Accuracy — gru_s8
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 | +0.0942 | 37.9 | +1.25% | 56.3% | 53.6% | 0.0331 | 7.637229 |
| +7d | 1,752 | 777k | +0.1232 | 49.9 | +5.53% | 61.9% | 58.9% | 0.0882 | 20.654931 |
| +30d | 1,729 | 752k | +0.1694 | 67.1 | +18.91% | 67.5% | 63.4% | 0.1915 | 45.024193 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.064 | 57.6% | +1.19% | +0.086 | 71.8% | +7.56% | – | – | – | 20 |
| 2026-09 | +0.078 | 52.1% | +1.44% | +0.090 | 51.0% | +7.68% | +0.169 | 54.9% | +31.55% | 30 |
| 2026-08 | +0.056 | 56.1% | +1.23% | +0.074 | 58.6% | +4.58% | +0.126 | 60.8% | +15.60% | 31 |
| 2026-07 | +0.078 | 58.8% | +1.91% | +0.081 | 67.7% | +6.67% | +0.083 | 69.2% | +12.98% | 31 |
| 2026-06 | +0.059 | 54.3% | +1.44% | +0.065 | 57.7% | +4.58% | +0.115 | 70.6% | +16.35% | 30 |
| 2026-05 | +0.070 | 52.8% | +0.72% | +0.086 | 56.0% | +5.70% | +0.019 | 64.5% | +8.78% | 31 |
| 2026-04 | +0.073 | 57.9% | +1.37% | +0.041 | 60.2% | +1.92% | +0.068 | 57.1% | +8.85% | 30 |
| 2026-03 | +0.044 | 56.6% | +0.92% | +0.060 | 61.8% | +3.79% | +0.061 | 66.2% | +9.25% | 31 |
| 2026-02 | +0.063 | 52.3% | +0.89% | +0.087 | 59.7% | +5.05% | +0.081 | 66.6% | +11.53% | 28 |
| 2026-01 | +0.078 | 56.3% | +0.99% | +0.093 | 61.1% | +3.27% | -0.007 | 47.3% | +6.90% | 31 |
| 2025-12 | +0.055 | 56.4% | +0.96% | +0.078 | 60.0% | +5.10% | +0.081 | 63.6% | +9.69% | 31 |
| 2025-11 | +0.081 | 51.3% | +1.62% | +0.097 | 44.2% | +5.52% | +0.125 | 62.1% | +17.20% | 30 |
| 2025-10 | +0.065 | 58.9% | +0.74% | +0.058 | 65.8% | +0.11% | +0.150 | 44.8% | +15.11% | 31 |
| 2025-09 | +0.067 | 58.9% | +0.25% | +0.047 | 71.3% | -0.39% | +0.072 | 85.0% | -3.27% | 30 |
| 2025-08 | +0.073 | 49.8% | +0.46% | +0.085 | 49.3% | +1.05% | +0.126 | 58.0% | +4.26% | 31 |
| 2025-07 | +0.091 | 53.6% | +1.03% | +0.108 | 53.8% | +2.86% | +0.113 | 51.2% | +4.42% | 31 |
| 2025-06 | +0.097 | 59.8% | +0.94% | +0.125 | 73.5% | +1.70% | +0.169 | 63.8% | +10.33% | 30 |
| 2025-05 | +0.089 | 58.3% | +0.71% | +0.146 | 61.9% | +4.45% | +0.251 | 74.4% | +15.13% | 31 |
| 2025-04 | +0.066 | 56.1% | +0.64% | +0.108 | 60.8% | +3.77% | +0.124 | 62.6% | +10.20% | 30 |
| 2025-03 | +0.095 | 57.9% | +1.65% | +0.154 | 68.2% | +7.23% | +0.178 | 82.6% | +14.04% | 31 |
| 2025-02 | +0.093 | 53.6% | +1.56% | +0.184 | 53.6% | +10.02% | +0.219 | 71.0% | +21.76% | 28 |
| 2025-01 | +0.098 | 61.7% | +1.24% | +0.176 | 84.7% | +6.63% | +0.334 | 88.5% | +39.43% | 31 |
| 2024-12 | +0.104 | 60.1% | +1.12% | +0.155 | 67.3% | +6.44% | +0.228 | 86.5% | +25.13% | 31 |
| 2024-11 | +0.119 | 56.5% | +1.47% | +0.208 | 60.9% | +10.53% | +0.309 | 60.0% | +39.73% | 30 |
| 2024-10 | +0.106 | 60.9% | +0.84% | +0.172 | 72.7% | +4.07% | +0.337 | 78.2% | +36.35% | 31 |
| 2024-09 | +0.090 | 51.5% | +1.97% | +0.097 | 53.7% | +11.03% | +0.156 | 66.9% | +16.77% | 30 |
| 2024-08 | +0.088 | 55.0% | +3.10% | +0.133 | 55.9% | +19.43% | +0.101 | 51.0% | +47.91% | 31 |
| 2024-07 | +0.093 | 58.5% | +3.11% | +0.175 | 70.9% | +22.69% | +0.245 | 77.7% | +85.59% | 31 |
| 2024-06 | +0.118 | 60.7% | +3.35% | +0.153 | 69.9% | +18.14% | +0.232 | 78.3% | +74.08% | 30 |
| 2024-05 | +0.073 | 58.3% | +1.47% | +0.096 | 66.0% | +6.05% | +0.203 | 83.1% | +34.14% | 31 |
| 2024-04 | +0.132 | 58.7% | +2.57% | +0.192 | 69.3% | +10.95% | +0.177 | 79.7% | +13.40% | 27 |
| 2024-03 | +0.095 | 55.1% | +1.06% | +0.123 | 60.7% | +6.58% | +0.219 | 71.4% | +39.12% | 31 |
| 2024-02 | +0.101 | 56.1% | +1.14% | +0.176 | 59.1% | +11.56% | +0.269 | 55.3% | +34.70% | 29 |
| 2024-01 | +0.107 | 59.7% | +1.42% | +0.126 | 64.2% | +6.62% | +0.206 | 67.6% | +34.46% | 31 |
| 2023-12 | +0.106 | 53.4% | -0.01% | +0.107 | 54.5% | +4.76% | +0.131 | 57.8% | +18.11% | 31 |
| 2023-11 | +0.096 | 54.9% | +0.06% | +0.083 | 58.5% | -1.19% | +0.032 | 46.6% | -0.14% | 30 |
| 2023-10 | +0.107 | 56.6% | +1.14% | +0.110 | 71.1% | +4.72% | +0.122 | 53.8% | +7.98% | 31 |
| 2023-09 | +0.094 | 51.6% | +0.62% | +0.108 | 61.9% | +0.92% | +0.178 | 76.1% | +11.44% | 30 |
| 2023-08 | +0.090 | 56.4% | +0.95% | +0.129 | 61.4% | +2.15% | +0.126 | 66.6% | +5.10% | 29 |
| 2023-07 | +0.121 | 53.3% | +1.34% | +0.135 | 52.0% | +3.63% | +0.245 | 61.9% | +18.61% | 31 |
| 2023-06 | +0.112 | 59.8% | +0.98% | +0.168 | 73.1% | +4.44% | +0.257 | 66.9% | +16.88% | 30 |
| 2023-05 | +0.102 | 58.0% | +0.84% | +0.119 | 63.7% | +3.71% | +0.169 | 88.8% | +13.30% | 31 |
| 2023-04 | +0.105 | 57.5% | +0.58% | +0.116 | 66.8% | +1.62% | +0.193 | 77.2% | +8.86% | 30 |
| 2023-03 | +0.127 | 63.4% | +1.36% | +0.152 | 68.2% | +4.95% | +0.271 | 70.5% | +16.32% | 31 |
| 2023-02 | +0.137 | 56.4% | +0.99% | +0.230 | 62.2% | +6.65% | +0.360 | 86.4% | +17.73% | 28 |
| 2023-01 | +0.100 | 56.3% | +0.44% | +0.099 | 64.1% | +1.16% | +0.134 | 61.4% | +9.04% | 31 |
| 2022-12 | +0.076 | 60.0% | +0.84% | +0.105 | 70.1% | +3.51% | +0.038 | 79.4% | +7.72% | 31 |
| 2022-11 | +0.134 | 56.0% | +2.40% | +0.175 | 61.0% | +5.88% | +0.258 | 76.4% | +20.16% | 30 |
| 2022-10 | +0.110 | 56.8% | +1.14% | +0.136 | 60.4% | +3.20% | +0.157 | 70.5% | +15.88% | 31 |
| 2022-09 | +0.109 | 53.2% | +1.44% | +0.153 | 67.3% | +3.54% | +0.285 | 78.6% | +13.06% | 30 |
| 2022-08 | +0.115 | 55.6% | +0.66% | +0.139 | 55.9% | +2.11% | +0.131 | 63.0% | +0.16% | 31 |
| 2022-07 | +0.119 | 54.4% | +1.41% | +0.056 | 48.0% | +1.52% | +0.121 | 47.9% | +5.26% | 31 |
| 2022-06 | +0.085 | 57.8% | +1.21% | +0.119 | 58.0% | +6.26% | +0.116 | 50.3% | +10.37% | 30 |
| 2022-05 | +0.108 | 52.0% | +3.99% | +0.118 | 55.9% | +8.56% | +0.114 | 64.2% | +19.79% | 31 |
| 2022-04 | +0.124 | 61.3% | +1.73% | +0.206 | 73.7% | +5.86% | +0.179 | 93.1% | +30.00% | 30 |
| 2022-03 | +0.135 | 49.5% | +0.73% | +0.205 | 44.0% | +5.30% | +0.273 | 44.5% | +16.80% | 31 |
| 2022-02 | +0.099 | 57.6% | +0.75% | +0.124 | 68.4% | +3.35% | +0.207 | 66.2% | +17.56% | 28 |
| 2022-01 | +0.083 | 53.0% | +0.76% | +0.114 | 64.6% | +3.78% | +0.200 | 77.3% | +17.21% | 31 |
| 2021-12 | +0.113 | 51.5% | +0.91% | +0.154 | 40.3% | +5.55% | +0.293 | 72.4% | +26.05% | 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.