Accuracy — gru_s9
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 | +0.0969 | 37.5 | +1.30% | 56.1% | 54.1% | 0.0331 | 7.602303 |
| +7d | 1,752 | 777k | +0.1305 | 52.1 | +6.10% | 61.9% | 59.7% | 0.0882 | 20.450824 |
| +30d | 1,729 | 752k | +0.1769 | 72.3 | +19.35% | 66.7% | 63.1% | 0.1929 | 44.614975 |
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 | 57.2% | +1.56% | +0.102 | 71.0% | +9.80% | – | – | – | 20 |
| 2026-09 | +0.084 | 52.0% | +1.74% | +0.103 | 51.7% | +9.94% | +0.174 | 56.5% | +36.33% | 30 |
| 2026-08 | +0.060 | 55.3% | +0.97% | +0.094 | 57.8% | +4.99% | +0.153 | 62.1% | +17.66% | 31 |
| 2026-07 | +0.077 | 57.5% | +2.09% | +0.090 | 64.6% | +7.84% | +0.100 | 64.4% | +16.58% | 31 |
| 2026-06 | +0.063 | 53.9% | +1.35% | +0.058 | 58.6% | +3.26% | +0.107 | 66.2% | +17.93% | 30 |
| 2026-05 | +0.079 | 53.0% | +0.75% | +0.093 | 57.3% | +5.56% | +0.016 | 62.5% | +3.31% | 31 |
| 2026-04 | +0.079 | 57.3% | +1.23% | +0.047 | 58.4% | +1.84% | +0.089 | 56.7% | +10.14% | 30 |
| 2026-03 | +0.055 | 54.6% | +1.05% | +0.078 | 57.7% | +4.84% | +0.079 | 55.9% | +7.53% | 31 |
| 2026-02 | +0.061 | 52.7% | +1.09% | +0.078 | 54.2% | +5.51% | +0.069 | 55.3% | +13.73% | 28 |
| 2026-01 | +0.084 | 56.1% | +1.02% | +0.106 | 60.9% | +2.79% | +0.042 | 47.1% | +10.21% | 31 |
| 2025-12 | +0.054 | 54.8% | +1.10% | +0.078 | 57.7% | +4.65% | +0.068 | 60.0% | +5.28% | 31 |
| 2025-11 | +0.085 | 51.7% | +1.74% | +0.116 | 44.5% | +6.93% | +0.126 | 59.6% | +15.21% | 30 |
| 2025-10 | +0.056 | 58.0% | +0.48% | +0.057 | 64.5% | -0.03% | +0.160 | 45.8% | +13.57% | 31 |
| 2025-09 | +0.084 | 58.8% | +0.42% | +0.094 | 71.3% | +1.96% | +0.098 | 84.8% | -0.14% | 30 |
| 2025-08 | +0.069 | 49.8% | +0.37% | +0.083 | 49.5% | +1.01% | +0.126 | 58.1% | +4.35% | 31 |
| 2025-07 | +0.097 | 53.5% | +1.11% | +0.107 | 54.1% | +3.31% | +0.107 | 51.8% | +6.72% | 31 |
| 2025-06 | +0.085 | 59.0% | +0.69% | +0.125 | 71.9% | +3.18% | +0.168 | 62.5% | +12.50% | 30 |
| 2025-05 | +0.102 | 59.0% | +0.99% | +0.158 | 61.4% | +3.95% | +0.274 | 69.3% | +19.67% | 31 |
| 2025-04 | +0.066 | 55.3% | +0.72% | +0.110 | 60.0% | +3.38% | +0.098 | 62.0% | +8.75% | 30 |
| 2025-03 | +0.089 | 56.3% | +1.54% | +0.148 | 68.1% | +7.55% | +0.160 | 80.5% | +11.32% | 31 |
| 2025-02 | +0.098 | 54.0% | +1.36% | +0.188 | 55.1% | +10.10% | +0.228 | 70.8% | +17.77% | 28 |
| 2025-01 | +0.101 | 61.6% | +1.01% | +0.186 | 84.7% | +7.08% | +0.308 | 87.9% | +34.82% | 31 |
| 2024-12 | +0.097 | 61.9% | +1.51% | +0.154 | 66.3% | +6.61% | +0.280 | 86.0% | +27.90% | 31 |
| 2024-11 | +0.136 | 59.3% | +1.54% | +0.231 | 68.1% | +9.64% | +0.312 | 63.2% | +36.68% | 30 |
| 2024-10 | +0.114 | 60.3% | +0.81% | +0.197 | 70.1% | +5.52% | +0.352 | 78.1% | +36.59% | 31 |
| 2024-09 | +0.094 | 51.9% | +2.06% | +0.099 | 54.1% | +12.05% | +0.163 | 66.4% | +17.33% | 30 |
| 2024-08 | +0.090 | 54.5% | +3.66% | +0.156 | 56.5% | +21.23% | +0.132 | 50.9% | +50.04% | 31 |
| 2024-07 | +0.090 | 58.9% | +3.56% | +0.176 | 70.6% | +24.57% | +0.241 | 76.0% | +86.15% | 31 |
| 2024-06 | +0.110 | 60.9% | +3.43% | +0.162 | 70.1% | +17.74% | +0.223 | 78.1% | +73.40% | 30 |
| 2024-05 | +0.076 | 58.3% | +1.48% | +0.121 | 66.0% | +7.27% | +0.234 | 81.8% | +35.83% | 31 |
| 2024-04 | +0.118 | 58.9% | +2.11% | +0.195 | 71.0% | +11.25% | +0.236 | 79.5% | +15.71% | 27 |
| 2024-03 | +0.105 | 55.8% | +1.12% | +0.136 | 61.5% | +9.16% | +0.260 | 70.7% | +46.80% | 31 |
| 2024-02 | +0.107 | 56.3% | +1.47% | +0.198 | 62.5% | +12.54% | +0.285 | 58.4% | +39.70% | 29 |
| 2024-01 | +0.101 | 59.4% | +1.36% | +0.122 | 65.2% | +7.77% | +0.181 | 66.9% | +43.12% | 31 |
| 2023-12 | +0.100 | 54.5% | +0.23% | +0.107 | 57.3% | +5.67% | +0.130 | 56.6% | +17.56% | 31 |
| 2023-11 | +0.089 | 55.4% | +0.12% | +0.062 | 55.7% | -0.90% | +0.031 | 47.3% | +3.48% | 30 |
| 2023-10 | +0.102 | 58.2% | +1.08% | +0.133 | 70.6% | +5.08% | +0.159 | 58.1% | +18.08% | 31 |
| 2023-09 | +0.089 | 52.0% | +0.86% | +0.128 | 62.3% | +1.82% | +0.171 | 75.3% | +9.51% | 30 |
| 2023-08 | +0.090 | 56.3% | +0.98% | +0.124 | 61.3% | +2.47% | +0.163 | 66.6% | +6.72% | 29 |
| 2023-07 | +0.120 | 53.6% | +1.24% | +0.130 | 55.4% | +3.89% | +0.245 | 62.5% | +21.08% | 31 |
| 2023-06 | +0.133 | 60.8% | +1.23% | +0.187 | 74.3% | +4.57% | +0.244 | 69.3% | +18.31% | 30 |
| 2023-05 | +0.119 | 58.0% | +1.07% | +0.100 | 63.6% | +3.67% | +0.147 | 88.4% | +11.04% | 31 |
| 2023-04 | +0.104 | 54.9% | +0.71% | +0.123 | 64.8% | +2.62% | +0.112 | 71.4% | +7.68% | 30 |
| 2023-03 | +0.137 | 61.4% | +1.25% | +0.180 | 68.7% | +4.98% | +0.283 | 67.2% | +14.90% | 31 |
| 2023-02 | +0.124 | 57.5% | +1.09% | +0.226 | 60.8% | +6.10% | +0.329 | 86.1% | +15.22% | 28 |
| 2023-01 | +0.095 | 52.9% | +0.30% | +0.110 | 62.5% | +1.52% | +0.172 | 63.5% | +7.78% | 31 |
| 2022-12 | +0.094 | 58.6% | +0.99% | +0.134 | 66.7% | +3.91% | +0.086 | 72.0% | +4.33% | 31 |
| 2022-11 | +0.131 | 56.5% | +2.43% | +0.179 | 62.6% | +6.01% | +0.217 | 71.1% | +15.82% | 30 |
| 2022-10 | +0.109 | 56.6% | +1.22% | +0.134 | 60.7% | +3.89% | +0.113 | 68.9% | +6.39% | 31 |
| 2022-09 | +0.108 | 53.0% | +1.13% | +0.121 | 67.3% | +3.59% | +0.287 | 77.4% | +12.87% | 30 |
| 2022-08 | +0.127 | 56.3% | +0.77% | +0.156 | 55.4% | +1.54% | +0.137 | 62.5% | -0.43% | 31 |
| 2022-07 | +0.139 | 54.3% | +1.48% | +0.083 | 49.7% | +2.03% | +0.132 | 59.1% | +4.59% | 31 |
| 2022-06 | +0.080 | 56.6% | +0.78% | +0.127 | 61.8% | +5.23% | +0.175 | 60.3% | +9.31% | 30 |
| 2022-05 | +0.113 | 50.3% | +4.20% | +0.136 | 56.7% | +12.90% | +0.181 | 70.5% | +24.36% | 31 |
| 2022-04 | +0.125 | 61.8% | +1.32% | +0.165 | 73.1% | +5.84% | +0.235 | 92.6% | +32.07% | 30 |
| 2022-03 | +0.142 | 49.8% | +0.88% | +0.190 | 45.1% | +3.99% | +0.216 | 45.6% | +14.66% | 31 |
| 2022-02 | +0.106 | 56.3% | +0.59% | +0.150 | 67.1% | +4.42% | +0.251 | 58.6% | +16.35% | 28 |
| 2022-01 | +0.088 | 52.8% | +0.92% | +0.125 | 64.7% | +6.72% | +0.204 | 72.6% | +21.41% | 31 |
| 2021-12 | +0.127 | 51.2% | +1.11% | +0.180 | 43.2% | +6.61% | +0.298 | 68.9% | +26.70% | 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.