Accuracy — gru_s8
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 | +0.0710 | 19.2 | +1.04% | 55.6% | 54.1% | 0.0355 | 4.529278 |
| +7d | 524 | 408k | +0.0836 | 22.9 | +3.83% | 60.3% | 59.3% | 0.0930 | 12.562951 |
| +30d | 501 | 384k | +0.1035 | 29.4 | +10.92% | 62.4% | 64.1% | 0.2032 | 26.304373 |
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 | +0.088 | 59.2% | +0.58% | +0.166 | 69.7% | +4.47% | +0.271 | 76.9% | +13.17% | 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.