Accuracy — lstm_s2
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 | +0.0649 | 18.7 | +1.06% | 53.5% | 52.7% | 0.0356 | 4.488390 |
| +7d | 524 | 408k | +0.0744 | 22.9 | +3.32% | 56.6% | 56.5% | 0.0944 | 12.435819 |
| +30d | 501 | 384k | +0.0918 | 28.5 | +9.01% | 59.2% | 61.4% | 0.2080 | 26.366423 |
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 | +0.102 | 53.0% | +1.38% | +0.161 | 38.0% | +4.75% | +0.281 | 37.8% | +16.12% | 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.