Accuracy — lstm_s8
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 | +0.0873 | 35.9 | +1.17% | 56.1% | 53.4% | 0.0331 | 7.652376 |
| +7d | 1,752 | 777k | +0.1193 | 47.6 | +5.00% | 61.7% | 58.3% | 0.0884 | 20.766859 |
| +30d | 1,729 | 752k | +0.1658 | 67.0 | +16.85% | 67.2% | 63.4% | 0.1914 | 44.988233 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.040 | 57.6% | +0.50% | +0.034 | 71.6% | +3.55% | – | – | – | 20 |
| 2026-09 | +0.063 | 52.0% | +1.21% | +0.049 | 50.4% | +3.57% | +0.108 | 52.8% | +21.62% | 30 |
| 2026-08 | +0.053 | 55.2% | +1.05% | +0.082 | 57.2% | +3.99% | +0.144 | 60.7% | +11.07% | 31 |
| 2026-07 | +0.064 | 58.7% | +1.69% | +0.075 | 67.7% | +5.39% | +0.099 | 70.1% | +11.12% | 31 |
| 2026-06 | +0.048 | 55.3% | +1.09% | +0.049 | 58.4% | +3.74% | +0.087 | 70.7% | +12.74% | 30 |
| 2026-05 | +0.075 | 52.8% | +0.74% | +0.099 | 55.5% | +4.81% | +0.035 | 64.9% | +6.07% | 31 |
| 2026-04 | +0.068 | 57.9% | +1.22% | +0.022 | 60.5% | +1.23% | +0.057 | 57.3% | +5.24% | 30 |
| 2026-03 | +0.045 | 56.7% | +0.69% | +0.057 | 62.3% | +3.18% | +0.067 | 69.3% | +10.03% | 31 |
| 2026-02 | +0.048 | 51.1% | +0.69% | +0.091 | 59.7% | +5.10% | +0.083 | 69.9% | +8.84% | 28 |
| 2026-01 | +0.073 | 56.2% | +0.99% | +0.089 | 60.7% | +2.99% | +0.004 | 47.1% | +3.82% | 31 |
| 2025-12 | +0.044 | 56.3% | +0.87% | +0.081 | 60.0% | +4.71% | +0.077 | 64.2% | +6.01% | 31 |
| 2025-11 | +0.062 | 51.5% | +1.68% | +0.079 | 46.3% | +5.63% | +0.122 | 63.3% | +15.12% | 30 |
| 2025-10 | +0.055 | 58.9% | +0.42% | +0.059 | 66.1% | -0.30% | +0.122 | 45.5% | +12.37% | 31 |
| 2025-09 | +0.060 | 58.9% | +0.26% | +0.055 | 71.1% | -0.26% | +0.092 | 84.8% | +1.24% | 30 |
| 2025-08 | +0.070 | 49.9% | +0.42% | +0.073 | 49.2% | +1.24% | +0.114 | 57.9% | +7.47% | 31 |
| 2025-07 | +0.082 | 53.5% | +1.19% | +0.110 | 53.7% | +4.54% | +0.139 | 51.1% | +9.73% | 31 |
| 2025-06 | +0.061 | 60.0% | +0.58% | +0.075 | 74.2% | +0.07% | +0.131 | 64.1% | +5.13% | 30 |
| 2025-05 | +0.090 | 58.7% | +0.95% | +0.144 | 64.4% | +4.11% | +0.261 | 82.0% | +14.25% | 31 |
| 2025-04 | +0.066 | 56.0% | +0.53% | +0.125 | 60.7% | +4.20% | +0.145 | 63.6% | +12.66% | 30 |
| 2025-03 | +0.075 | 57.9% | +1.58% | +0.149 | 68.3% | +6.93% | +0.202 | 82.6% | +19.21% | 31 |
| 2025-02 | +0.077 | 53.5% | +1.48% | +0.167 | 54.2% | +9.54% | +0.217 | 71.0% | +20.69% | 28 |
| 2025-01 | +0.078 | 61.8% | +0.37% | +0.117 | 84.7% | +2.90% | +0.260 | 88.5% | +24.78% | 31 |
| 2024-12 | +0.107 | 57.7% | +1.23% | +0.164 | 64.1% | +5.12% | +0.193 | 86.2% | +18.20% | 31 |
| 2024-11 | +0.118 | 55.0% | +1.32% | +0.188 | 56.4% | +10.08% | +0.296 | 58.2% | +37.38% | 30 |
| 2024-10 | +0.107 | 60.9% | +0.94% | +0.180 | 73.1% | +4.20% | +0.337 | 78.4% | +34.08% | 31 |
| 2024-09 | +0.085 | 51.5% | +1.75% | +0.102 | 53.9% | +10.08% | +0.186 | 67.0% | +17.85% | 30 |
| 2024-08 | +0.086 | 55.2% | +3.15% | +0.136 | 55.7% | +19.76% | +0.096 | 50.9% | +46.38% | 31 |
| 2024-07 | +0.090 | 58.5% | +3.04% | +0.181 | 70.9% | +23.60% | +0.220 | 77.5% | +82.15% | 31 |
| 2024-06 | +0.105 | 60.7% | +3.32% | +0.172 | 70.1% | +17.97% | +0.257 | 78.5% | +77.68% | 30 |
| 2024-05 | +0.069 | 58.3% | +1.37% | +0.093 | 66.2% | +5.85% | +0.210 | 83.3% | +32.27% | 31 |
| 2024-04 | +0.141 | 59.0% | +2.43% | +0.220 | 68.5% | +11.13% | +0.182 | 79.6% | +13.69% | 27 |
| 2024-03 | +0.098 | 54.7% | +1.03% | +0.109 | 59.5% | +5.50% | +0.179 | 71.1% | +27.21% | 31 |
| 2024-02 | +0.101 | 56.9% | +0.91% | +0.170 | 60.8% | +9.87% | +0.290 | 53.6% | +40.22% | 29 |
| 2024-01 | +0.104 | 59.7% | +1.30% | +0.102 | 63.8% | +6.27% | +0.168 | 68.2% | +25.95% | 31 |
| 2023-12 | +0.086 | 53.8% | -0.07% | +0.077 | 52.9% | +2.28% | +0.105 | 58.4% | +9.55% | 31 |
| 2023-11 | +0.090 | 54.3% | +0.01% | +0.085 | 58.1% | -1.70% | +0.034 | 44.8% | +4.83% | 30 |
| 2023-10 | +0.105 | 58.7% | +0.98% | +0.129 | 72.6% | +4.03% | +0.074 | 51.4% | +7.26% | 31 |
| 2023-09 | +0.077 | 51.6% | +0.50% | +0.097 | 61.9% | +0.25% | +0.139 | 76.3% | +4.45% | 30 |
| 2023-08 | +0.085 | 56.5% | +0.80% | +0.139 | 61.5% | +1.89% | +0.111 | 66.7% | +4.68% | 29 |
| 2023-07 | +0.112 | 53.5% | +1.42% | +0.117 | 49.4% | +3.61% | +0.211 | 59.9% | +14.44% | 31 |
| 2023-06 | +0.110 | 59.8% | +1.07% | +0.178 | 73.4% | +3.06% | +0.247 | 65.6% | +13.59% | 30 |
| 2023-05 | +0.091 | 58.0% | +0.72% | +0.117 | 63.6% | +3.61% | +0.209 | 88.7% | +13.56% | 31 |
| 2023-04 | +0.106 | 57.5% | +0.34% | +0.124 | 70.1% | +2.38% | +0.189 | 82.4% | +8.39% | 30 |
| 2023-03 | +0.125 | 61.2% | +1.45% | +0.166 | 65.0% | +5.76% | +0.250 | 73.5% | +15.74% | 31 |
| 2023-02 | +0.138 | 54.7% | +1.12% | +0.238 | 62.5% | +6.13% | +0.375 | 86.3% | +17.97% | 28 |
| 2023-01 | +0.102 | 55.2% | +0.50% | +0.109 | 59.2% | +0.87% | +0.111 | 60.3% | +5.55% | 31 |
| 2022-12 | +0.058 | 59.7% | +0.72% | +0.107 | 69.7% | +2.37% | +0.140 | 80.7% | +7.50% | 31 |
| 2022-11 | +0.123 | 56.1% | +2.59% | +0.160 | 60.2% | +6.02% | +0.245 | 76.2% | +18.10% | 30 |
| 2022-10 | +0.107 | 56.8% | +1.24% | +0.143 | 60.4% | +3.55% | +0.187 | 70.4% | +17.05% | 31 |
| 2022-09 | +0.111 | 52.9% | +1.20% | +0.170 | 67.4% | +3.63% | +0.300 | 78.8% | +15.53% | 30 |
| 2022-08 | +0.111 | 54.8% | +0.48% | +0.132 | 54.1% | +1.66% | +0.168 | 62.4% | +2.41% | 31 |
| 2022-07 | +0.130 | 54.7% | +2.02% | +0.085 | 49.3% | +2.18% | +0.120 | 37.3% | +6.20% | 31 |
| 2022-06 | +0.081 | 54.3% | +1.16% | +0.117 | 50.9% | +6.39% | +0.098 | 34.5% | +6.27% | 30 |
| 2022-05 | +0.118 | 53.9% | +4.20% | +0.141 | 60.5% | +9.52% | +0.056 | 50.9% | +11.66% | 31 |
| 2022-04 | +0.120 | 61.3% | +1.64% | +0.216 | 74.0% | +5.45% | +0.229 | 93.2% | +22.66% | 30 |
| 2022-03 | +0.122 | 49.4% | +0.73% | +0.194 | 44.1% | +4.95% | +0.295 | 45.1% | +15.06% | 31 |
| 2022-02 | +0.063 | 57.5% | +0.34% | +0.060 | 68.0% | +1.17% | +0.175 | 67.8% | +10.76% | 28 |
| 2022-01 | +0.066 | 53.1% | +0.68% | +0.079 | 63.8% | +2.12% | +0.158 | 81.5% | +15.87% | 31 |
| 2021-12 | +0.101 | 51.7% | +0.40% | +0.180 | 39.3% | +2.79% | +0.291 | 73.2% | +18.73% | 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.