Accuracy — lstm_s6
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 | +0.0604 | 19.1 | +0.90% | 55.5% | 53.9% | 0.0355 | 4.552563 |
| +7d | 524 | 408k | +0.0694 | 22.0 | +2.62% | 60.4% | 59.1% | 0.0932 | 12.571997 |
| +30d | 501 | 384k | +0.0891 | 32.0 | +8.51% | 63.0% | 64.4% | 0.2029 | 26.622497 |
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 | +0.099 | 58.3% | +1.20% | +0.187 | 73.8% | +5.04% | +0.265 | 81.8% | +22.28% | 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.