | +0.159 | 67.5% | +10.74% | +0.191 | 79.7% | +10.48% | 27 |
| 2024-03 | +0.093 | 54.7% | +1.50% | +0.106 | 60.4% | +9.65% | +0.226 | 74.8% | +49.34% | 31 |
| 2024-02 | +0.100 | 56.2% | +1.29% | +0.193 | 58.4% | +11.39% | +0.283 | 55.4% | +39.92% | 29 |
| 2024-01 | +0.081 | 59.7% | +1.65% | +0.110 | 63.6% | +7.34% | +0.156 | 68.1% | +37.50% | 31 |
| 2023-12 | +0.090 | 52.8% | +0.52% | +0.123 | 56.7% | +6.29% | +0.143 | 58.4% | +17.36% | 31 |
| 2023-11 | +0.079 | 56.0% | +0.22% | +0.054 | 57.6% | +0.14% | +0.050 | 45.9% | +0.83% | 30 |
| 2023-10 | +0.091 | 56.9% | +0.87% | +0.097 | 72.0% | +3.86% | +0.076 | 52.4% | +8.68% | 31 |
| 2023-09 | +0.072 | 51.6% | +0.71% | +0.068 | 61.9% | +0.82% | +0.155 | 76.3% | +10.29% | 30 |
| 2023-08 | +0.100 | 56.3% | +1.16% | +0.097 | 61.4% | +1.96% | +0.062 | 66.6% | +3.53% | 29 |
| 2023-07 | +0.095 | 53.3% | +1.31% | +0.139 | 51.1% | +5.37% | +0.204 | 61.4% | +12.36% | 31 |
| 2023-06 | +0.115 | 59.8% | +1.05% | +0.192 | 72.7% | +5.93% | +0.263 | 63.6% | +17.43% | 30 |
| 2023-05 | +0.092 | 58.0% | +0.87% | +0.070 | 63.9% | +2.64% | +0.191 | 88.8% | +10.80% | 31 |
| 2023-04 | +0.076 | 57.6% | +0.54% | +0.104 | 68.7% | +2.48% | +0.138 | 80.8% | +8.21% | 30 |
| 2023-03 | +0.090 | 63.9% | +1.11% | +0.119 | 70.4% | +2.81% | +0.263 | 75.0% | +14.72% | 31 |
| 2023-02 | +0.084 | 58.0% | +0.68% | +0.128 | 61.5% | +4.81% | +0.305 | 86.1% | +16.29% | 28 |
| 2023-01 | +0.066 | 54.4% | +0.57% | +0.080 | 63.9% | +2.41% | +0.129 | 61.6% | +7.90% | 31 |
| 2022-12 | +0.070 | 59.7% | +0.71% | +0.118 | 70.1% | +2.56% | +0.080 | 80.3% | +6.73% | 31 |
| 2022-11 | +0.102 | 55.2% | +2.01% | +0.126 | 59.6% | +3.96% | +0.207 | 76.5% | +16.02% | 30 |
| 2022-10 | +0.095 | 56.8% | +1.35% | +0.145 | 60.4% | +3.87% | +0.133 | 70.6% | +7.55% | 31 |
| 2022-09 | +0.084 | 52.8% | +1.21% | +0.138 | 67.7% | +4.23% | +0.282 | 78.5% | +11.86% | 30 |
| 2022-08 | +0.122 | 56.2% | +0.76% | +0.176 | 56.1% | +1.37% | +0.194 | 63.7% | +4.55% | 31 |
| 2022-07 | +0.121 | 54.9% | +1.38% | +0.087 | 54.8% | +2.93% | +0.156 | 54.9% | +5.35% | 31 |
| 2022-06 | +0.073 | 56.8% | +1.18% | +0.120 | 57.1% | +4.14% | +0.157 | 58.9% | +8.70% | 30 |
| 2022-05 | +0.103 | 53.4% | +4.10% | +0.123 | 59.9% | +12.16% | +0.171 | 67.9% | +27.86% | 31 |
| 2022-04 | +0.102 | 61.6% | +1.32% | +0.180 | 72.7% | +3.14% | +0.228 | 93.0% | +53.90% | 30 |
| 2022-03 | +0.111 | 49.2% | +0.75% | +0.124 | 44.1% | +6.21% | +0.223 | 44.6% | +19.55% | 31 |
| 2022-02 | +0.085 | 56.7% | +0.89% | +0.171 | 65.1% | +4.92% | +0.259 | 67.4% | +19.30% | 28 |
| 2022-01 | +0.071 | 53.5% | +0.96% | +0.135 | 65.4% | +5.92% | +0.220 | 73.8% | +15.63% | 31 |
| 2021-12 | +0.113 | 52.6% | +0.96% | +0.158 | 36.6% | +4.81% | +0.323 | 73.5% | +19.71% | 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.