Accuracy — lstm_s3
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 | +0.0538 | 16.6 | +0.85% | 55.4% | 54.0% | 0.0355 | 4.542080 |
| +7d | 524 | 408k | +0.0645 | 19.2 | +2.54% | 60.3% | 59.1% | 0.0932 | 12.713655 |
| +30d | 501 | 384k | +0.0870 | 25.1 | +8.25% | 62.7% | 64.2% | 0.2030 | 27.129765 |
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 | +0.091 | 57.5% | +1.04% | +0.176 | 67.9% | +3.86% | +0.291 | 78.6% | +15.94% | 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.