lstm_s2
lstm · 316,819 params · beta · trained on 2021-10-20 → 2026-10-21 · 2.4M predictions across 1,769 dates and 1,000 tokens
showing validation only — 2.3M assessed, 56k still pending a matured horizon.
Out-of-sample skill by horizon
+1d · rank IC
+0.0713 t=+12.5
265 days · 179k token-days
+1d · long-short decile
+0.84%
beta-adjusted alpha per period, before costs
+1d · direction hit
54.1%
in alpha space · 53.3% on raw price
+7d · rank IC
+0.0828 t=+17.0
265 days · 178k token-days
+7d · long-short decile
+2.19%
beta-adjusted alpha per period, before costs
+7d · direction hit
57.3%
in alpha space · 58.0% on raw price
+30d · rank IC
+0.1100 t=+24.7
265 days · 177k token-days
+30d · long-short decile
+7.89%
beta-adjusted alpha per period, before costs
+30d · direction hit
57.4%
in alpha space · 65.6% on raw price
How to read this. rank IC is the mean daily cross-sectional Spearman correlation between predicted and realised alpha — it measures ranking, which is what the system is used for, and 0 means no skill. long-short decile is the realised beta-adjusted alpha of the top predicted decile minus the bottom, per period, before trading costs. direction hit is the share of tokens whose sign was right; 50% is a coin flip. Absolute price targets are tilts, not forecasts.
Model
- checkpoint
- runs/ablate_cells/lstm_s2//model.pt
- cell type
- lstm
- parameters
- 316,819
- target
- beta
- horizons
- 1d, 7d, 30d
- calibration slopes
- 0.80, 0.50, 0.30
- data window
- 2021-10-20 → 2026-10-21
- train / val boundary
- 2025-05-08
- val / test boundary
- 2026-01-28
- registered
- 2026-10-21 18:38:56Z
- notes
- A/B arm: lstm seed 2, production hyperparameters (lr 1e-3, bs 1024)
Recent dates
| date | split | tokens | BTC | IC +1d | LS +1d | IC +7d | LS +7d | IC +30d | LS +30d |
|---|---|---|---|---|---|---|---|---|---|
| 2026-01-28 | held out | 806 | -5.21% | +0.084 | -0.02% | +0.030 | +1.48% | +0.134 | +15.13% |
| 2026-01-27 | held out | 808 | +0.05% | -0.034 | +0.66% | +0.060 | +2.02% | +0.143 | +14.91% |
| 2026-01-26 | held out | 809 | +0.98% | +0.060 | +2.30% | +0.012 | -0.91% | +0.129 | +12.56% |
| 2026-01-25 | held out | 804 | +1.95% | +0.084 | -0.07% | -0.007 | -3.04% | +0.113 | +15.79% |
| 2026-01-24 | held out | 803 | -2.83% | +0.126 | +2.73% | +0.060 | -1.90% | +0.126 | +9.12% |
| 2026-01-23 | held out | 804 | -0.44% | +0.099 | +1.01% | +0.040 | -2.72% | +0.110 | +8.34% |
| 2026-01-22 | held out | 804 | +0.01% | +0.082 | +2.02% | +0.047 | -0.79% | +0.118 | +9.18% |
| 2026-01-21 | held out | 800 | +0.11% | +0.080 | +1.08% | +0.086 | +3.41% | +0.125 | +13.71% |
| 2026-01-20 | held out | 799 | +1.19% | +0.047 | +2.43% | +0.094 | +4.46% | +0.136 | +16.08% |
| 2026-01-19 | held out | 797 | -4.59% | +0.021 | -0.71% | +0.127 | +3.23% | +0.114 | +11.70% |
| 2026-01-18 | held out | 802 | -1.15% | +0.086 | +1.37% | +0.147 | +5.98% | +0.129 | +11.28% |
| 2026-01-17 | held out | 804 | -1.55% | +0.010 | -1.24% | +0.097 | +2.64% | +0.101 | +2.98% |
| 2026-01-16 | held out | 803 | -0.41% | +0.214 | +1.37% | +0.103 | +1.96% | +0.117 | +7.32% |
| 2026-01-15 | held out | 805 | -0.09% | +0.021 | +0.55% | +0.085 | -1.06% | +0.087 | +5.57% |
| 2026-01-14 | held out | 804 | -1.41% | +0.092 | +0.57% | +0.042 | -4.69% | +0.074 | +6.84% |
| 2026-01-13 | held out | 804 | +1.65% | +0.105 | +0.93% | +0.093 | -6.16% | +0.056 | +7.48% |
| 2026-01-12 | held out | 802 | +4.60% | +0.099 | +1.75% | +0.114 | -0.29% | +0.058 | +11.31% |
| 2026-01-11 | held out | 796 | +0.35% | +0.138 | +0.06% | +0.159 | -1.03% | +0.085 | +12.26% |
| 2026-01-10 | held out | 797 | +0.55% | +0.042 | -2.23% | +0.106 | +1.35% | +0.062 | +4.21% |
| 2026-01-09 | held out | 801 | -0.16% | +0.041 | +0.56% | +0.064 | +0.22% | +0.057 | +6.65% |
| 2026-01-08 | held out | 801 | -0.56% | +0.017 | -0.03% | +0.087 | +1.76% | +0.024 | +8.57% |
Accuracy by month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.082 | 56.4% | +0.91% | +0.092 | 62.8% | +1.04% | +0.088 | 47.6% | +8.17% | 28 |
| 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 |