Accuracy — lstm_s8
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 | +0.0610 | 17.5 | +0.90% | 55.6% | 54.1% | 0.0355 | 4.533356 |
| +7d | 524 | 408k | +0.0745 | 20.8 | +3.15% | 60.5% | 59.3% | 0.0930 | 12.612704 |
| +30d | 501 | 384k | +0.1006 | 31.7 | +9.22% | 63.2% | 64.6% | 0.2025 | 26.593835 |
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 | +0.085 | 59.7% | +0.78% | +0.159 | 74.5% | +3.93% | +0.275 | 83.9% | +14.09% | 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.