Accuracy — lstm_s1
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 | +0.0856 | 37.0 | +1.16% | 56.2% | 53.5% | 0.0331 | 7.607506 |
| +7d | 1,752 | 777k | +0.1172 | 49.9 | +5.44% | 62.0% | 58.7% | 0.0883 | 20.711558 |
| +30d | 1,729 | 752k | +0.1570 | 58.9 | +18.21% | 64.8% | 62.2% | 0.1945 | 45.509271 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.054 | 57.6% | +1.09% | +0.073 | 72.2% | +8.85% | – | – | – | 20 |
| 2026-09 | +0.081 | 52.0% | +1.52% | +0.121 | 51.3% | +7.80% | +0.188 | 54.1% | +30.45% | 30 |
| 2026-08 | +0.042 | 55.2% | +0.92% | +0.076 | 56.6% | +4.10% | +0.141 | 60.8% | +11.37% | 31 |
| 2026-07 | +0.063 | 58.7% | +1.99% | +0.088 | 67.7% | +7.56% | +0.092 | 61.6% | +16.79% | 31 |
| 2026-06 | +0.045 | 54.5% | +1.00% | +0.033 | 58.3% | +2.02% | +0.104 | 65.5% | +13.32% | 30 |
| 2026-05 | +0.074 | 52.9% | +0.92% | +0.100 | 55.6% | +4.97% | +0.038 | 61.8% | -0.45% | 31 |
| 2026-04 | +0.070 | 57.9% | +1.17% | +0.055 | 60.3% | +0.71% | +0.062 | 55.1% | +3.37% | 30 |
| 2026-03 | +0.039 | 56.8% | +0.84% | +0.052 | 62.3% | +4.12% | +0.075 | 59.3% | +11.06% | 31 |
| 2026-02 | +0.048 | 52.5% | +0.86% | +0.082 | 62.6% | +4.70% | +0.061 | 62.3% | +15.16% | 28 |
| 2026-01 | +0.073 | 56.4% | +0.89% | +0.106 | 61.3% | +3.31% | +0.048 | 48.1% | +7.77% | 31 |
| 2025-12 | +0.041 | 56.4% | +0.88% | +0.060 | 60.1% | +3.89% | +0.056 | 60.5% | +6.19% | 31 |
| 2025-11 | +0.068 | 51.3% | +1.78% | +0.074 | 45.2% | +4.76% | +0.104 | 60.7% | +8.71% | 30 |
| 2025-10 | +0.058 | 59.6% | +0.59% | +0.061 | 66.0% | +0.52% | +0.079 | 43.6% | +11.40% | 31 |
| 2025-09 | +0.050 | 58.8% | +0.00% | +0.042 | 71.2% | +0.88% | +0.073 | 81.4% | +5.78% | 30 |
| 2025-08 | +0.075 | 49.8% | +0.51% | +0.106 | 49.3% | +3.90% | +0.131 | 58.0% | +7.01% | 31 |
| 2025-07 | +0.088 | 53.5% | +0.86% | +0.112 | 54.0% | +3.58% | +0.127 | 52.4% | +7.01% | 31 |
| 2025-06 | +0.072 | 59.9% | +0.71% | +0.094 | 74.6% | +2.20% | +0.168 | 64.4% | +13.21% | 30 |
| 2025-05 | +0.093 | 58.4% | +1.36% | +0.165 | 65.7% | +5.43% | +0.285 | 75.1% | +22.40% | 31 |
| 2025-04 | +0.059 | 56.1% | +0.24% | +0.074 | 59.7% | +2.21% | +0.051 | 57.6% | +4.49% | 30 |
| 2025-03 | +0.071 | 57.4% | +1.11% | +0.136 | 68.6% | +6.54% | +0.178 | 77.6% | +14.53% | 31 |
| 2025-02 | +0.077 | 53.1% | +1.32% | +0.137 | 54.6% | +7.24% | +0.165 | 69.7% | +13.10% | 28 |
| 2025-01 | +0.077 | 61.7% | +0.46% | +0.149 | 84.7% | +5.43% | +0.269 | 87.1% | +33.07% | 31 |
| 2024-12 | +0.119 | 58.4% | +1.36% | +0.150 | 63.9% | +6.45% | +0.202 | 85.7% | +25.96% | 31 |
| 2024-11 | +0.125 | 56.4% | +1.86% | +0.237 | 62.2% | +10.30% | +0.274 | 58.7% | +30.40% | 30 |
| 2024-10 | +0.099 | 60.9% | +0.76% | +0.172 | 73.7% | +5.25% | +0.344 | 75.1% | +35.25% | 31 |
| 2024-09 | +0.073 | 51.5% | +2.01% | +0.085 | 53.5% | +10.60% | +0.138 | 61.2% | +17.12% | 30 |
| 2024-08 | +0.084 | 54.6% | +3.61% | +0.139 | 55.4% | +20.84% | +0.110 | 50.4% | +49.70% | 31 |
| 2024-07 | +0.084 | 58.7% | +3.42% | +0.136 | 69.2% | +23.67% | +0.235 | 67.4% | +84.60% | 31 |
| 2024-06 | +0.106 | 61.2% | +3.35% | +0.173 | 70.5% | +16.91% | +0.203 | 75.4% | +70.87% | 30 |
| 2024-05 | +0.063 | 58.2% | +1.38% | +0.089 | 66.0% | +5.79% | +0.196 | 72.8% | +31.23% | 31 |
| 2024-04 | +0.136 | 58.9% | +2.69% | +0.213 | 68.2% | +11.12% | +0.129 | 79.0% | +10.37% | 27 |
| 2024-03 | +0.103 | 55.4% | +0.97% | +0.138 | 59.3% | +7.34% | +0.183 | 68.9% | +45.19% | 31 |
| 2024-02 | +0.104 | 56.2% | +1.76% | +0.217 | 63.2% | +14.79% | +0.335 | 61.0% | +45.06% | 29 |
| 2024-01 | +0.096 | 59.7% | +1.54% | +0.111 | 63.7% | +8.81% | +0.176 | 67.9% | +47.21% | 31 |
| 2023-12 | +0.095 | 52.9% | -0.21% | +0.106 | 52.3% | +3.13% | +0.124 | 58.1% | +16.09% | 31 |
| 2023-11 | +0.084 | 54.5% | -0.12% | +0.074 | 57.0% | -1.06% | +0.044 | 46.2% | +5.91% | 30 |
| 2023-10 | +0.098 | 57.6% | +0.80% | +0.121 | 72.6% | +5.01% | +0.052 | 54.2% | +5.74% | 31 |
| 2023-09 | +0.069 | 51.6% | +0.36% | +0.067 | 61.9% | +0.12% | +0.095 | 66.4% | +6.75% | 30 |
| 2023-08 | +0.065 | 56.6% | +0.71% | +0.116 | 61.3% | +2.32% | +0.078 | 64.6% | +1.52% | 29 |
| 2023-07 | +0.107 | 53.4% | +0.89% | +0.133 | 49.1% | +3.68% | +0.162 | 60.8% | +11.08% | 31 |
| 2023-06 | +0.119 | 59.7% | +1.11% | +0.187 | 73.4% | +4.75% | +0.294 | 67.6% | +15.56% | 30 |
| 2023-05 | +0.082 | 58.0% | +0.71% | +0.081 | 63.7% | +3.04% | +0.207 | 84.0% | +14.71% | 31 |
| 2023-04 | +0.099 | 57.7% | +0.67% | +0.138 | 70.2% | +1.75% | +0.141 | 72.0% | +6.20% | 30 |
| 2023-03 | +0.112 | 64.0% | +1.12% | +0.129 | 65.4% | +1.92% | +0.269 | 68.5% | +16.18% | 31 |
| 2023-02 | +0.138 | 54.6% | +1.58% | +0.204 | 63.0% | +5.99% | +0.342 | 84.5% | +16.87% | 28 |
| 2023-01 | +0.091 | 55.0% | +0.28% | +0.132 | 58.8% | +4.26% | +0.121 | 61.4% | +12.19% | 31 |
| 2022-12 | +0.076 | 59.7% | +0.83% | +0.124 | 69.7% | +3.41% | +0.145 | 68.6% | +12.75% | 31 |
| 2022-11 | +0.100 | 55.6% | +2.22% | +0.128 | 61.8% | +5.55% | +0.157 | 68.0% | +17.21% | 30 |
| 2022-10 | +0.114 | 56.8% | +1.10% | +0.124 | 60.7% | +3.31% | +0.131 | 64.8% | +10.15% | 31 |
| 2022-09 | +0.079 | 52.6% | +1.06% | +0.123 | 67.0% | +2.82% | +0.276 | 72.4% | +12.75% | 30 |
| 2022-08 | +0.119 | 55.0% | +0.54% | +0.136 | 54.2% | +0.72% | +0.129 | 62.5% | -0.33% | 31 |
| 2022-07 | +0.120 | 55.0% | +0.78% | +0.100 | 53.7% | +2.01% | +0.141 | 54.5% | +1.63% | 31 |
| 2022-06 | +0.075 | 56.6% | +0.54% | +0.060 | 53.4% | +2.50% | +0.024 | 44.3% | -0.93% | 30 |
| 2022-05 | +0.092 | 52.7% | +3.70% | +0.078 | 62.1% | +7.74% | -0.037 | 51.4% | +10.05% | 31 |
| 2022-04 | +0.127 | 62.1% | +1.40% | +0.162 | 74.2% | +4.16% | +0.210 | 91.8% | +40.88% | 30 |
| 2022-03 | +0.123 | 49.3% | +0.62% | +0.182 | 45.4% | +6.90% | +0.217 | 46.5% | +15.45% | 31 |
| 2022-02 | +0.106 | 56.8% | +0.74% | +0.147 | 68.0% | +4.59% | +0.270 | 60.9% | +18.63% | 28 |
| 2022-01 | +0.079 | 53.4% | +0.86% | +0.121 | 65.2% | +3.76% | +0.319 | 78.9% | +26.38% | 31 |
| 2021-12 | +0.066 | 52.8% | +0.32% | +0.067 | 37.0% | +4.43% | +0.259 | 66.1% | +17.18% | 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.