# region declaration
schema_version: '1.0'
metadata:
  name: book_compiled_recorded_funding
  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_dates:
      train_start: '2024-01-02'
      train_end: '2024-01-03'
      val_start: '2024-01-04'
      val_end: '2024-01-05'
      test_start: '2024-01-05'
      test_end: '2024-01-06'
    backtest:
      product:
        kind: linear_perpetual
        instrument: BTCUSDT
        base_currency: BTC
        quote_currency: USDT
        quantity_step: 1e-09
        min_notional: 0
      source_interval_seconds: 3600
      fee_bps: 10
      slip_bps: 5
      take_profit_bps_column: volatility_take_profit_bps
      stop_loss_bps_column: volatility_stop_loss_bps
      barrier_features:
        method: limen.features.volatility_barriers.volatility_barriers
        params:
          span: '{risk_span}'
          regime_span: 24
          min_periods: 3
      funding:
        preset: binance_btcusdt
        data_source:
          method: limen.data.HistoricalData.get_any_file
          params:
            file_path_or_url: inputs/recorded-funding.parquet
    reference_architecture: 
      limen.sfd.reference_architecture.rule_based.rule_based
    strategy:
      conditions:
      - id: entry
        name: Recorded close above open
        type: relative
        column: close
        operator: '>'
        other_column: open
      entry: entry
  params:
    risk_span:
    - 6
    - 12
uel:
  output_path: compiled-funded
  n_permutations: 2
  search_strategy:
    type: grid
  output_format: csv
  checkpoint_interval: 1
  prep_each_round: true
  recording:
    predictions: true
    alignment: true
    trade_ledger: true
    fold_details: true
# endregion declaration