Accuracy — lstm_s5
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 | +0.0753 | 33.3 | +1.15% | 56.1% | 53.6% | 0.0332 | 7.660514 |
| +7d | 1,752 | 777k | +0.1073 | 47.4 | +4.47% | 61.9% | 58.2% | 0.0882 | 20.710312 |
| +30d | 1,729 | 752k | +0.1557 | 62.1 | +16.28% | 67.1% | 63.3% | 0.1917 | 45.559742 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.035 | 57.2% | +0.65% | +0.021 | 71.2% | +0.45% | – | – | – | 20 |
| 2026-09 | +0.063 | 51.7% | +1.20% | +0.064 | 49.7% | +2.14% | +0.118 | 50.9% | +17.86% | 30 |
| 2026-08 | +0.044 | 55.0% | +0.97% | +0.055 | 57.0% | +3.44% | +0.093 | 57.5% | +9.33% | 31 |
| 2026-07 | +0.039 | 58.2% | +1.39% | +0.043 | 67.8% | +3.82% | +0.056 | 70.4% | +7.47% | 31 |
| 2026-06 | +0.044 | 54.8% | +1.42% | +0.049 | 59.0% | +2.65% | +0.110 | 71.7% | +13.97% | 30 |
| 2026-05 | +0.060 | 52.8% | +0.68% | +0.077 | 55.6% | +3.44% | +0.007 | 64.8% | +3.08% | 31 |
| 2026-04 | +0.052 | 57.7% | +1.27% | +0.022 | 60.5% | +1.99% | +0.051 | 57.4% | +7.31% | 30 |
| 2026-03 | +0.034 | 56.5% | +0.84% | +0.049 | 62.4% | +1.84% | +0.085 | 69.5% | +7.48% | 31 |
| 2026-02 | +0.047 | 51.7% | +0.44% | +0.087 | 59.3% | +2.89% | +0.071 | 71.3% | +8.24% | 28 |
| 2026-01 | +0.058 | 56.0% | +0.41% | +0.083 | 60.5% | +0.33% | -0.026 | 47.1% | -3.51% | 31 |
| 2025-12 | +0.028 | 56.0% | +0.79% | +0.042 | 60.3% | +2.16% | +0.034 | 64.5% | +1.94% | 31 |
| 2025-11 | +0.047 | 51.4% | +1.43% | +0.034 | 46.3% | +1.28% | +0.064 | 63.5% | +5.03% | 30 |
| 2025-10 | +0.046 | 58.5% | +0.71% | +0.057 | 66.2% | +2.36% | +0.139 | 45.4% | +16.23% | 31 |
| 2025-09 | +0.051 | 58.8% | +0.47% | +0.056 | 71.2% | +1.78% | +0.070 | 85.1% | +7.41% | 30 |
| 2025-08 | +0.046 | 50.0% | +0.16% | +0.027 | 49.7% | +0.55% | +0.074 | 58.0% | +4.96% | 31 |
| 2025-07 | +0.069 | 53.7% | +0.76% | +0.089 | 53.8% | +1.83% | +0.108 | 51.0% | +2.22% | 31 |
| 2025-06 | +0.037 | 59.1% | +0.16% | +0.046 | 74.1% | +0.06% | +0.082 | 64.2% | +1.38% | 30 |
| 2025-05 | +0.089 | 58.3% | +0.99% | +0.148 | 66.7% | +4.01% | +0.286 | 85.3% | +20.29% | 31 |
| 2025-04 | +0.049 | 55.9% | +0.30% | +0.096 | 60.8% | +2.62% | +0.128 | 63.7% | +11.55% | 30 |
| 2025-03 | +0.062 | 57.5% | +1.60% | +0.125 | 68.5% | +7.51% | +0.142 | 83.0% | +15.93% | 31 |
| 2025-02 | +0.058 | 53.5% | +1.59% | +0.141 | 54.2% | +6.90% | +0.200 | 71.1% | +17.58% | 28 |
| 2025-01 | +0.069 | 61.6% | +0.54% | +0.099 | 84.8% | +1.87% | +0.212 | 88.6% | +22.99% | 31 |
| 2024-12 | +0.100 | 58.4% | +1.30% | +0.150 | 63.4% | +5.09% | +0.224 | 86.2% | +26.50% | 31 |
| 2024-11 | +0.123 | 55.9% | +1.80% | +0.199 | 63.6% | +10.75% | +0.234 | 53.4% | +29.15% | 30 |
| 2024-10 | +0.097 | 60.8% | +0.83% | +0.167 | 74.1% | +3.92% | +0.317 | 77.9% | +30.55% | 31 |
| 2024-09 | +0.092 | 51.7% | +2.27% | +0.118 | 53.9% | +10.49% | +0.191 | 67.3% | +17.84% | 30 |
| 2024-08 | +0.074 | 54.8% | +3.23% | +0.164 | 55.8% | +21.55% | +0.161 | 50.9% | +52.21% | 31 |
| 2024-07 | +0.079 | 58.2% | +3.10% | +0.180 | 70.6% | +20.66% | +0.244 | 77.8% | +86.09% | 31 |
| 2024-06 | +0.076 | 60.7% | +3.37% | +0.140 | 70.1% | +17.13% | +0.258 | 78.5% | +74.45% | 30 |
| 2024-05 | +0.059 | 58.3% | +1.32% | +0.113 | 66.1% | +7.43% | +0.208 | 83.4% | +39.72% | 31 |
| 2024-04 | +0.102 | 58.1% | +2.24% | +0.180 | 64.5% | +9.25% | +0.228 | 79.7% | +16.67% | 27 |
| 2024-03 | +0.109 | 53.7% | +1.22% | +0.150 | 58.9% | +6.02% | +0.215 | 68.5% | +35.04% | 31 |
| 2024-02 | +0.100 | 57.2% | +1.61% | +0.164 | 59.1% | +11.02% | +0.257 | 50.9% | +38.28% | 29 |
| 2024-01 | +0.082 | 59.3% | +1.58% | +0.130 | 63.7% | +8.06% | +0.162 | 68.2% | +32.72% | 31 |
| 2023-12 | +0.092 | 53.5% | +0.14% | +0.072 | 52.5% | +2.11% | +0.130 | 58.6% | +15.57% | 31 |
| 2023-11 | +0.082 | 54.7% | -0.06% | +0.055 | 57.1% | -1.94% | +0.039 | 44.3% | -0.69% | 30 |
| 2023-10 | +0.105 | 58.6% | +0.97% | +0.135 | 71.8% | +5.43% | +0.129 | 49.6% | +10.94% | 31 |
| 2023-09 | +0.062 | 51.7% | +0.56% | +0.086 | 61.8% | +0.37% | +0.140 | 76.3% | +3.92% | 30 |
| 2023-08 | +0.055 | 56.5% | +0.70% | +0.093 | 61.5% | +1.88% | +0.141 | 66.6% | +4.70% | 29 |
| 2023-07 | +0.103 | 53.3% | +1.04% | +0.144 | 49.8% | +3.78% | +0.199 | 60.0% | +12.08% | 31 |
| 2023-06 | +0.093 | 59.9% | +0.98% | +0.177 | 73.0% | +4.83% | +0.269 | 63.2% | +16.04% | 30 |
| 2023-05 | +0.059 | 58.0% | +0.67% | +0.074 | 63.9% | +2.00% | +0.201 | 88.8% | +11.59% | 31 |
| 2023-04 | +0.096 | 57.8% | +0.55% | +0.162 | 70.3% | +1.97% | +0.168 | 84.4% | +10.78% | 30 |
| 2023-03 | +0.104 | 62.5% | +1.20% | +0.157 | 68.9% | +3.69% | +0.307 | 79.9% | +20.61% | 31 |
| 2023-02 | +0.123 | 56.9% | +0.96% | +0.148 | 62.6% | +3.76% | +0.272 | 86.2% | +13.54% | 28 |
| 2023-01 | +0.082 | 53.2% | +0.67% | +0.097 | 60.5% | +3.00% | +0.104 | 59.1% | +7.07% | 31 |
| 2022-12 | +0.073 | 59.4% | +0.84% | +0.133 | 69.9% | +2.57% | +0.089 | 80.8% | +9.78% | 31 |
| 2022-11 | +0.106 | 56.2% | +2.65% | +0.159 | 60.2% | +4.84% | +0.288 | 76.8% | +22.20% | 30 |
| 2022-10 | +0.098 | 56.7% | +1.08% | +0.099 | 60.4% | +1.63% | +0.149 | 70.6% | +9.51% | 31 |
| 2022-09 | +0.080 | 53.0% | +1.25% | +0.145 | 67.6% | +3.71% | +0.277 | 78.6% | +14.83% | 30 |
| 2022-08 | +0.118 | 56.4% | +0.76% | +0.179 | 55.2% | +1.78% | +0.108 | 62.1% | -5.96% | 31 |
| 2022-07 | +0.109 | 54.5% | +1.63% | +0.058 | 50.6% | +1.54% | +0.070 | 36.0% | +1.47% | 31 |
| 2022-06 | +0.071 | 55.2% | +0.42% | +0.068 | 49.1% | +1.36% | +0.071 | 32.6% | +3.53% | 30 |
| 2022-05 | +0.085 | 53.1% | +2.99% | +0.084 | 64.9% | +5.87% | +0.070 | 46.4% | +8.69% | 31 |
| 2022-04 | +0.083 | 62.3% | +1.17% | +0.151 | 73.8% | +2.37% | +0.146 | 93.1% | +17.20% | 30 |
| 2022-03 | +0.110 | 48.9% | +0.89% | +0.176 | 44.1% | +8.11% | +0.298 | 44.8% | +18.60% | 31 |
| 2022-02 | +0.089 | 56.7% | +0.92% | +0.131 | 69.8% | +2.83% | +0.241 | 69.4% | +13.45% | 28 |
| 2022-01 | +0.055 | 53.2% | +0.78% | +0.068 | 65.2% | +2.66% | +0.167 | 84.8% | +11.17% | 31 |
| 2021-12 | +0.084 | 51.7% | +1.00% | +0.072 | 36.8% | +4.59% | +0.209 | 73.0% | +16.45% | 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.