Accuracy — gru_s7
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 | +0.0668 | 11.8 | +0.80% | 55.9% | 54.5% | 0.0356 | 5.777598 |
| +7d | 265 | 178k | +0.0853 | 17.0 | +2.42% | 61.2% | 61.6% | 0.0935 | 16.391694 |
| +30d | 265 | 177k | +0.1147 | 22.0 | +8.14% | 61.1% | 69.7% | 0.2091 | 32.460769 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.073 | 56.1% | +0.62% | +0.110 | 63.3% | +2.18% | +0.042 | 47.6% | +9.54% | 28 |
| 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 | +0.088 | 60.0% | +1.15% | +0.184 | 71.2% | +5.60% | +0.295 | 78.0% | +21.00% | 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.