Accuracy — lstm_s4
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 | +0.0606 | 19.4 | +0.93% | 52.7% | 52.1% | 0.0356 | 4.505181 |
| +7d | 524 | 408k | +0.0808 | 22.8 | +3.27% | 56.0% | 54.9% | 0.0944 | 12.639100 |
| +30d | 501 | 384k | +0.0960 | 28.4 | +9.57% | 61.3% | 62.8% | 0.2040 | 26.871777 |
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 | +0.066 | 48.2% | +0.87% | +0.140 | 45.0% | +4.82% | +0.231 | 60.1% | +19.23% | 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.