Accuracy — lstm_s1
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 | +0.0630 | 19.7 | +0.99% | 55.7% | 54.1% | 0.0355 | 4.485059 |
| +7d | 524 | 408k | +0.0831 | 25.6 | +3.89% | 60.8% | 59.6% | 0.0931 | 12.495761 |
| +30d | 501 | 384k | +0.1040 | 32.5 | +10.63% | 60.2% | 62.0% | 0.2048 | 26.926639 |
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 | +0.099 | 59.7% | +1.39% | +0.181 | 76.4% | +5.19% | +0.291 | 77.5% | +22.06% | 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.