Accuracy — lstm_s5
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 | +0.0489 | 15.9 | +0.82% | 55.4% | 54.1% | 0.0355 | 4.550577 |
| +7d | 524 | 408k | +0.0592 | 20.3 | +2.11% | 60.7% | 59.4% | 0.0932 | 12.649898 |
| +30d | 501 | 384k | +0.0807 | 23.2 | +7.37% | 63.3% | 64.6% | 0.2028 | 27.186830 |
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 | +0.085 | 59.6% | +0.93% | +0.174 | 78.5% | +4.77% | +0.302 | 87.6% | +22.10% | 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.