lstm_s4
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 val + test — 2.3M assessed, 56k still pending a matured horizon.
Out-of-sample skill by horizon
+1d · rank IC
+0.0606 t=+19.4
530 days · 415k token-days
+1d · long-short decile
+0.93%
beta-adjusted alpha per period, before costs
+1d · direction hit
52.7%
in alpha space · 52.1% on raw price
+7d · rank IC
+0.0808 t=+22.8
524 days · 408k token-days
+7d · long-short decile
+3.27%
beta-adjusted alpha per period, before costs
+7d · direction hit
56.0%
in alpha space · 54.9% on raw price
+30d · rank IC
+0.0960 t=+28.4
501 days · 384k token-days
+30d · long-short decile
+9.57%
beta-adjusted alpha per period, before costs
+30d · direction hit
61.3%
in alpha space · 62.8% 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_s4//model.pt
- cell type
- lstm
- parameters
- 316,819
- target
- beta
- horizons
- 1d, 7d, 30d
- calibration slopes
- 1.45, 0.75, 0.70
- data window
- 2021-10-20 → 2026-10-21
- train / val boundary
- 2025-05-08
- val / test boundary
- 2026-01-28
- registered
- 2026-10-21 18:40:11Z
- notes
- A/B arm: lstm seed 4, 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 |
|---|---|---|---|---|---|---|---|---|---|
| 2026-10-21 | held out | 994 | – | – | – | – | – | – | – |
| 2026-10-20 | held out | 995 | -0.29% | +0.014 | -1.20% | – | – | – | – |
| 2026-10-19 | held out | 995 | +1.34% | +0.109 | +5.33% | – | – | – | – |
| 2026-10-18 | held out | 994 | -0.21% | +0.018 | +3.09% | – | – | – | – |
| 2026-10-17 | held out | 994 | +0.77% | +0.005 | -1.44% | – | – | – | – |
| 2026-10-16 | held out | 994 | -0.15% | +0.025 | -3.38% | – | – | – | – |
| 2026-10-15 | held out | 996 | -0.76% | +0.078 | +1.53% | – | – | – | – |
| 2026-10-14 | held out | 996 | +0.68% | +0.025 | +1.95% | +0.011 | +7.88% | – | – |
| 2026-10-13 | held out | 996 | -1.85% | +0.099 | +1.60% | +0.051 | +7.22% | – | – |
| 2026-10-12 | held out | 996 | +1.66% | +0.069 | +1.64% | +0.066 | +2.65% | – | – |
| 2026-10-11 | held out | 995 | -2.31% | +0.148 | +3.96% | +0.167 | +8.92% | – | – |
| 2026-10-10 | held out | 993 | +0.93% | -0.009 | -1.28% | +0.071 | +2.35% | – | – |
| 2026-10-09 | held out | 994 | +0.44% | +0.052 | +2.66% | +0.099 | +7.80% | – | – |
| 2026-10-08 | held out | 994 | +1.04% | +0.094 | +3.51% | +0.103 | +8.27% | – | – |
| 2026-10-07 | held out | 994 | -1.90% | +0.019 | -1.12% | +0.094 | +9.83% | – | – |
| 2026-10-06 | held out | 994 | -2.65% | +0.160 | +3.98% | +0.115 | +10.34% | – | – |
| 2026-10-05 | held out | 994 | -0.24% | +0.136 | -0.11% | +0.089 | +3.06% | – | – |
| 2026-10-04 | held out | 990 | -0.88% | +0.052 | +2.19% | +0.079 | +6.13% | – | – |
| 2026-10-03 | held out | 990 | +2.08% | +0.087 | +0.19% | +0.100 | +3.99% | – | – |
| 2026-10-02 | held out | 990 | +0.28% | -0.033 | +0.50% | +0.032 | +1.66% | – | – |
| 2026-10-01 | held out | 988 | -0.41% | +0.135 | +6.00% | +0.104 | +9.12% | – | – |
Accuracy 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 |