Accuracy — lstm_s9
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 | +0.0693 | 20.6 | +0.93% | 55.3% | 53.9% | 0.0355 | 4.491696 |
| +7d | 524 | 408k | +0.0854 | 27.0 | +3.56% | 59.9% | 58.7% | 0.0931 | 12.457422 |
| +30d | 501 | 384k | +0.0990 | 32.7 | +9.24% | 62.7% | 64.3% | 0.2028 | 26.442200 |
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 | +0.083 | 52.6% | +0.83% | +0.148 | 59.1% | +4.53% | +0.252 | 70.9% | +18.22% | 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.