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 validation only — 2.3M assessed, 56k still pending a matured horizon.
Out-of-sample skill by horizon
+1d · rank IC
+0.0662 t=+13.6
265 days · 179k token-days
+1d · long-short decile
+0.80%
beta-adjusted alpha per period, before costs
+1d · direction hit
53.0%
in alpha space · 52.7% on raw price
+7d · rank IC
+0.0875 t=+15.5
265 days · 178k token-days
+7d · long-short decile
+2.34%
beta-adjusted alpha per period, before costs
+7d · direction hit
56.5%
in alpha space · 56.1% on raw price
+30d · rank IC
+0.1043 t=+19.6
265 days · 177k token-days
+30d · long-short decile
+7.79%
beta-adjusted alpha per period, before costs
+30d · direction hit
59.2%
in alpha space · 66.8% 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 |
|---|---|---|---|---|---|---|---|---|---|
| 2026-01-28 | held out | 806 | -5.21% | +0.017 | +0.01% | -0.093 | -3.27% | -0.069 | +0.98% |
| 2026-01-27 | held out | 808 | +0.05% | +0.003 | -0.11% | -0.044 | +0.06% | -0.043 | -3.09% |
| 2026-01-26 | held out | 809 | +0.98% | +0.022 | +1.60% | -0.031 | -2.34% | -0.053 | -4.68% |
| 2026-01-25 | held out | 804 | +1.95% | +0.070 | -0.30% | -0.012 | -2.23% | -0.049 | -1.02% |
| 2026-01-24 | held out | 803 | -2.83% | +0.093 | +1.01% | -0.007 | -4.95% | -0.046 | -5.43% |
| 2026-01-23 | held out | 804 | -0.44% | +0.087 | -0.85% | +0.008 | -5.09% | -0.053 | -7.42% |
| 2026-01-22 | held out | 804 | +0.01% | +0.095 | +2.69% | +0.023 | -2.16% | -0.067 | -6.08% |
| 2026-01-21 | held out | 800 | +0.11% | +0.053 | +0.90% | +0.093 | -0.07% | -0.053 | -4.47% |
| 2026-01-20 | held out | 799 | +1.19% | +0.010 | +0.26% | +0.080 | -0.39% | -0.080 | -2.25% |
| 2026-01-19 | held out | 797 | -4.59% | +0.013 | -0.21% | +0.115 | +2.19% | -0.081 | -6.38% |
| 2026-01-18 | held out | 802 | -1.15% | -0.026 | -2.84% | +0.088 | -1.58% | -0.085 | -8.17% |
| 2026-01-17 | held out | 804 | -1.55% | -0.014 | -0.96% | +0.020 | -1.91% | -0.141 | -11.29% |
| 2026-01-16 | held out | 803 | -0.41% | +0.190 | +2.26% | +0.086 | -2.63% | -0.076 | -8.51% |
| 2026-01-15 | held out | 805 | -0.09% | +0.060 | +0.72% | +0.085 | -1.32% | -0.079 | -10.06% |
| 2026-01-14 | held out | 804 | -1.41% | +0.026 | +0.40% | +0.060 | -4.13% | -0.070 | -9.90% |
| 2026-01-13 | held out | 804 | +1.65% | +0.157 | +3.93% | +0.142 | +1.53% | -0.103 | -13.05% |
| 2026-01-12 | held out | 802 | +4.60% | +0.155 | +1.85% | +0.145 | +0.90% | -0.079 | -9.72% |
| 2026-01-11 | held out | 796 | +0.35% | +0.091 | -0.34% | +0.210 | +4.18% | -0.062 | -9.73% |
| 2026-01-10 | held out | 797 | +0.55% | +0.017 | +0.56% | +0.140 | +3.52% | -0.092 | -13.70% |
| 2026-01-09 | held out | 801 | -0.16% | +0.036 | +1.12% | +0.102 | +4.73% | -0.082 | -10.75% |
| 2026-01-08 | held out | 801 | -0.56% | +0.029 | +0.03% | +0.126 | +3.75% | -0.084 | -8.26% |
Accuracy by month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01 | +0.075 | 54.7% | +0.83% | +0.099 | 60.1% | +1.30% | -0.050 | 47.3% | -4.01% | 28 |
| 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 |