lstm_s5
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
+0.0510 t=+10.6
265 days · 179k token-days
+1d · long-short decile
+0.64%
beta-adjusted alpha per period, before costs
+1d · direction hit
55.8%
in alpha space · 54.4% on raw price
+7d · rank IC
+0.0639 t=+14.3
265 days · 178k token-days
+7d · long-short decile
+1.53%
beta-adjusted alpha per period, before costs
+7d · direction hit
62.1%
in alpha space · 61.9% on raw price
+30d · rank IC
+0.0891 t=+15.7
265 days · 177k token-days
+30d · long-short decile
+5.99%
beta-adjusted alpha per period, before costs
+30d · direction hit
62.3%
in alpha space · 70.7% 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_s5//model.pt
- cell type
- lstm
- parameters
- 316,819
- target
- beta
- horizons
- 1d, 7d, 30d
- calibration slopes
- 0.95, 0.75, 0.55
- data window
- 2021-10-20 → 2026-10-21
- train / val boundary
- 2025-05-08
- val / test boundary
- 2026-01-28
- registered
- 2026-10-21 18:41:21Z
- notes
- A/B arm: lstm seed 5, 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% | +0.031 | -1.38% | -0.015 | -3.73% | -0.068 | +1.65% |
| 2026-01-27 | held out | 808 | +0.05% | -0.030 | -1.00% | +0.023 | -1.38% | -0.047 | -3.68% |
| 2026-01-26 | held out | 809 | +0.98% | +0.120 | +3.69% | +0.049 | +1.98% | -0.047 | -5.60% |
| 2026-01-25 | held out | 804 | +1.95% | +0.064 | -0.53% | +0.090 | +1.49% | -0.025 | -4.61% |
| 2026-01-24 | held out | 803 | -2.83% | +0.017 | -0.19% | +0.058 | -1.05% | -0.049 | -4.55% |
| 2026-01-23 | held out | 804 | -0.44% | +0.051 | -0.00% | +0.034 | +2.01% | -0.040 | -2.75% |
| 2026-01-22 | held out | 804 | +0.01% | +0.057 | +1.77% | +0.040 | +2.42% | -0.037 | +0.19% |
| 2026-01-21 | held out | 800 | +0.11% | -0.071 | +0.10% | +0.062 | +3.32% | -0.030 | -1.90% |
| 2026-01-20 | held out | 799 | +1.19% | +0.074 | +1.22% | +0.043 | -2.78% | -0.032 | -0.84% |
| 2026-01-19 | held out | 797 | -4.59% | +0.039 | -0.25% | +0.050 | -0.69% | -0.036 | -0.81% |
| 2026-01-18 | held out | 802 | -1.15% | +0.032 | -1.91% | +0.078 | -0.34% | -0.037 | +1.89% |
| 2026-01-17 | held out | 804 | -1.55% | +0.040 | -0.32% | +0.058 | -0.58% | -0.073 | -4.62% |
| 2026-01-16 | held out | 803 | -0.41% | +0.103 | +1.56% | +0.039 | -3.32% | -0.046 | -1.28% |
| 2026-01-15 | held out | 805 | -0.09% | -0.032 | -1.60% | +0.023 | -4.32% | -0.073 | -7.30% |
| 2026-01-14 | held out | 804 | -1.41% | +0.075 | -0.15% | +0.043 | -4.37% | -0.051 | -4.23% |
| 2026-01-13 | held out | 804 | +1.65% | +0.189 | +2.91% | +0.124 | -5.47% | -0.055 | -4.45% |
| 2026-01-12 | held out | 802 | +4.60% | +0.086 | +2.02% | +0.120 | -5.21% | -0.044 | -7.12% |
| 2026-01-11 | held out | 796 | +0.35% | +0.144 | +1.31% | +0.173 | -2.58% | -0.003 | -6.81% |
| 2026-01-10 | held out | 797 | +0.55% | +0.090 | -0.99% | +0.131 | +3.14% | -0.009 | -7.66% |
| 2026-01-09 | held out | 801 | -0.16% | +0.056 | -0.50% | +0.123 | +2.72% | -0.018 | -7.28% |
| 2026-01-08 | held out | 801 | -0.56% | +0.022 | +0.23% | +0.142 | +5.16% | -0.037 | -5.94% |
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 | +0.059 | 56.0% | +0.40% | +0.079 | 63.0% | -0.47% | -0.029 | 47.5% | -4.37% | 28 |
| 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 |