Accuracy — lstm_s7
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 | +0.0858 | 36.2 | +1.17% | 56.2% | 53.4% | 0.0332 | 7.653115 |
| +7d | 1,752 | 777k | +0.1157 | 48.2 | +5.39% | 61.9% | 58.4% | 0.0885 | 20.934937 |
| +30d | 1,729 | 752k | +0.1612 | 62.7 | +17.07% | 67.2% | 63.5% | 0.1919 | 45.583788 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.054 | 57.7% | +1.01% | +0.092 | 72.2% | +8.03% | – | – | – | 20 |
| 2026-09 | +0.070 | 52.0% | +1.33% | +0.087 | 50.7% | +7.33% | +0.154 | 51.7% | +27.27% | 30 |
| 2026-08 | +0.054 | 55.9% | +1.13% | +0.077 | 57.7% | +5.33% | +0.139 | 60.5% | +15.56% | 31 |
| 2026-07 | +0.069 | 58.8% | +1.74% | +0.074 | 68.2% | +7.40% | +0.069 | 70.3% | +15.50% | 31 |
| 2026-06 | +0.052 | 55.3% | +1.23% | +0.038 | 59.1% | +2.21% | +0.098 | 71.9% | +16.50% | 30 |
| 2026-05 | +0.083 | 52.9% | +0.86% | +0.109 | 55.6% | +5.97% | +0.024 | 64.4% | +2.37% | 31 |
| 2026-04 | +0.070 | 57.9% | +1.24% | +0.044 | 60.5% | +1.45% | +0.051 | 57.3% | +6.67% | 30 |
| 2026-03 | +0.042 | 56.9% | +0.98% | +0.048 | 62.6% | +3.89% | +0.075 | 69.5% | +10.04% | 31 |
| 2026-02 | +0.049 | 51.6% | +1.01% | +0.057 | 59.8% | +3.43% | +0.052 | 71.2% | +5.74% | 28 |
| 2026-01 | +0.077 | 56.2% | +1.13% | +0.109 | 60.9% | +4.26% | +0.010 | 47.1% | +4.98% | 31 |
| 2025-12 | +0.050 | 56.6% | +0.97% | +0.085 | 60.6% | +4.49% | +0.095 | 64.5% | +5.75% | 31 |
| 2025-11 | +0.073 | 51.5% | +1.60% | +0.094 | 46.3% | +5.91% | +0.119 | 63.6% | +12.80% | 30 |
| 2025-10 | +0.050 | 58.9% | +0.36% | +0.049 | 66.1% | +0.41% | +0.089 | 45.1% | +15.93% | 31 |
| 2025-09 | +0.062 | 58.8% | +0.14% | +0.047 | 71.3% | +0.27% | +0.055 | 85.1% | +2.18% | 30 |
| 2025-08 | +0.074 | 49.9% | +0.33% | +0.057 | 49.3% | +0.82% | +0.101 | 58.0% | +6.69% | 31 |
| 2025-07 | +0.083 | 53.5% | +1.01% | +0.099 | 53.9% | +2.93% | +0.090 | 51.2% | +3.96% | 31 |
| 2025-06 | +0.070 | 59.9% | +0.47% | +0.093 | 74.6% | +0.70% | +0.137 | 64.2% | +9.81% | 30 |
| 2025-05 | +0.098 | 58.6% | +0.66% | +0.160 | 66.5% | +5.29% | +0.297 | 83.4% | +19.41% | 31 |
| 2025-04 | +0.065 | 56.0% | +0.62% | +0.119 | 60.7% | +3.31% | +0.129 | 63.2% | +5.15% | 30 |
| 2025-03 | +0.082 | 58.1% | +1.39% | +0.127 | 68.4% | +4.59% | +0.175 | 83.0% | +10.52% | 31 |
| 2025-02 | +0.091 | 53.6% | +1.56% | +0.156 | 54.4% | +8.62% | +0.182 | 71.1% | +16.01% | 28 |
| 2025-01 | +0.067 | 61.8% | +0.12% | +0.132 | 85.0% | +5.03% | +0.290 | 88.5% | +27.96% | 31 |
| 2024-12 | +0.109 | 57.5% | +1.08% | +0.139 | 63.9% | +5.67% | +0.175 | 86.6% | +18.59% | 31 |
| 2024-11 | +0.118 | 56.1% | +1.62% | +0.231 | 60.4% | +10.77% | +0.303 | 58.2% | +37.72% | 30 |
| 2024-10 | +0.110 | 60.9% | +1.04% | +0.178 | 73.7% | +4.10% | +0.328 | 78.0% | +31.02% | 31 |
| 2024-09 | +0.078 | 51.5% | +1.80% | +0.092 | 53.8% | +10.72% | +0.151 | 67.2% | +13.91% | 30 |
| 2024-08 | +0.089 | 54.9% | +3.54% | +0.126 | 55.6% | +21.12% | +0.118 | 50.9% | +50.71% | 31 |
| 2024-07 | +0.094 | 58.6% | +3.53% | +0.164 | 70.6% | +22.84% | +0.243 | 77.5% | +85.16% | 31 |
| 2024-06 | +0.097 | 60.8% | +3.39% | +0.160 | 70.0% | +17.81% | +0.190 | 78.5% | +72.28% | 30 |
| 2024-05 | +0.068 | 58.3% | +1.67% | +0.100 | 66.0% | +6.46% | +0.169 | 83.4% | +34.06% | 31 |
| 2024-04 | +0.131 | 58.8% | +2.68% | +0.204 | 65.7% | +11.24% | +0.188 | 79.4% | +11.46% | 27 |
| 2024-03 | +0.089 | 54.5% | +0.79% | +0.105 | 58.0% | +5.10% | +0.180 | 74.4% | +33.16% | 31 |
| 2024-02 | +0.097 | 55.8% | +1.41% | +0.183 | 61.7% | +12.24% | +0.296 | 54.8% | +45.28% | 29 |
| 2024-01 | +0.107 | 59.7% | +1.42% | +0.114 | 63.6% | +7.22% | +0.145 | 68.2% | +36.12% | 31 |
| 2023-12 | +0.098 | 52.8% | +0.16% | +0.107 | 51.9% | +5.52% | +0.145 | 58.6% | +18.17% | 31 |
| 2023-11 | +0.078 | 54.2% | +0.14% | +0.082 | 58.3% | +1.38% | +0.059 | 41.9% | +4.61% | 30 |
| 2023-10 | +0.103 | 57.1% | +0.97% | +0.114 | 71.8% | +4.96% | +0.083 | 50.1% | +10.92% | 31 |
| 2023-09 | +0.059 | 51.6% | +0.31% | +0.036 | 61.9% | -0.17% | +0.080 | 76.1% | +7.00% | 30 |
| 2023-08 | +0.078 | 56.3% | +0.77% | +0.124 | 61.4% | +3.54% | +0.077 | 66.6% | +3.84% | 29 |
| 2023-07 | +0.103 | 53.4% | +1.08% | +0.090 | 48.9% | +2.80% | +0.230 | 60.3% | +12.81% | 31 |
| 2023-06 | +0.088 | 59.8% | +0.90% | +0.155 | 73.0% | +3.50% | +0.237 | 65.2% | +13.12% | 30 |
| 2023-05 | +0.087 | 57.8% | +0.78% | +0.107 | 63.6% | +3.69% | +0.199 | 88.8% | +10.80% | 31 |
| 2023-04 | +0.111 | 57.7% | +0.54% | +0.153 | 70.6% | +1.59% | +0.189 | 82.6% | +6.36% | 30 |
| 2023-03 | +0.122 | 64.2% | +1.44% | +0.159 | 69.9% | +4.12% | +0.272 | 75.5% | +13.45% | 31 |
| 2023-02 | +0.119 | 54.4% | +1.23% | +0.181 | 62.2% | +5.63% | +0.327 | 85.8% | +17.05% | 28 |
| 2023-01 | +0.080 | 55.5% | +0.18% | +0.088 | 59.9% | +1.43% | +0.086 | 57.2% | +9.36% | 31 |
| 2022-12 | +0.082 | 59.8% | +0.96% | +0.159 | 70.3% | +3.36% | +0.146 | 80.8% | +7.97% | 31 |
| 2022-11 | +0.091 | 55.5% | +1.57% | +0.107 | 59.8% | +3.60% | +0.210 | 76.8% | +13.39% | 30 |
| 2022-10 | +0.099 | 56.8% | +1.22% | +0.135 | 60.4% | +3.83% | +0.143 | 70.6% | +10.79% | 31 |
| 2022-09 | +0.099 | 52.8% | +0.77% | +0.152 | 67.7% | +2.24% | +0.303 | 78.6% | +11.72% | 30 |
| 2022-08 | +0.130 | 54.8% | +0.73% | +0.187 | 53.8% | +3.38% | +0.218 | 62.1% | +8.03% | 31 |
| 2022-07 | +0.120 | 55.1% | +1.55% | +0.088 | 51.0% | +2.18% | +0.165 | 36.4% | +7.56% | 31 |
| 2022-06 | +0.068 | 55.0% | +0.47% | +0.093 | 48.2% | +3.33% | +0.061 | 32.7% | +3.36% | 30 |
| 2022-05 | +0.094 | 53.2% | +3.51% | +0.090 | 64.3% | +10.73% | +0.043 | 46.5% | +13.20% | 31 |
| 2022-04 | +0.121 | 61.4% | +1.41% | +0.159 | 73.6% | +4.47% | +0.204 | 93.0% | +13.82% | 30 |
| 2022-03 | +0.118 | 49.3% | +0.59% | +0.183 | 44.1% | +6.80% | +0.280 | 44.6% | +15.88% | 31 |
| 2022-02 | +0.083 | 57.6% | +0.85% | +0.146 | 70.0% | +2.54% | +0.259 | 69.3% | +11.81% | 28 |
| 2022-01 | +0.057 | 53.8% | +0.78% | +0.089 | 65.4% | +3.33% | +0.218 | 84.9% | +18.87% | 31 |
| 2021-12 | +0.102 | 52.7% | +1.40% | +0.095 | 36.1% | +5.00% | +0.282 | 73.0% | +18.87% | 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.