name: pilot
description: 20 instruments x 3 months (train-period slice) to validate download -> features -> model -> evaluation -> LaTeX.
paths:
  cache: ~/wp41-cache
universe:
  manifest: data/manifests/universe_main.json
  n_pilot: 20
  pilot_seed: 41
data:
  dataset_stock: market_bars.stock.1m.raw
  dataset_etf: market_bars.etf.1m.raw
  start: "2022-09-01"     # 1 month of warm-up history before the first origin
  end: "2022-12-30"
  warmup_sessions: 21
windows:
  L_A: 390
  L_B: 390
  L_C: 260
  H: 60
  m_min: 30
  min_future_present: 0.8
splits:              # pilot-only chronological split inside the slice (sessions)
  train_end: "2022-11-30"
  val_end: "2022-12-15"
  test_end: "2022-12-30"
train:
  model: small
  batch_size: 64
  max_steps: 600
  lr: 3.0e-4
  warmup_steps: 50
  weight_decay: 0.01
  grad_clip: 1.0
  eval_every: 100
  origins_per_session: 6
  seed: 1
  num_workers: 4
eval:
  stride: 10
  horizons: [5, 15, 30, 60]
  n_samples: 256
baselines: [naive, har, garch, trees]
reference: naive_rw
models:
  - name: mrpt_small
    preset: small
    kwargs: {}
    feature_set: full
  - name: mrpt_small_1m_only
    preset: small
    kwargs: {branches: [A]}
    feature_set: full
  - name: tcn
    kind: tcn
  - name: mlp
    kind: mlp