Accuracy — lstm_s2
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 | +0.0937 | 37.9 | +1.40% | 55.4% | 53.8% | 0.0331 | 7.620428 |
| +7d | 1,752 | 777k | +0.1339 | 52.0 | +5.98% | 61.3% | 59.1% | 0.0879 | 20.579423 |
| +30d | 1,729 | 752k | +0.1914 | 67.8 | +20.25% | 67.4% | 63.5% | 0.1952 | 44.987555 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.057 | 56.4% | +1.60% | +0.077 | 69.6% | +7.24% | – | – | – | 20 |
| 2026-09 | +0.074 | 51.1% | +1.77% | +0.091 | 49.3% | +7.98% | +0.172 | 58.0% | +25.79% | 30 |
| 2026-08 | +0.055 | 54.1% | +1.03% | +0.086 | 57.0% | +4.27% | +0.148 | 63.0% | +12.56% | 31 |
| 2026-07 | +0.073 | 52.7% | +1.98% | +0.077 | 62.7% | +4.98% | +0.078 | 69.1% | +5.96% | 31 |
| 2026-06 | +0.047 | 52.8% | +1.38% | +0.043 | 56.8% | +3.24% | +0.082 | 68.9% | +12.34% | 30 |
| 2026-05 | +0.063 | 53.5% | +0.81% | +0.072 | 56.2% | +4.90% | +0.003 | 63.2% | +2.57% | 31 |
| 2026-04 | +0.067 | 56.5% | +1.35% | +0.035 | 59.2% | +3.51% | +0.022 | 57.6% | +6.07% | 30 |
| 2026-03 | +0.042 | 50.5% | +1.08% | +0.037 | 52.5% | +2.69% | +0.039 | 56.1% | +9.89% | 31 |
| 2026-02 | +0.050 | 49.6% | +0.56% | +0.074 | 48.4% | +2.74% | +0.053 | 53.5% | +11.59% | 28 |
| 2026-01 | +0.077 | 56.3% | +0.94% | +0.095 | 60.5% | +1.60% | +0.089 | 47.2% | +8.84% | 31 |
| 2025-12 | +0.048 | 53.2% | +0.80% | +0.069 | 58.3% | +4.06% | +0.076 | 63.4% | +4.85% | 31 |
| 2025-11 | +0.053 | 49.6% | +1.39% | +0.033 | 44.8% | +2.64% | +0.065 | 61.4% | +6.77% | 30 |
| 2025-10 | +0.062 | 54.4% | +0.45% | +0.056 | 63.7% | +0.33% | +0.088 | 45.9% | +10.41% | 31 |
| 2025-09 | +0.067 | 57.6% | +0.55% | +0.053 | 70.6% | +0.43% | +0.105 | 84.2% | +3.24% | 30 |
| 2025-08 | +0.073 | 50.0% | +0.46% | +0.091 | 49.5% | +1.74% | +0.094 | 57.8% | +6.76% | 31 |
| 2025-07 | +0.093 | 53.7% | +0.94% | +0.118 | 54.0% | +3.06% | +0.110 | 51.4% | +8.60% | 31 |
| 2025-06 | +0.070 | 59.1% | +0.79% | +0.091 | 69.7% | +2.13% | +0.125 | 62.2% | +8.04% | 30 |
| 2025-05 | +0.112 | 55.9% | +1.48% | +0.161 | 40.7% | +5.23% | +0.277 | 44.2% | +17.47% | 31 |
| 2025-04 | +0.085 | 54.4% | +0.99% | +0.133 | 60.2% | +3.78% | +0.135 | 62.6% | +11.75% | 30 |
| 2025-03 | +0.099 | 57.8% | +1.64% | +0.171 | 66.8% | +7.76% | +0.279 | 82.2% | +19.28% | 31 |
| 2025-02 | +0.092 | 55.0% | +1.68% | +0.174 | 56.1% | +7.80% | +0.255 | 71.4% | +17.21% | 28 |
| 2025-01 | +0.103 | 61.4% | +1.40% | +0.256 | 84.8% | +10.52% | +0.362 | 88.7% | +38.04% | 31 |
| 2024-12 | +0.130 | 63.6% | +1.87% | +0.210 | 68.3% | +8.45% | +0.334 | 86.5% | +36.40% | 31 |
| 2024-11 | +0.121 | 56.4% | +1.82% | +0.247 | 65.4% | +13.69% | +0.346 | 65.0% | +42.76% | 30 |
| 2024-10 | +0.123 | 59.1% | +1.16% | +0.207 | 67.1% | +5.99% | +0.353 | 79.8% | +39.72% | 31 |
| 2024-09 | +0.087 | 50.9% | +2.29% | +0.126 | 54.9% | +13.46% | +0.198 | 68.2% | +18.81% | 30 |
| 2024-08 | +0.104 | 56.7% | +3.71% | +0.177 | 56.5% | +22.12% | +0.152 | 51.1% | +54.27% | 31 |
| 2024-07 | +0.104 | 55.4% | +3.57% | +0.196 | 68.7% | +24.71% | +0.319 | 77.3% | +92.06% | 31 |
| 2024-06 | +0.122 | 61.1% | +3.83% | +0.216 | 72.0% | +20.30% | +0.314 | 78.6% | +78.81% | 30 |
| 2024-05 | +0.074 | 56.3% | +1.76% | +0.113 | 65.5% | +7.94% | +0.260 | 83.8% | +43.77% | 31 |
| 2024-04 | +0.145 | 61.1% | +3.23% | +0.250 | 70.6% | +13.22% | +0.159 | 79.7% | +13.09% | 27 |
| 2024-03 | +0.103 | 58.7% | +0.95% | +0.174 | 67.5% | +10.49% | +0.292 | 74.1% | +55.64% | 31 |
| 2024-02 | +0.109 | 54.0% | +1.63% | +0.167 | 60.1% | +10.73% | +0.291 | 54.3% | +40.34% | 29 |
| 2024-01 | +0.110 | 58.0% | +1.58% | +0.142 | 66.0% | +7.19% | +0.228 | 67.4% | +46.83% | 31 |
| 2023-12 | +0.100 | 54.6% | +0.26% | +0.151 | 61.6% | +5.23% | +0.162 | 58.5% | +17.89% | 31 |
| 2023-11 | +0.077 | 54.5% | +0.10% | +0.074 | 52.2% | +0.33% | +0.083 | 55.0% | +5.50% | 30 |
| 2023-10 | +0.127 | 58.1% | +1.22% | +0.152 | 73.7% | +5.74% | +0.101 | 52.4% | +13.89% | 31 |
| 2023-09 | +0.076 | 52.6% | +0.53% | +0.084 | 61.5% | +0.21% | +0.156 | 76.3% | +8.54% | 30 |
| 2023-08 | +0.095 | 56.1% | +1.01% | +0.148 | 61.1% | +2.63% | +0.130 | 66.7% | +4.37% | 29 |
| 2023-07 | +0.114 | 55.1% | +1.36% | +0.140 | 52.6% | +4.02% | +0.206 | 61.6% | +14.68% | 31 |
| 2023-06 | +0.120 | 56.1% | +1.36% | +0.193 | 70.9% | +4.41% | +0.316 | 63.9% | +16.02% | 30 |
| 2023-05 | +0.084 | 56.9% | +0.75% | +0.082 | 63.3% | +3.23% | +0.233 | 88.2% | +15.32% | 31 |
| 2023-04 | +0.109 | 55.0% | +0.58% | +0.136 | 64.8% | +1.52% | +0.220 | 72.8% | +9.51% | 30 |
| 2023-03 | +0.105 | 61.3% | +1.34% | +0.205 | 69.8% | +6.62% | +0.362 | 65.5% | +22.25% | 31 |
| 2023-02 | +0.131 | 58.6% | +1.46% | +0.185 | 66.0% | +6.09% | +0.357 | 84.1% | +19.49% | 28 |
| 2023-01 | +0.082 | 52.6% | +0.66% | +0.104 | 61.3% | +1.98% | +0.136 | 63.2% | +7.46% | 31 |
| 2022-12 | +0.080 | 53.4% | +1.06% | +0.105 | 66.9% | +2.98% | +0.125 | 79.3% | +9.82% | 31 |
| 2022-11 | +0.106 | 53.9% | +2.55% | +0.138 | 61.9% | +5.69% | +0.172 | 76.9% | +15.14% | 30 |
| 2022-10 | +0.115 | 55.3% | +1.14% | +0.142 | 60.5% | +3.12% | +0.145 | 69.8% | +15.80% | 31 |
| 2022-09 | +0.084 | 50.6% | +1.08% | +0.143 | 66.9% | +3.40% | +0.245 | 78.9% | +11.96% | 30 |
| 2022-08 | +0.136 | 56.3% | +1.09% | +0.150 | 53.3% | +3.71% | +0.134 | 63.3% | +7.36% | 31 |
| 2022-07 | +0.136 | 53.1% | +2.00% | +0.148 | 54.5% | +4.91% | +0.277 | 64.7% | +17.81% | 31 |
| 2022-06 | +0.098 | 56.2% | +0.96% | +0.144 | 65.5% | +6.98% | +0.265 | 65.8% | +16.51% | 30 |
| 2022-05 | +0.113 | 53.6% | +3.84% | +0.175 | 58.1% | +7.78% | +0.268 | 73.9% | +25.53% | 31 |
| 2022-04 | +0.145 | 62.0% | +1.56% | +0.192 | 73.5% | +4.64% | +0.216 | 93.2% | +22.52% | 30 |
| 2022-03 | +0.118 | 53.0% | +0.50% | +0.181 | 45.2% | +4.69% | +0.261 | 42.8% | +12.60% | 31 |
| 2022-02 | +0.106 | 53.9% | +0.96% | +0.170 | 65.0% | +3.45% | +0.286 | 68.7% | +19.91% | 28 |
| 2022-01 | +0.082 | 53.9% | +1.59% | +0.091 | 64.5% | +4.30% | +0.142 | 76.1% | +15.04% | 31 |
| 2021-12 | +0.079 | 54.2% | +1.14% | +0.160 | 42.5% | +5.68% | +0.233 | 71.7% | +20.12% | 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.