# region declaration
schema_version: '1.0'
metadata:
  name: recorded_adaptive_bars
  mode: development
sfd:
  manifest:
    type: ml
    data_source:
      method: limen.data.HistoricalData.get_any_file
      params:
        file_path_or_url: inputs/recorded-trade-points.parquet
        expected_sha256: '873faec863bbcc6656f902b17daf4d29a043b4f9d38b2872670920a3dac4bec5'
    split_walk_forward:
      n_folds: 2
      test_bars: 225
      purge_bars: 1
      embargo_bars: 1
      anchored: true
    bar_formation:
      func: limen.data.utils.compute_data_bars
      params:
        bar_type: '{bar_type}'
        expected_num_ticks: '{expected_num_ticks}'
        ema_span: '{ema_span}'
    indicators:
    - func: limen.indicators.window_return
      params:
        period: 1
    features:
    - func: limen.features.lag_range
      params:
        col: ret_1
        start: 0
        end: 2
    target:
      name: next_return
      class: limen.targets.NextReturnTarget
    reference_architecture: limen.sfd.reference_architecture.dlinear_regressor
    backtest:
      fee_bps: 4.0
      slip_bps: 0.0
      notional_rate: 0.5
      product:
        kind: linear_perpetual
        instrument: BTCUSDT
        base_currency: BTC
        quote_currency: USDT
        quantity_step: 1.0e-9
        min_notional: 0.0
  params:
    bar_type: [imbalance, run]
    expected_num_ticks: [5]
    ema_span: [10]
uel:
  output_path: compiled-bars-adaptive
  n_permutations: 2
  prep_each_round: true
  search_strategy:
    type: grid
  output_format: csv
  recording:
    predictions: true
    alignment: true
    trade_ledger: true
    fold_details: true
# endregion declaration