Accuracy — lstm_s1
val + test · 2.3M
Summary
| horizon | days | token-days | rank IC | t | LS decile | hit (alpha) | hit (price) | MAE (alpha) | MAE (price) |
|---|---|---|---|---|---|---|---|---|---|
| +1d | 530 | 414k | +0.0606 | 20.8 | +0.94% | 55.6% | 54.0% | 0.0354 | 4.559588 |
| +7d | 524 | 407k | +0.0783 | 28.8 | +3.27% | 60.0% | 58.7% | 0.0932 | 12.673512 |
| +30d | 501 | 383k | +0.0830 | 29.6 | +8.26% | 62.7% | 64.0% | 0.2030 | 27.417565 |
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 | 57.9% | +1.37% | +0.055 | 71.6% | +6.72% | – | – | – | 21 |
| 2026-09 | +0.065 | 51.7% | +1.45% | +0.092 | 51.2% | +5.98% | +0.152 | 54.2% | +21.35% | 30 |
| 2026-08 | +0.049 | 55.3% | +1.22% | +0.077 | 56.3% | +4.49% | +0.119 | 61.3% | +9.38% | 31 |
| 2026-07 | +0.054 | 58.7% | +1.41% | +0.076 | 67.9% | +4.41% | +0.077 | 69.8% | +7.63% | 31 |
| 2026-06 | +0.047 | 54.1% | +1.07% | +0.038 | 55.5% | +2.39% | +0.070 | 69.7% | +13.82% | 30 |
| 2026-05 | +0.066 | 52.9% | +0.49% | +0.077 | 55.1% | +3.88% | +0.009 | 62.2% | +0.44% | 31 |
| 2026-04 | +0.071 | 58.0% | +1.12% | +0.044 | 60.1% | +2.79% | +0.011 | 56.6% | +2.00% | 30 |
| 2026-03 | +0.048 | 56.7% | +0.67% | +0.067 | 62.3% | +2.56% | +0.067 | 69.3% | +7.62% | 31 |
| 2026-02 | +0.058 | 52.9% | +0.60% | +0.079 | 62.7% | +3.03% | +0.048 | 68.8% | +8.11% | 28 |
| 2026-01 | +0.063 | 56.2% | +0.77% | +0.103 | 61.6% | +3.91% | +0.014 | 47.4% | +8.74% | 31 |
| 2025-12 | +0.041 | 56.3% | +0.90% | +0.069 | 59.7% | +3.97% | +0.048 | 63.8% | +8.63% | 31 |
| 2025-11 | +0.072 | 51.3% | +1.89% | +0.088 | 45.6% | +6.16% | +0.096 | 62.3% | +9.09% | 30 |
| 2025-10 | +0.053 | 58.9% | +0.43% | +0.072 | 65.2% | -0.15% | +0.111 | 46.0% | +13.72% | 31 |
| 2025-09 | +0.059 | 58.9% | +0.39% | +0.067 | 71.2% | +0.32% | +0.081 | 84.4% | +0.39% | 30 |
| 2025-08 | +0.077 | 50.0% | +0.39% | +0.091 | 49.4% | +2.00% | +0.110 | 58.0% | +6.27% | 31 |
| 2025-07 | +0.084 | 53.5% | +1.29% | +0.110 | 53.9% | +2.75% | +0.128 | 52.1% | +6.06% | 31 |
| 2025-06 | +0.057 | 59.9% | +0.55% | +0.072 | 73.8% | +1.05% | +0.104 | 64.0% | +5.70% | 30 |
| 2025-05 | +0.078 | 59.8% | +0.98% | +0.137 | 64.2% | +4.65% | +0.220 | 79.9% | +17.65% | 22 |
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.