Accuracy — lstm_s3
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 | +0.0789 | 34.6 | +1.14% | 56.0% | 53.6% | 0.0332 | 7.652752 |
| +7d | 1,752 | 777k | +0.1092 | 44.3 | +5.00% | 61.9% | 58.7% | 0.0883 | 20.828483 |
| +30d | 1,729 | 752k | +0.1491 | 57.5 | +15.92% | 67.0% | 63.6% | 0.1916 | 45.779447 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.040 | 57.6% | +0.67% | +0.040 | 71.8% | +2.73% | – | – | – | 20 |
| 2026-09 | +0.060 | 51.5% | +1.39% | +0.052 | 49.6% | +4.70% | +0.111 | 53.5% | +18.84% | 30 |
| 2026-08 | +0.036 | 54.2% | +0.78% | +0.051 | 57.0% | +2.62% | +0.116 | 61.8% | +11.79% | 31 |
| 2026-07 | +0.050 | 58.6% | +1.36% | +0.058 | 67.8% | +4.31% | +0.049 | 69.4% | +8.71% | 31 |
| 2026-06 | +0.037 | 54.6% | +1.23% | +0.031 | 58.3% | +1.98% | +0.074 | 70.3% | +13.03% | 30 |
| 2026-05 | +0.070 | 52.9% | +0.91% | +0.088 | 55.7% | +5.27% | +0.042 | 64.1% | +8.74% | 31 |
| 2026-04 | +0.057 | 57.9% | +1.09% | +0.025 | 60.4% | +1.79% | +0.050 | 57.5% | +11.37% | 30 |
| 2026-03 | +0.037 | 56.5% | +0.45% | +0.047 | 62.2% | +0.83% | +0.067 | 68.4% | +7.18% | 31 |
| 2026-02 | +0.050 | 52.0% | +0.73% | +0.099 | 61.1% | +4.73% | +0.082 | 68.2% | +8.71% | 28 |
| 2026-01 | +0.059 | 56.2% | +0.81% | +0.079 | 60.7% | +0.89% | -0.026 | 47.0% | -9.45% | 31 |
| 2025-12 | +0.031 | 56.3% | +0.70% | +0.040 | 60.1% | +2.73% | +0.071 | 63.7% | +4.76% | 31 |
| 2025-11 | +0.060 | 51.2% | +1.49% | +0.058 | 45.8% | +4.23% | +0.059 | 62.3% | +5.97% | 30 |
| 2025-10 | +0.050 | 59.1% | +0.58% | +0.044 | 65.9% | +0.23% | +0.138 | 46.1% | +13.90% | 31 |
| 2025-09 | +0.043 | 58.8% | +0.21% | +0.027 | 71.3% | -0.84% | +0.031 | 85.1% | +0.27% | 30 |
| 2025-08 | +0.070 | 49.8% | +0.69% | +0.080 | 49.2% | +2.08% | +0.115 | 57.9% | +9.13% | 31 |
| 2025-07 | +0.078 | 53.5% | +0.85% | +0.117 | 53.8% | +4.12% | +0.137 | 51.2% | +11.33% | 31 |
| 2025-06 | +0.053 | 59.8% | +0.38% | +0.065 | 74.5% | +0.08% | +0.130 | 64.0% | +5.28% | 30 |
| 2025-05 | +0.093 | 57.7% | +1.09% | +0.161 | 60.6% | +3.84% | +0.285 | 76.5% | +15.60% | 31 |
| 2025-04 | +0.065 | 56.0% | +0.70% | +0.117 | 60.5% | +4.95% | +0.203 | 63.5% | +19.15% | 30 |
| 2025-03 | +0.081 | 57.8% | +1.69% | +0.150 | 68.9% | +7.77% | +0.139 | 82.7% | +15.83% | 31 |
| 2025-02 | +0.079 | 53.8% | +2.03% | +0.143 | 54.6% | +7.60% | +0.160 | 71.1% | +14.76% | 28 |
| 2025-01 | +0.064 | 61.8% | +0.45% | +0.122 | 85.0% | +4.64% | +0.229 | 88.4% | +25.37% | 31 |
| 2024-12 | +0.109 | 57.8% | +1.28% | +0.164 | 63.2% | +6.60% | +0.259 | 86.1% | +22.08% | 31 |
| 2024-11 | +0.123 | 56.1% | +1.87% | +0.230 | 63.2% | +10.94% | +0.266 | 60.0% | +30.55% | 30 |
| 2024-10 | +0.109 | 60.7% | +0.95% | +0.162 | 72.8% | +3.75% | +0.317 | 77.6% | +33.69% | 31 |
| 2024-09 | +0.076 | 51.5% | +1.95% | +0.106 | 53.8% | +10.90% | +0.178 | 67.0% | +15.08% | 30 |
| 2024-08 | +0.086 | 54.9% | +3.06% | +0.122 | 55.9% | +19.85% | +0.116 | 50.8% | +49.76% | 31 |
| 2024-07 | +0.090 | 58.5% | +3.38% | +0.167 | 70.6% | +21.45% | +0.239 | 76.8% | +82.66% | 31 |
| 2024-06 | +0.089 | 60.5% | +3.09% | +0.175 | 69.9% | +17.48% | +0.233 | 78.3% | +69.81% | 30 |
| 2024-05 | +0.061 | 58.3% | +1.39% | +0.087 | 66.0% | +6.74% | +0.203 | 83.2% | +32.31% | 31 |
| 2024-04 | +0.111 | 57.7% | +2.37% | +0.184 | 63.9% | +12.33% | +0.190 | 79.7% | +17.20% | 27 |
| 2024-03 | +0.086 | 52.8% | +0.81% | +0.121 | 57.8% | +5.78% | +0.186 | 70.7% | +18.99% | 31 |
| 2024-02 | +0.093 | 56.8% | +1.51% | +0.182 | 61.2% | +13.56% | +0.255 | 55.6% | +40.72% | 29 |
| 2024-01 | +0.097 | 59.8% | +1.32% | +0.129 | 63.8% | +7.16% | +0.150 | 68.0% | +36.20% | 31 |
| 2023-12 | +0.092 | 53.4% | -0.46% | +0.079 | 52.5% | +3.78% | +0.114 | 58.1% | +12.90% | 31 |
| 2023-11 | +0.085 | 56.1% | -0.36% | +0.073 | 57.3% | -1.74% | +0.014 | 44.3% | -0.38% | 30 |
| 2023-10 | +0.101 | 58.5% | +1.02% | +0.156 | 72.5% | +4.43% | +0.144 | 52.3% | +13.57% | 31 |
| 2023-09 | +0.071 | 51.6% | +0.46% | +0.071 | 61.9% | +0.65% | +0.133 | 75.6% | +7.78% | 30 |
| 2023-08 | +0.057 | 56.5% | +0.92% | +0.074 | 61.3% | +1.40% | +0.061 | 66.7% | +1.64% | 29 |
| 2023-07 | +0.106 | 53.4% | +1.13% | +0.121 | 49.9% | +3.94% | +0.187 | 60.4% | +9.06% | 31 |
| 2023-06 | +0.106 | 60.0% | +1.31% | +0.162 | 72.8% | +3.80% | +0.233 | 65.0% | +13.20% | 30 |
| 2023-05 | +0.066 | 57.8% | +0.69% | +0.068 | 63.6% | +2.99% | +0.225 | 88.8% | +13.77% | 31 |
| 2023-04 | +0.079 | 57.6% | +0.64% | +0.070 | 68.2% | +0.44% | +0.079 | 76.1% | +4.79% | 30 |
| 2023-03 | +0.095 | 61.3% | +1.21% | +0.147 | 71.8% | +4.11% | +0.256 | 71.0% | +15.74% | 31 |
| 2023-02 | +0.135 | 57.5% | +1.54% | +0.222 | 65.2% | +6.81% | +0.342 | 86.2% | +17.96% | 28 |
| 2023-01 | +0.068 | 51.9% | +0.36% | +0.082 | 60.0% | +2.63% | +0.079 | 60.3% | +6.04% | 31 |
| 2022-12 | +0.071 | 59.8% | +0.73% | +0.095 | 70.0% | +2.83% | +0.029 | 80.2% | +5.09% | 31 |
| 2022-11 | +0.109 | 55.7% | +2.65% | +0.137 | 61.7% | +5.83% | +0.225 | 76.4% | +16.07% | 30 |
| 2022-10 | +0.101 | 56.8% | +0.91% | +0.103 | 60.4% | +2.82% | +0.126 | 70.6% | +8.46% | 31 |
| 2022-09 | +0.071 | 52.7% | +0.89% | +0.141 | 67.4% | +3.77% | +0.238 | 78.6% | +13.74% | 30 |
| 2022-08 | +0.107 | 54.4% | +0.62% | +0.110 | 53.4% | +3.62% | +0.123 | 62.0% | +3.70% | 31 |
| 2022-07 | +0.090 | 55.0% | +1.56% | +0.049 | 51.0% | +0.40% | +0.031 | 39.8% | +2.47% | 31 |
| 2022-06 | +0.068 | 55.6% | +0.30% | +0.079 | 51.4% | +2.81% | +0.086 | 37.8% | +6.57% | 30 |
| 2022-05 | +0.094 | 53.3% | +3.20% | +0.134 | 64.4% | +7.55% | +0.094 | 50.7% | +9.93% | 31 |
| 2022-04 | +0.125 | 61.3% | +1.51% | +0.186 | 73.7% | +4.63% | +0.202 | 93.0% | +13.86% | 30 |
| 2022-03 | +0.117 | 49.3% | +0.80% | +0.214 | 44.3% | +8.53% | +0.299 | 44.4% | +20.59% | 31 |
| 2022-02 | +0.080 | 57.1% | +0.63% | +0.126 | 69.9% | +2.86% | +0.198 | 68.0% | +13.98% | 28 |
| 2022-01 | +0.062 | 53.3% | +0.84% | +0.093 | 65.4% | +3.49% | +0.101 | 81.8% | +7.60% | 31 |
| 2021-12 | +0.117 | 52.5% | +1.22% | +0.142 | 36.6% | +5.98% | +0.236 | 72.8% | +16.20% | 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.