Accuracy — lstm_s0
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 | +0.0571 | 20.9 | +0.99% | 55.4% | 54.0% | 0.0355 | 4.544344 |
| +7d | 524 | 408k | +0.0758 | 28.8 | +3.36% | 60.3% | 58.9% | 0.0933 | 12.603269 |
| +30d | 501 | 384k | +0.0929 | 32.2 | +8.98% | 63.2% | 64.7% | 0.2030 | 26.461998 |
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 | +0.082 | 53.9% | +1.14% | +0.150 | 65.8% | +4.21% | +0.246 | 82.1% | +19.00% | 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.