# region declaration
schema_version: '1.0'
metadata:
  name: recorded_analysis_population
  mode: development
sfd:
  manifest:
    type: rule_based
    data_source:
      method: limen.data.HistoricalData.get_any_file
      params:
        file_path_or_url: inputs/spot_1h_20240101_20241231.parquet
    split_walk_forward:
      n_folds: 2
      test_bars: 49
      purge_bars: 4
      embargo_bars: 3
      anchored: true
    acceptance:
      min_deflated_sharpe_probability: 0.95
      max_pbo: 0.20
    indicators:
    - func: limen.indicators.window_return
      params:
        period: 1
    strategy:
      conditions:
      - id: entry
        name: positive_return
        type: threshold
        column: ret_1
        operator: '>'
        value: '{entry_return}'
      entry: entry
    reference_architecture: limen.sfd.reference_architecture.rule_based
    backtest:
      fee_bps: 7.0
      slip_bps: 3.0
      notional_rate: 0.5
  params:
    entry_return:
    - -0.003
    - -0.0027
    - -0.0024
    - -0.0021
    - -0.0018
    - -0.0015
    - -0.0012
    - -0.0009
    - -0.0006
    - -0.0003
    - -0.0
    - 0.0003
    - 0.0006
    - 0.0009
    - 0.0012
    - 0.0015
    - 0.0018
    - 0.0021
    - 0.0024
    - 0.0027
uel:
  record_execution: true
  output_path: compiled-analysis
  recording:
    alignment: true
    fold_details: true
  n_permutations: 20
  search_strategy:
    type: grid
  prep_each_round: true
  output_format: parquet
# endregion declaration