# region declaration
schema_version: '1.0'
metadata:
  name: book_compiled_calibration
  mode: development
sfd:
  manifest:
    type: ml
    data_source:
      method: limen.data.HistoricalData.get_any_file
      params:
        file_path_or_url: inputs/spot_15m_20250101_20250531.parquet
    split_dates:
      train_start: '2025-01-01'
      train_end: '2025-01-15'
      val_start: '2025-01-15'
      val_end: '2025-01-18'
      test_start: '2025-01-18'
      test_end: '2025-01-22'
    indicators:
    - func: limen.indicators.roc
      params:
        period: 1
        group: momentum
    target:
      name: quantile_flag
      class: limen.targets.QuantileBinaryTarget
      fit_params:
        source_column: roc_1
        quantile: 0.5
      transform_params:
        shift: -1
    backtest:
      fee_bps: 7.0
      slip_bps: 3.0
      notional_rate: 0.5
    scaler:
      from_params: scaler_type
    reference_architecture: limen.sfd.reference_architecture.logreg_binary
# region calibration_config
    calibration:
      probability_calibration:
        func: limen.calibration.sklearn_probability_calibrator
        params:
          method: sigmoid
      threshold_function:
        func: limen.calibration.grid_threshold_optimizer
        params:
          metric: limen.metrics.balanced_metric.balanced_metric
# endregion calibration_config
  params:
    scaler_type: [logreg]
    C:
    - 1.0
    random_state: [42]
# region calibration_modes
    use_calibration:
    - false
    - true
    use_threshold:
    - false
    - true
# endregion calibration_modes
uel:
  output_path: compiled-calibration
  n_permutations: 4
  search_strategy:
    type: grid
  output_format: csv
  checkpoint_interval: 1
# endregion declaration