# region declaration
schema_version: '1.0'
metadata:
  name: book_direction_sizing
  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: outcome
      class: limen.targets.TradeOutcomeTarget
    backtest:
      prediction_mode: target_exposure
      product:
        kind: linear_perpetual
        instrument: BTCUSDT
        base_currency: BTC
        quote_currency: USDT
        quantity_step: 1e-09
        min_notional: 0
      source_interval_seconds: 900
      fee_bps: 1
      slip_bps: 0
      max_holding_seconds: 1800
    scaler:
      class: limen.scalers.RobustScaler
    reference_architecture: limen.sfd.reference_architecture.direction_sizing
  params:
    direction_params:
    - max_iter: 1000
      C: 0.5
    sizing_params:
    - alpha: 1.0
    conditional_size:
    - false
    - true
    folds:
    - 3
    min_train_samples:
    - 2
    seed:
    - 42
uel:
  output_path: compiled-family_direction_sizing
  n_permutations: 2
  search_strategy:
    type: grid
  output_format: csv
  checkpoint_interval: 1
  recording:
    predictions: true
    alignment: true
    trade_ledger: true
    fold_details: true
# endregion declaration