Accuracy — lstm_s0
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 | +0.0768 | 35.3 | +1.19% | 56.0% | 53.8% | 0.0332 | 7.650724 |
| +7d | 1,752 | 777k | +0.1135 | 49.8 | +5.44% | 61.9% | 58.9% | 0.0883 | 20.634547 |
| +30d | 1,729 | 752k | +0.1543 | 63.7 | +16.45% | 67.0% | 63.6% | 0.1926 | 44.950629 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.051 | 57.7% | +1.08% | +0.086 | 71.9% | +9.68% | – | – | – | 20 |
| 2026-09 | +0.081 | 52.2% | +1.61% | +0.118 | 51.2% | +6.44% | +0.163 | 52.0% | +21.77% | 30 |
| 2026-08 | +0.046 | 54.4% | +1.11% | +0.071 | 57.0% | +4.93% | +0.124 | 61.1% | +12.30% | 31 |
| 2026-07 | +0.063 | 58.8% | +1.83% | +0.092 | 68.2% | +6.05% | +0.096 | 70.2% | +13.46% | 31 |
| 2026-06 | +0.047 | 53.5% | +1.26% | +0.043 | 57.5% | +2.54% | +0.107 | 71.8% | +15.57% | 30 |
| 2026-05 | +0.051 | 53.0% | +0.39% | +0.045 | 55.6% | +1.55% | +0.011 | 63.8% | -2.95% | 31 |
| 2026-04 | +0.072 | 57.3% | +1.62% | +0.067 | 59.6% | +2.15% | +0.034 | 56.1% | +2.38% | 30 |
| 2026-03 | +0.044 | 56.7% | +1.03% | +0.063 | 62.6% | +3.46% | +0.097 | 69.2% | +11.71% | 31 |
| 2026-02 | +0.046 | 53.6% | +0.57% | +0.079 | 60.5% | +2.84% | +0.048 | 71.5% | +7.72% | 28 |
| 2026-01 | +0.065 | 56.2% | +0.76% | +0.092 | 61.5% | +3.97% | +0.018 | 47.3% | +6.29% | 31 |
| 2025-12 | +0.044 | 56.3% | +1.11% | +0.078 | 60.5% | +4.21% | +0.092 | 64.5% | +8.10% | 31 |
| 2025-11 | +0.051 | 51.4% | +1.45% | +0.040 | 45.3% | +3.33% | +0.102 | 63.6% | +9.86% | 30 |
| 2025-10 | +0.046 | 59.4% | +0.83% | +0.062 | 66.4% | +1.07% | +0.078 | 44.8% | +14.00% | 31 |
| 2025-09 | +0.050 | 58.9% | +0.28% | +0.058 | 71.3% | +1.00% | +0.085 | 85.0% | +1.85% | 30 |
| 2025-08 | +0.066 | 49.9% | +0.36% | +0.079 | 49.3% | +1.82% | +0.125 | 58.0% | +5.33% | 31 |
| 2025-07 | +0.076 | 54.5% | +0.96% | +0.083 | 54.4% | +3.47% | +0.087 | 51.4% | +7.52% | 31 |
| 2025-06 | +0.050 | 59.7% | +0.46% | +0.082 | 74.5% | +1.28% | +0.125 | 64.1% | +4.96% | 30 |
| 2025-05 | +0.078 | 52.9% | +1.38% | +0.147 | 60.8% | +5.00% | +0.227 | 80.0% | +17.81% | 31 |
| 2025-04 | +0.046 | 55.6% | +0.34% | +0.048 | 57.6% | +1.74% | +0.036 | 60.1% | +0.93% | 30 |
| 2025-03 | +0.075 | 56.6% | +1.38% | +0.149 | 68.7% | +7.42% | +0.163 | 82.8% | +14.28% | 31 |
| 2025-02 | +0.065 | 53.3% | +1.20% | +0.123 | 53.5% | +7.27% | +0.208 | 71.1% | +14.71% | 28 |
| 2025-01 | +0.087 | 61.8% | +1.05% | +0.188 | 85.1% | +8.03% | +0.279 | 88.8% | +27.18% | 31 |
| 2024-12 | +0.118 | 61.0% | +1.35% | +0.158 | 63.9% | +6.33% | +0.258 | 86.4% | +22.20% | 31 |
| 2024-11 | +0.098 | 57.0% | +1.47% | +0.199 | 66.2% | +12.07% | +0.190 | 56.1% | +27.45% | 30 |
| 2024-10 | +0.092 | 60.2% | +0.98% | +0.133 | 73.3% | +3.91% | +0.250 | 77.9% | +26.20% | 31 |
| 2024-09 | +0.087 | 51.2% | +2.19% | +0.120 | 52.1% | +12.68% | +0.194 | 65.3% | +15.84% | 30 |
| 2024-08 | +0.072 | 53.1% | +3.45% | +0.125 | 55.8% | +20.40% | +0.122 | 50.8% | +46.49% | 31 |
| 2024-07 | +0.075 | 58.5% | +3.29% | +0.153 | 69.7% | +23.54% | +0.188 | 76.7% | +81.19% | 31 |
| 2024-06 | +0.063 | 61.0% | +3.07% | +0.124 | 69.8% | +17.03% | +0.179 | 78.3% | +70.01% | 30 |
| 2024-05 | +0.071 | 58.2% | +1.45% | +0.087 | 66.1% | +6.37% | +0.167 | 82.1% | +31.87% | 31 |
| 2024-04 | +0.113 | 58.6% | +2.31% | +0.196 | 68.1% | +10.06% | +0.183 | 79.8% | +13.81% | 27 |
| 2024-03 | +0.099 | 52.3% | +0.80% | +0.137 | 58.3% | +7.15% | +0.205 | 66.6% | +37.08% | 31 |
| 2024-02 | +0.093 | 54.8% | +1.56% | +0.206 | 60.5% | +13.08% | +0.268 | 56.5% | +38.41% | 29 |
| 2024-01 | +0.083 | 59.5% | +1.68% | +0.113 | 63.6% | +8.52% | +0.202 | 68.3% | +41.81% | 31 |
| 2023-12 | +0.088 | 53.7% | +0.19% | +0.100 | 52.9% | +3.84% | +0.123 | 57.6% | +15.52% | 31 |
| 2023-11 | +0.071 | 54.0% | +0.03% | +0.038 | 55.2% | -2.69% | -0.028 | 43.9% | -0.91% | 30 |
| 2023-10 | +0.085 | 58.4% | +0.76% | +0.139 | 72.8% | +4.07% | +0.019 | 51.6% | -3.69% | 31 |
| 2023-09 | +0.075 | 51.6% | +0.47% | +0.101 | 61.9% | +1.00% | +0.178 | 76.2% | +6.92% | 30 |
| 2023-08 | +0.067 | 58.5% | +0.65% | +0.078 | 61.8% | +1.42% | +0.139 | 66.0% | +1.40% | 29 |
| 2023-07 | +0.089 | 50.4% | +1.04% | +0.128 | 48.6% | +3.11% | +0.114 | 59.8% | +0.94% | 31 |
| 2023-06 | +0.106 | 60.8% | +1.41% | +0.162 | 74.2% | +3.93% | +0.242 | 67.4% | +9.63% | 30 |
| 2023-05 | +0.078 | 58.5% | +0.68% | +0.119 | 63.9% | +3.30% | +0.232 | 88.9% | +13.62% | 31 |
| 2023-04 | +0.071 | 57.5% | +0.25% | +0.091 | 70.1% | +1.98% | +0.210 | 80.9% | +10.68% | 30 |
| 2023-03 | +0.067 | 60.5% | +0.92% | +0.068 | 68.2% | +2.41% | +0.209 | 76.0% | +15.05% | 31 |
| 2023-02 | +0.140 | 58.8% | +1.19% | +0.210 | 64.1% | +6.29% | +0.308 | 85.8% | +19.20% | 28 |
| 2023-01 | +0.076 | 51.8% | +0.15% | +0.128 | 60.5% | +5.48% | +0.152 | 62.5% | +10.59% | 31 |
| 2022-12 | +0.075 | 59.8% | +0.91% | +0.154 | 70.1% | +4.92% | +0.160 | 80.2% | +21.98% | 31 |
| 2022-11 | +0.099 | 54.5% | +2.30% | +0.147 | 59.9% | +7.09% | +0.207 | 76.0% | +20.92% | 30 |
| 2022-10 | +0.098 | 57.0% | +1.00% | +0.155 | 60.4% | +3.08% | +0.192 | 70.1% | +10.13% | 31 |
| 2022-09 | +0.072 | 53.1% | +0.95% | +0.124 | 67.6% | +3.46% | +0.242 | 78.4% | +12.75% | 30 |
| 2022-08 | +0.098 | 56.7% | +0.54% | +0.124 | 55.0% | +1.50% | +0.114 | 61.6% | +3.19% | 31 |
| 2022-07 | +0.120 | 56.5% | +1.54% | +0.100 | 54.4% | +4.64% | +0.150 | 40.7% | +12.12% | 31 |
| 2022-06 | +0.071 | 57.7% | +1.04% | +0.037 | 52.2% | +1.02% | +0.004 | 32.3% | -4.03% | 30 |
| 2022-05 | +0.112 | 52.6% | +4.19% | +0.196 | 63.3% | +9.28% | +0.116 | 46.8% | +13.29% | 31 |
| 2022-04 | +0.096 | 61.7% | +1.48% | +0.171 | 71.4% | +4.54% | +0.214 | 92.7% | +18.07% | 30 |
| 2022-03 | +0.095 | 51.6% | +0.64% | +0.138 | 45.3% | +5.76% | +0.178 | 43.2% | +8.84% | 31 |
| 2022-02 | +0.085 | 55.7% | +1.00% | +0.136 | 68.0% | +5.87% | +0.293 | 68.2% | +24.33% | 28 |
| 2022-01 | +0.057 | 51.6% | +0.51% | +0.144 | 64.5% | +2.89% | +0.276 | 84.9% | +24.40% | 31 |
| 2021-12 | +0.067 | 51.9% | +0.42% | +0.028 | 36.4% | +4.67% | +0.307 | 72.9% | +30.83% | 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.