Accuracy — lstm_s4
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 | +0.0749 | 35.4 | +1.11% | 53.2% | 53.0% | 0.0333 | 7.606885 |
| +7d | 1,752 | 777k | +0.1099 | 46.4 | +4.71% | 58.2% | 57.5% | 0.0898 | 20.712050 |
| +30d | 1,729 | 752k | +0.1538 | 62.3 | +16.29% | 65.5% | 63.0% | 0.1946 | 45.065082 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.064 | 54.4% | +1.48% | +0.084 | 65.5% | +6.37% | – | – | – | 20 |
| 2026-09 | +0.084 | 52.0% | +1.78% | +0.112 | 51.7% | +7.75% | +0.157 | 56.7% | +27.73% | 30 |
| 2026-08 | +0.037 | 52.8% | +0.75% | +0.062 | 53.3% | +3.09% | +0.148 | 62.2% | +12.95% | 31 |
| 2026-07 | +0.055 | 54.0% | +1.43% | +0.064 | 60.7% | +5.38% | +0.081 | 67.8% | +13.33% | 31 |
| 2026-06 | +0.037 | 48.8% | +1.22% | +0.051 | 50.8% | +3.59% | +0.094 | 69.6% | +15.20% | 30 |
| 2026-05 | +0.071 | 52.7% | +0.82% | +0.083 | 55.3% | +4.80% | +0.015 | 61.6% | +5.97% | 31 |
| 2026-04 | +0.065 | 53.2% | +1.13% | +0.067 | 55.1% | +2.36% | +0.048 | 54.9% | +5.83% | 30 |
| 2026-03 | +0.046 | 52.6% | +0.65% | +0.063 | 57.7% | +2.16% | +0.092 | 66.8% | +9.12% | 31 |
| 2026-02 | +0.039 | 52.3% | +0.35% | +0.079 | 54.0% | +2.97% | +0.084 | 69.0% | +7.25% | 28 |
| 2026-01 | +0.073 | 54.4% | +0.92% | +0.103 | 59.6% | +2.17% | -0.043 | 46.9% | -2.64% | 31 |
| 2025-12 | +0.040 | 51.0% | +1.03% | +0.079 | 55.4% | +4.95% | +0.107 | 63.5% | +10.03% | 31 |
| 2025-11 | +0.068 | 53.6% | +1.54% | +0.090 | 46.9% | +4.32% | +0.124 | 62.7% | +14.05% | 30 |
| 2025-10 | +0.055 | 53.2% | +0.35% | +0.040 | 55.1% | -0.08% | +0.115 | 43.5% | +15.46% | 31 |
| 2025-09 | +0.063 | 55.4% | +0.45% | +0.041 | 66.9% | -0.12% | +0.021 | 82.9% | -1.74% | 30 |
| 2025-08 | +0.077 | 51.3% | +0.48% | +0.104 | 49.7% | +1.99% | +0.163 | 58.0% | +7.76% | 31 |
| 2025-07 | +0.093 | 54.0% | +1.15% | +0.129 | 57.9% | +4.42% | +0.112 | 51.6% | +5.01% | 31 |
| 2025-06 | +0.059 | 55.0% | +0.50% | +0.080 | 69.1% | -0.08% | +0.133 | 63.6% | +5.93% | 30 |
| 2025-05 | +0.071 | 49.4% | +0.93% | +0.129 | 47.4% | +4.85% | +0.227 | 60.5% | +19.40% | 31 |
| 2025-04 | +0.064 | 52.6% | +0.62% | +0.108 | 53.4% | +3.13% | +0.123 | 58.5% | +11.72% | 30 |
| 2025-03 | +0.075 | 51.1% | +1.57% | +0.131 | 61.8% | +5.37% | +0.160 | 81.9% | +14.38% | 31 |
| 2025-02 | +0.083 | 53.1% | +1.51% | +0.152 | 52.8% | +9.57% | +0.182 | 70.3% | +16.40% | 28 |
| 2025-01 | +0.090 | 57.9% | +0.96% | +0.124 | 79.7% | +2.86% | +0.249 | 87.5% | +27.73% | 31 |
| 2024-12 | +0.110 | 56.8% | +1.56% | +0.154 | 59.4% | +6.24% | +0.202 | 83.2% | +22.09% | 31 |
| 2024-11 | +0.073 | 55.7% | +1.28% | +0.169 | 60.2% | +8.28% | +0.262 | 57.6% | +33.91% | 30 |
| 2024-10 | +0.093 | 53.6% | +0.70% | +0.170 | 60.4% | +4.48% | +0.319 | 74.8% | +33.08% | 31 |
| 2024-09 | +0.084 | 54.4% | +2.24% | +0.103 | 52.9% | +11.07% | +0.169 | 63.5% | +15.84% | 30 |
| 2024-08 | +0.076 | 51.2% | +3.11% | +0.143 | 55.9% | +19.45% | +0.076 | 50.8% | +46.18% | 31 |
| 2024-07 | +0.073 | 52.9% | +3.08% | +0.147 | 57.6% | +23.24% | +0.184 | 72.9% | +82.08% | 31 |
| 2024-06 | +0.081 | 55.0% | +3.08% | +0.123 | 65.3% | +17.19% | +0.189 | 77.3% | +70.60% | 30 |
| 2024-05 | +0.062 | 54.2% | +1.56% | +0.110 | 64.3% | +7.75% | +0.225 | 80.2% | +33.72% | 31 |
| 2024-04 | +0.121 | 57.2% | +2.24% | +0.221 | 72.0% | +11.24% | +0.192 | 79.2% | +14.28% | 27 |
| 2024-03 | +0.083 | 52.1% | +0.72% | +0.134 | 55.9% | +8.14% | +0.196 | 57.6% | +32.28% | 31 |
| 2024-02 | +0.067 | 50.8% | +1.21% | +0.178 | 60.9% | +10.78% | +0.271 | 56.8% | +36.03% | 29 |
| 2024-01 | +0.086 | 56.9% | +0.97% | +0.089 | 63.7% | +3.46% | +0.134 | 67.2% | +19.61% | 31 |
| 2023-12 | +0.095 | 53.4% | +0.07% | +0.101 | 56.2% | +3.45% | +0.111 | 56.4% | +6.78% | 31 |
| 2023-11 | +0.066 | 53.8% | +0.01% | +0.066 | 55.1% | -0.77% | +0.043 | 48.2% | +4.87% | 30 |
| 2023-10 | +0.074 | 53.5% | +0.74% | +0.089 | 66.3% | +3.54% | +0.061 | 55.9% | +4.72% | 31 |
| 2023-09 | +0.066 | 51.8% | +0.53% | +0.086 | 60.0% | +0.84% | +0.122 | 75.3% | +9.31% | 30 |
| 2023-08 | +0.078 | 54.3% | +1.01% | +0.112 | 57.6% | +2.05% | +0.078 | 66.1% | +2.96% | 29 |
| 2023-07 | +0.079 | 51.4% | +1.11% | +0.111 | 51.2% | +2.88% | +0.180 | 60.6% | +7.98% | 31 |
| 2023-06 | +0.073 | 54.2% | +0.65% | +0.123 | 64.8% | +3.04% | +0.209 | 69.8% | +12.12% | 30 |
| 2023-05 | +0.085 | 55.3% | +0.65% | +0.114 | 62.7% | +4.32% | +0.216 | 87.5% | +14.12% | 31 |
| 2023-04 | +0.073 | 54.4% | +0.29% | +0.108 | 61.9% | +1.71% | +0.141 | 67.5% | +8.05% | 30 |
| 2023-03 | +0.058 | 53.3% | +0.70% | +0.118 | 53.1% | +2.88% | +0.237 | 66.0% | +11.93% | 31 |
| 2023-02 | +0.132 | 56.5% | +1.19% | +0.227 | 64.4% | +6.28% | +0.350 | 81.0% | +16.03% | 28 |
| 2023-01 | +0.033 | 52.2% | +0.14% | +0.076 | 55.0% | +1.22% | +0.117 | 64.0% | +6.47% | 31 |
| 2022-12 | +0.042 | 53.7% | +0.70% | +0.101 | 64.0% | +1.43% | +0.122 | 78.9% | +6.20% | 31 |
| 2022-11 | +0.087 | 51.7% | +2.00% | +0.110 | 58.6% | +2.27% | +0.171 | 73.1% | +13.89% | 30 |
| 2022-10 | +0.070 | 53.5% | +0.85% | +0.121 | 60.8% | +3.42% | +0.115 | 68.4% | +6.49% | 31 |
| 2022-09 | +0.061 | 52.7% | +0.83% | +0.098 | 60.1% | +2.31% | +0.230 | 78.0% | +15.27% | 30 |
| 2022-08 | +0.107 | 54.7% | +0.31% | +0.132 | 57.3% | +1.68% | +0.143 | 61.4% | +4.60% | 31 |
| 2022-07 | +0.110 | 53.1% | +1.63% | +0.095 | 50.5% | +2.39% | +0.170 | 43.1% | +7.78% | 31 |
| 2022-06 | +0.058 | 59.0% | +0.84% | +0.065 | 59.7% | +2.21% | +0.045 | 33.6% | +2.56% | 30 |
| 2022-05 | +0.093 | 48.8% | +4.02% | +0.090 | 46.2% | -1.16% | +0.012 | 45.8% | +2.66% | 31 |
| 2022-04 | +0.107 | 56.1% | +1.15% | +0.142 | 68.0% | +3.36% | +0.188 | 92.3% | +20.95% | 30 |
| 2022-03 | +0.113 | 51.4% | +0.70% | +0.171 | 49.4% | +6.95% | +0.246 | 43.4% | +17.09% | 31 |
| 2022-02 | +0.071 | 50.6% | +0.52% | +0.126 | 58.1% | +2.50% | +0.337 | 66.5% | +19.37% | 28 |
| 2022-01 | +0.085 | 46.7% | +0.70% | +0.117 | 58.5% | +3.38% | +0.294 | 83.6% | +24.92% | 31 |
| 2021-12 | +0.107 | 48.8% | +1.44% | +0.075 | 46.1% | +5.44% | +0.261 | 73.9% | +25.69% | 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.