Accuracy — gru_s9
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 | +0.0788 | 12.5 | +0.87% | 55.5% | 54.3% | 0.0356 | 5.698257 |
| +7d | 265 | 178k | +0.1022 | 17.7 | +3.04% | 60.0% | 60.5% | 0.0938 | 16.058990 |
| +30d | 265 | 177k | +0.1271 | 23.0 | +9.36% | 59.8% | 67.7% | 0.2089 | 32.687001 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.086 | 56.1% | +0.90% | +0.101 | 63.1% | +1.93% | +0.034 | 47.5% | +9.57% | 28 |
| 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.