Accuracy — lstm_s6
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 | +0.0855 | 37.9 | +1.19% | 56.2% | 53.7% | 0.0331 | 7.678759 |
| +7d | 1,752 | 777k | +0.1129 | 48.0 | +4.69% | 62.0% | 58.8% | 0.0883 | 20.853690 |
| +30d | 1,729 | 752k | +0.1554 | 64.3 | +16.32% | 67.1% | 63.8% | 0.1927 | 45.359297 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.034 | 57.1% | +0.88% | +0.013 | 70.9% | +2.48% | – | – | – | 20 |
| 2026-09 | +0.062 | 51.6% | +1.34% | +0.050 | 50.1% | +3.69% | +0.090 | 53.2% | +22.26% | 30 |
| 2026-08 | +0.045 | 54.2% | +0.91% | +0.071 | 56.6% | +4.31% | +0.135 | 61.3% | +13.65% | 31 |
| 2026-07 | +0.065 | 58.5% | +1.64% | +0.078 | 67.8% | +4.84% | +0.094 | 69.6% | +10.44% | 31 |
| 2026-06 | +0.053 | 53.7% | +1.11% | +0.046 | 57.1% | +2.67% | +0.074 | 71.1% | +14.17% | 30 |
| 2026-05 | +0.074 | 52.9% | +0.72% | +0.099 | 55.7% | +4.66% | +0.054 | 64.2% | +4.95% | 31 |
| 2026-04 | +0.065 | 57.5% | +1.04% | +0.042 | 59.5% | +1.90% | +0.077 | 56.8% | +7.57% | 30 |
| 2026-03 | +0.050 | 56.5% | +0.61% | +0.070 | 62.2% | +2.65% | +0.124 | 69.3% | +10.12% | 31 |
| 2026-02 | +0.051 | 53.5% | +0.46% | +0.088 | 63.3% | +3.59% | +0.098 | 69.6% | +12.20% | 28 |
| 2026-01 | +0.061 | 56.1% | +0.73% | +0.073 | 61.0% | +1.50% | +0.019 | 46.8% | +4.16% | 31 |
| 2025-12 | +0.044 | 56.2% | +1.07% | +0.072 | 59.9% | +3.66% | +0.075 | 64.0% | +3.63% | 31 |
| 2025-11 | +0.066 | 51.3% | +1.71% | +0.056 | 45.2% | +3.09% | +0.067 | 62.9% | +6.39% | 30 |
| 2025-10 | +0.068 | 59.9% | +0.77% | +0.061 | 65.5% | -0.56% | +0.114 | 45.3% | +10.74% | 31 |
| 2025-09 | +0.053 | 58.8% | +0.19% | +0.038 | 71.2% | -0.10% | +0.044 | 84.8% | -3.91% | 30 |
| 2025-08 | +0.065 | 49.8% | +0.50% | +0.051 | 49.3% | +0.99% | +0.057 | 58.0% | +4.46% | 31 |
| 2025-07 | +0.067 | 53.6% | +0.79% | +0.074 | 53.9% | +2.67% | +0.058 | 51.0% | +4.20% | 31 |
| 2025-06 | +0.065 | 59.7% | +0.56% | +0.077 | 73.7% | +0.68% | +0.114 | 63.9% | +5.36% | 30 |
| 2025-05 | +0.104 | 58.0% | +1.24% | +0.183 | 64.9% | +5.28% | +0.266 | 79.4% | +21.87% | 31 |
| 2025-04 | +0.062 | 56.1% | +0.39% | +0.099 | 59.7% | +4.76% | +0.187 | 63.1% | +19.81% | 30 |
| 2025-03 | +0.076 | 57.5% | +1.54% | +0.136 | 68.9% | +6.47% | +0.132 | 82.7% | +13.61% | 31 |
| 2025-02 | +0.089 | 53.1% | +2.02% | +0.189 | 56.1% | +9.07% | +0.263 | 71.0% | +18.97% | 28 |
| 2025-01 | +0.076 | 61.6% | +0.76% | +0.115 | 84.4% | +2.94% | +0.243 | 87.7% | +23.71% | 31 |
| 2024-12 | +0.114 | 58.1% | +1.41% | +0.160 | 64.7% | +5.12% | +0.249 | 86.2% | +22.59% | 31 |
| 2024-11 | +0.133 | 56.0% | +2.12% | +0.227 | 59.6% | +12.25% | +0.281 | 59.5% | +34.11% | 30 |
| 2024-10 | +0.106 | 60.5% | +0.79% | +0.164 | 72.7% | +4.04% | +0.294 | 78.2% | +32.60% | 31 |
| 2024-09 | +0.084 | 51.6% | +2.11% | +0.105 | 53.8% | +11.34% | +0.171 | 66.8% | +19.89% | 30 |
| 2024-08 | +0.071 | 53.7% | +3.11% | +0.137 | 55.3% | +19.36% | +0.088 | 51.1% | +46.09% | 31 |
| 2024-07 | +0.090 | 59.0% | +3.27% | +0.156 | 70.8% | +23.32% | +0.212 | 76.6% | +86.77% | 31 |
| 2024-06 | +0.096 | 61.4% | +3.49% | +0.151 | 71.7% | +17.62% | +0.197 | 78.0% | +69.69% | 30 |
| 2024-05 | +0.071 | 58.2% | +1.44% | +0.123 | 66.0% | +6.36% | +0.201 | 82.0% | +32.54% | 31 |
| 2024-04 | +0.127 | 59.5% | +2.30% | +0.219 | 69.6% | +11.68% | +0.248 | 79.5% | +17.53% | 27 |
| 2024-03 | +0.095 | 55.8% | +0.68% | +0.117 | 61.8% | +5.28% | +0.189 | 70.9% | +35.66% | 31 |
| 2024-02 | +0.097 | 56.5% | +1.43% | +0.178 | 62.0% | +12.43% | +0.273 | 56.9% | +39.20% | 29 |
| 2024-01 | +0.090 | 59.8% | +1.22% | +0.092 | 64.0% | +5.96% | +0.132 | 68.1% | +27.07% | 31 |
| 2023-12 | +0.091 | 53.2% | -0.01% | +0.070 | 52.1% | +2.10% | +0.064 | 58.3% | +11.82% | 31 |
| 2023-11 | +0.087 | 55.5% | -0.15% | +0.085 | 57.7% | -1.31% | +0.036 | 45.1% | +0.29% | 30 |
| 2023-10 | +0.109 | 58.9% | +0.87% | +0.141 | 72.3% | +4.55% | +0.129 | 52.3% | +12.70% | 31 |
| 2023-09 | +0.078 | 51.6% | +0.75% | +0.103 | 61.9% | +1.02% | +0.141 | 76.3% | +7.29% | 30 |
| 2023-08 | +0.092 | 57.3% | +0.95% | +0.103 | 61.4% | +0.83% | +0.150 | 66.1% | +3.37% | 29 |
| 2023-07 | +0.110 | 53.1% | +1.14% | +0.134 | 49.4% | +3.13% | +0.172 | 60.1% | +5.71% | 31 |
| 2023-06 | +0.112 | 60.7% | +1.33% | +0.145 | 73.1% | +3.13% | +0.263 | 66.8% | +14.57% | 30 |
| 2023-05 | +0.101 | 58.1% | +0.97% | +0.163 | 63.9% | +3.54% | +0.249 | 88.8% | +12.17% | 31 |
| 2023-04 | +0.110 | 58.1% | +0.80% | +0.146 | 70.0% | +2.13% | +0.169 | 78.6% | +5.66% | 30 |
| 2023-03 | +0.112 | 58.8% | +1.12% | +0.128 | 65.6% | +3.71% | +0.190 | 71.5% | +9.75% | 31 |
| 2023-02 | +0.128 | 56.2% | +0.90% | +0.206 | 62.7% | +5.65% | +0.314 | 86.2% | +11.59% | 28 |
| 2023-01 | +0.078 | 53.1% | +0.37% | +0.071 | 58.4% | +1.06% | +0.026 | 60.0% | +5.34% | 31 |
| 2022-12 | +0.066 | 59.7% | +0.80% | +0.117 | 69.9% | +2.23% | +0.150 | 80.6% | +11.65% | 31 |
| 2022-11 | +0.121 | 55.6% | +2.45% | +0.178 | 61.9% | +5.63% | +0.271 | 77.0% | +15.48% | 30 |
| 2022-10 | +0.096 | 56.8% | +1.29% | +0.110 | 60.3% | +2.94% | +0.091 | 70.4% | +5.03% | 31 |
| 2022-09 | +0.092 | 52.6% | +1.10% | +0.139 | 67.1% | +3.32% | +0.268 | 78.4% | +13.74% | 30 |
| 2022-08 | +0.105 | 55.8% | +0.76% | +0.113 | 55.1% | +1.64% | +0.133 | 62.2% | -0.15% | 31 |
| 2022-07 | +0.135 | 55.1% | +1.52% | +0.094 | 51.1% | +3.52% | +0.110 | 38.4% | +10.37% | 31 |
| 2022-06 | +0.085 | 57.7% | +0.96% | +0.066 | 54.3% | +2.28% | +0.069 | 38.6% | +3.99% | 30 |
| 2022-05 | +0.101 | 52.6% | +2.67% | +0.101 | 63.0% | +1.44% | +0.074 | 46.1% | +9.67% | 31 |
| 2022-04 | +0.108 | 61.8% | +1.26% | +0.139 | 73.6% | +2.46% | +0.187 | 93.0% | +15.67% | 30 |
| 2022-03 | +0.105 | 49.4% | +1.06% | +0.142 | 44.4% | +5.54% | +0.196 | 44.3% | +11.82% | 31 |
| 2022-02 | +0.083 | 57.1% | +0.69% | +0.139 | 68.1% | +2.27% | +0.289 | 69.1% | +22.73% | 28 |
| 2022-01 | +0.065 | 52.9% | +1.17% | +0.094 | 64.9% | +3.39% | +0.186 | 83.5% | +19.26% | 31 |
| 2021-12 | +0.104 | 52.8% | +1.43% | +0.101 | 36.5% | +5.74% | +0.252 | 73.0% | +19.93% | 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.