Accuracy — lstm_s9
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 | +0.0878 | 38.1 | +1.12% | 55.9% | 53.9% | 0.0332 | 7.604686 |
| +7d | 1,752 | 777k | +0.1144 | 51.3 | +4.97% | 61.4% | 58.6% | 0.0885 | 20.533776 |
| +30d | 1,729 | 752k | +0.1499 | 68.5 | +16.06% | 66.5% | 63.6% | 0.1933 | 44.288910 |
By month
| month | IC +1d | hit +1d | LS +1d | IC +7d | hit +7d | LS +7d | IC +30d | hit +30d | LS +30d | days |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10 | +0.069 | 57.5% | +1.11% | +0.078 | 72.0% | +7.32% | – | – | – | 20 |
| 2026-09 | +0.081 | 52.6% | +1.62% | +0.091 | 50.9% | +6.87% | +0.159 | 54.9% | +24.74% | 30 |
| 2026-08 | +0.046 | 54.3% | +1.22% | +0.082 | 56.4% | +5.03% | +0.135 | 62.5% | +12.86% | 31 |
| 2026-07 | +0.071 | 58.7% | +1.82% | +0.093 | 68.1% | +5.91% | +0.103 | 70.4% | +15.11% | 31 |
| 2026-06 | +0.057 | 53.3% | +1.03% | +0.034 | 57.1% | +2.79% | +0.082 | 71.5% | +16.31% | 30 |
| 2026-05 | +0.086 | 53.4% | +0.82% | +0.107 | 56.1% | +5.09% | +0.022 | 63.4% | +5.73% | 31 |
| 2026-04 | +0.079 | 57.5% | +1.25% | +0.064 | 58.9% | +2.60% | +0.070 | 56.4% | +7.13% | 30 |
| 2026-03 | +0.055 | 56.6% | +0.73% | +0.085 | 62.4% | +2.60% | +0.106 | 69.0% | +7.78% | 31 |
| 2026-02 | +0.056 | 54.3% | +0.55% | +0.076 | 61.1% | +3.36% | +0.070 | 70.4% | +6.39% | 28 |
| 2026-01 | +0.079 | 56.1% | +0.89% | +0.105 | 61.2% | +2.39% | +0.005 | 47.1% | +1.32% | 31 |
| 2025-12 | +0.049 | 55.9% | +0.65% | +0.081 | 60.4% | +4.56% | +0.070 | 64.3% | +5.99% | 31 |
| 2025-11 | +0.076 | 52.0% | +1.39% | +0.082 | 45.8% | +5.21% | +0.112 | 63.4% | +10.46% | 30 |
| 2025-10 | +0.051 | 58.0% | +0.54% | +0.052 | 64.8% | +0.72% | +0.123 | 44.5% | +11.51% | 31 |
| 2025-09 | +0.067 | 59.0% | +0.10% | +0.057 | 71.3% | +0.31% | +0.052 | 85.0% | -1.97% | 30 |
| 2025-08 | +0.093 | 49.9% | +0.65% | +0.104 | 49.4% | +1.69% | +0.146 | 58.0% | +7.00% | 31 |
| 2025-07 | +0.091 | 53.9% | +0.97% | +0.124 | 55.0% | +3.80% | +0.111 | 51.7% | +8.49% | 31 |
| 2025-06 | +0.062 | 59.9% | +0.63% | +0.083 | 74.5% | +1.51% | +0.120 | 64.0% | +6.86% | 30 |
| 2025-05 | +0.084 | 52.9% | +0.88% | +0.144 | 55.8% | +4.75% | +0.242 | 69.2% | +17.28% | 31 |
| 2025-04 | +0.061 | 56.3% | +0.79% | +0.097 | 58.1% | +2.97% | +0.109 | 59.9% | +8.81% | 30 |
| 2025-03 | +0.086 | 56.0% | +1.43% | +0.132 | 68.5% | +5.22% | +0.114 | 82.9% | +9.67% | 31 |
| 2025-02 | +0.091 | 54.2% | +1.41% | +0.166 | 53.3% | +7.87% | +0.194 | 71.0% | +15.12% | 28 |
| 2025-01 | +0.077 | 61.7% | +0.54% | +0.128 | 85.0% | +3.99% | +0.234 | 88.4% | +28.02% | 31 |
| 2024-12 | +0.101 | 56.3% | +1.41% | +0.134 | 60.8% | +5.76% | +0.222 | 84.6% | +24.18% | 31 |
| 2024-11 | +0.089 | 56.0% | +1.10% | +0.191 | 60.5% | +7.82% | +0.259 | 58.8% | +27.65% | 30 |
| 2024-10 | +0.091 | 58.3% | +0.67% | +0.140 | 67.8% | +3.85% | +0.269 | 76.4% | +29.90% | 31 |
| 2024-09 | +0.088 | 52.8% | +2.14% | +0.092 | 52.7% | +10.53% | +0.147 | 66.3% | +19.06% | 30 |
| 2024-08 | +0.089 | 52.8% | +3.26% | +0.140 | 55.5% | +20.37% | +0.086 | 50.9% | +49.51% | 31 |
| 2024-07 | +0.084 | 57.5% | +3.33% | +0.162 | 67.8% | +24.02% | +0.218 | 75.4% | +87.06% | 31 |
| 2024-06 | +0.090 | 60.7% | +3.16% | +0.160 | 69.7% | +18.07% | +0.227 | 78.5% | +78.35% | 30 |
| 2024-05 | +0.057 | 58.3% | +1.34% | +0.066 | 66.2% | +5.46% | +0.183 | 82.5% | +31.94% | 31 |
| 2024-04 | +0.134 | 58.8% | +2.15% | +0.203 | 64.5% | +11.08% | +0.181 | 79.5% | +15.47% | 27 |
| 2024-03 | +0.095 | 52.3% | +1.12% | +0.136 | 56.9% | +8.81% | +0.188 | 61.1% | +37.49% | 31 |
| 2024-02 | +0.082 | 54.9% | +1.10% | +0.177 | 61.9% | +11.76% | +0.258 | 57.7% | +33.83% | 29 |
| 2024-01 | +0.095 | 59.8% | +1.06% | +0.103 | 64.9% | +5.00% | +0.153 | 67.9% | +24.69% | 31 |
| 2023-12 | +0.090 | 54.1% | -0.26% | +0.092 | 54.3% | +2.08% | +0.099 | 57.0% | +5.14% | 31 |
| 2023-11 | +0.086 | 55.5% | -0.14% | +0.092 | 56.7% | -1.25% | +0.050 | 47.7% | +0.20% | 30 |
| 2023-10 | +0.089 | 59.0% | +1.02% | +0.112 | 73.6% | +3.51% | +0.092 | 53.8% | +8.09% | 31 |
| 2023-09 | +0.081 | 51.7% | +0.63% | +0.106 | 61.9% | +1.52% | +0.129 | 76.2% | +5.14% | 30 |
| 2023-08 | +0.076 | 57.2% | +0.75% | +0.133 | 60.6% | +2.79% | +0.148 | 66.5% | +3.03% | 29 |
| 2023-07 | +0.101 | 51.9% | +1.13% | +0.102 | 47.7% | +3.16% | +0.187 | 60.9% | +19.60% | 31 |
| 2023-06 | +0.102 | 61.0% | +1.18% | +0.131 | 75.2% | +2.90% | +0.179 | 68.5% | +12.21% | 30 |
| 2023-05 | +0.087 | 58.2% | +0.63% | +0.112 | 63.6% | +2.91% | +0.204 | 88.8% | +11.29% | 31 |
| 2023-04 | +0.098 | 56.9% | +0.64% | +0.109 | 67.0% | +1.26% | +0.129 | 71.1% | +6.30% | 30 |
| 2023-03 | +0.101 | 56.5% | +1.17% | +0.124 | 65.2% | +3.09% | +0.189 | 67.9% | +11.73% | 31 |
| 2023-02 | +0.137 | 58.2% | +1.35% | +0.242 | 65.1% | +6.09% | +0.344 | 83.5% | +15.25% | 28 |
| 2023-01 | +0.081 | 51.8% | +0.17% | +0.130 | 58.4% | +2.08% | +0.144 | 62.7% | +8.59% | 31 |
| 2022-12 | +0.092 | 60.0% | +0.78% | +0.124 | 70.2% | +3.20% | +0.145 | 80.6% | +7.40% | 31 |
| 2022-11 | +0.108 | 55.0% | +1.90% | +0.106 | 60.3% | +3.35% | +0.173 | 75.8% | +13.74% | 30 |
| 2022-10 | +0.108 | 56.6% | +0.89% | +0.089 | 60.5% | +2.35% | +0.080 | 70.1% | +1.57% | 31 |
| 2022-09 | +0.098 | 53.5% | +0.90% | +0.133 | 67.5% | +3.58% | +0.252 | 78.1% | +10.38% | 30 |
| 2022-08 | +0.111 | 55.3% | +0.47% | +0.120 | 54.5% | +1.22% | +0.117 | 61.7% | -0.03% | 31 |
| 2022-07 | +0.148 | 56.4% | +1.53% | +0.083 | 53.9% | +2.66% | +0.131 | 41.8% | +7.24% | 31 |
| 2022-06 | +0.087 | 58.4% | +0.58% | +0.082 | 52.2% | +2.00% | +0.077 | 34.5% | +0.85% | 30 |
| 2022-05 | +0.097 | 52.2% | +2.92% | +0.119 | 63.1% | +7.96% | +0.080 | 46.8% | +16.00% | 31 |
| 2022-04 | +0.113 | 62.1% | +1.32% | +0.114 | 73.0% | +2.76% | +0.155 | 92.3% | +19.88% | 30 |
| 2022-03 | +0.130 | 50.3% | +0.60% | +0.180 | 46.1% | +4.69% | +0.164 | 42.8% | +11.30% | 31 |
| 2022-02 | +0.116 | 55.7% | +1.03% | +0.156 | 68.9% | +4.57% | +0.273 | 67.7% | +16.20% | 28 |
| 2022-01 | +0.090 | 52.7% | +0.76% | +0.107 | 64.8% | +3.97% | +0.236 | 84.5% | +21.11% | 31 |
| 2021-12 | +0.098 | 52.1% | +1.23% | +0.083 | 35.9% | +3.61% | +0.239 | 73.0% | +22.21% | 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.