Accuracy — gru_s9
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 | +0.0741 | 18.6 | +1.09% | 55.2% | 53.8% | 0.0355 | 4.481695 |
| +7d | 524 | 408k | +0.0923 | 25.2 | +4.39% | 59.1% | 58.6% | 0.0935 | 12.404020 |
| +30d | 501 | 384k | +0.1124 | 31.0 | +11.81% | 59.9% | 62.0% | 0.2045 | 26.040736 |
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 | +0.101 | 59.2% | +1.12% | +0.181 | 65.5% | +4.87% | +0.291 | 71.3% | +19.88% | 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.