schema_version: '1.0'
metadata:
  name: target_triplebarrier
  mode: development
sfd:
  manifest:
    type: ml
    data_source:
      method: limen.data.HistoricalData.get_any_file
      params:
        file_path_or_url: inputs/spot_1h_20240101_20241231.parquet
    split_dates:
      train_start: '2024-01-01'
      train_end: '2024-02-15'
      val_start: '2024-02-15'
      val_end: '2024-03-15'
      test_start: '2024-03-15'
      test_end: '2024-04-15'
    indicators:
    - func: limen.indicators.roc
      params:
        period: 1
        group: base
    - func: limen.indicators.returns
      params:
        group: base
    - func: limen.indicators.rolling_volatility
      params:
        column: returns
        window: 12
        group: base
    - func: limen.indicators.bollinger_bands
      params:
        group: base
    target:
      name: label
      class: limen.targets.TripleBarrierTarget
      fit_params:
        upper_multiple: 1.5
        lower_multiple: 1.0
        max_horizon: 3
        span: 8
        min_periods: 8
    scaler:
      from_params: scaler_type
    reference_architecture: limen.sfd.reference_architecture.ridge_regressor
  params:
    scaler_type:
    - robust
    alpha:
    - 1.0
    solver:
    - svd
uel:
  output_path: compiled-target-triplebarrier
  search_strategy:
    type: grid
  n_permutations: 1
  prep_each_round: true
  output_format: csv
  recording:
    predictions: true
    alignment: true