Avaliação da viabilidade de sinais intradiários com cotações, custos e amplitude

# 01_feasibility_analysis.py


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# %% [markdown]
# # NASDAQ-100 Microstructure: Feasibility Analysis
#
# Before building a trading strategy it is worth asking whether the data can support one at all.
# This notebook does that and nothing else: it fits no model and makes no forecast.
#
# The strategy being checked is described in `config/setup.yaml`. It trades the constituents of the
# NASDAQ-100 index, sorts them every fifteen minutes, and holds the ones at each end of that
# ordering until the next sort. That file says which names it trades, which of them are cheap enough
# to be worth holding, how often it changes positions, what a trade costs, and how the history is
# divided between designing the strategy and testing it. This notebook checks each of those
# assumptions against the data and reports what it finds.
#
# The difficulty here is cost. At a fifteen-minute horizon a price move and the cost of capturing
# it are the same order of magnitude, so a cost figure that is wrong by a factor of two changes the
# answer. That is why more of this notebook is spent measuring cost than on anything else.
#
# ## Learning objectives
#
# By the end of this notebook you will be able to:
#
# - Turn a quoted bid-ask spread into a round-trip cost per symbol, and see why one average cost
#   describes neither end of a cross-section
# - Count how many names a strategy is allowed to hold at each moment it rebalances, and compare
#   that against the number its portfolio grid asks for
# - Compare price moves against cost when cost differs by symbol, by scaling each move by the cost
#   of the symbol it happened in
# - Measure whether the last price move says anything about the next one, computing the correlation
#   inside each symbol rather than across symbols stacked into one series
# - Check that a walk-forward split of the history fits the sample available and leaves the test
#   period unread
#
# ## Book reference
#
# Chapter 6, Sections 6.2-6.6. This notebook reads AlgoSeek minute bars and `config/setup.yaml`,
# and writes the per-symbol cost profile that the backtest later charges itself.
#
# ## Prerequisites
#
# None beyond what the sections below define. A reader who has not worked with quote data or split
# a sample for walk-forward evaluation will find both explained where they are first used.

# %%
"""NASDAQ-100 Microstructure Case Study - Feasibility Analysis."""

import warnings

import matplotlib.dates as mdates
import matplotlib.pyplot as plt
import numpy as np
import polars as pl
import yaml
from IPython.display import display

from case_studies.utils.feasibility import exceedance_curve, fold_timeline, panel_acf
from data import load_nasdaq100_bars
from utils.cv_splits import generate_cv_splits
from utils.paths import get_case_study_dir
from utils.style import COLORS, FIGSIZE, add_message_title, show_with_alt

warnings.filterwarnings("ignore")

# %% tags=["parameters"]
CASE_STUDY_ID = "nasdaq100_microstructure"
START_DATE = "2020-01-01"
MAX_SYMBOLS = 0  # 0 loads the declared universe; a positive value takes a deterministic subset

# %% [markdown]
# ## Configuration
#
# Everything the strategy assumes is declared in `config/setup.yaml`, and this notebook reads those
# values rather than repeating them, so the two can never disagree. Four groups of settings matter
# here, and each one decides something the sections below test.
#
# **How the history is divided.** The sample runs from the start of 2020 to the end of 2021. The
# last six months are the *holdout*: a stretch of history that is not looked at while the strategy
# is being designed, so that when it is finally evaluated there, the result is not a rehearsal of
# choices already tuned on the same data. `load_bars` below stops every frame short of
# `holdout_start`, so no measurement in this notebook can see it.
#
# **What the strategy trades.** `setup.yaml` names the index constituents, and then names a smaller
# set again under `universe.cost_feasible`: the subset cheap enough to trade at this cadence,
# frozen separately for the validation period and for the holdout. That second list is the
# eligibility rule of this case study, and Sections B.2 and B.5 are drawn on it rather than on the
# full roster. The strategy holds both ends of its ranking, up to 20 names per side, so at least 40
# eligible names have to be quoting whenever it rebalances.
#
# The roster itself follows one rule: **a symbol enters the universe only if it contributes at
# least one session before `holdout_start`.** The archive carries more names than that. Some first
# quote inside the holdout, and a name that appears only there cannot be fit on, has no spread in
# the pre-holdout liquidity profile this notebook writes, and would therefore be traded in a
# holdout backtest at a cost that was never measured for it. Section B.1 asserts the declared list
# against the archive in both directions, so a delivery that adds or drops a name stops the
# notebook rather than quietly changing every cross-sectional statistic below.
#
# **When it is allowed to act.** `decision.bar_frequency` places a decision at the close of every
# fifteen-minute bar, and `execution_delay` puts the resulting trade in the following bar. Scoring
# a bar and trading at that same bar's close would let the strategy trade on a price it has already
# used, which is why the delay is declared rather than assumed.
#
# **What a trade is assumed to cost.** Two charges: a commission per share, and half the quoted gap
# between the highest bid and the lowest offer, paid on each side of a round trip. Both are quoted in
# dollars, so Section B.3 converts them into basis points, which is the only form in which they can
# be compared against a price move.

# %%
CASE_DIR = get_case_study_dir(CASE_STUDY_ID)
SETUP = yaml.safe_load((CASE_DIR / "config" / "setup.yaml").read_text())

HOLDOUT_START = str(SETUP["evaluation"]["holdout_start"])
HOLDOUT_END = str(SETUP["evaluation"]["holdout_end"])
PRIMARY_LABEL = SETUP["labels"]["primary"]
DECLARED_SYMBOLS = set(SETUP["universe"]["symbols"])
BREADTH_FLOOR = 2 * max(max(grid) for grid in SETUP["backtest"]["sweep"]["top_k_grid"].values())
PER_SHARE_USD = float(SETUP["costs"]["per_share"])
FRICTION_FLOOR_BPS = float(SETUP["costs"]["friction_floor_bps"])
COST_FEASIBLE = SETUP["universe"]["cost_feasible"]["validation"]
CADENCE = f"{SETUP['decision']['bar_frequency'].split('_')[0]}m"
LABEL_BUFFER = SETUP["labels"]["buffer"]
# The outcome horizons, not the purge buffers. They differ by one bar here - the label
# reads a quote one bar past the horizon it names - and reading the buffers would put
# 6, 16 and 61 minutes on this figure's axis under labels called 5, 15 and 60.
HORIZONS = sorted({int(h.rstrip("min")) for h in SETUP["labels"]["horizons"].values()})
WINDOW = {
    "start_date": START_DATE,
    "end_date": HOLDOUT_START,
    "max_symbols": MAX_SYMBOLS,
    "symbols": sorted(DECLARED_SYMBOLS),
}

print(f"Sample: {START_DATE} to {HOLDOUT_END}")
print(f"  Development period, used everywhere below:  {START_DATE} to {HOLDOUT_START}")
print(f"  Holdout, not read by this notebook:         {HOLDOUT_START} to {HOLDOUT_END}")
print(f"Universe: {len(DECLARED_SYMBOLS)} index constituents declared")
print(
    f"  {len(COST_FEASIBLE)} of them are frozen as cheap enough to trade in validation, and up to "
    f"{BREADTH_FLOOR // 2} are held per side, so at least {BREADTH_FLOOR} must be quoting at a "
    f"decision bar to fill both legs"
)
print(f"Decision bars: every {CADENCE}, with the trade placed in the following bar")
print(
    f"Assumed cost: ${PER_SHARE_USD} per share in commission, plus half the quoted spread on each "
    f"side, against a declared friction floor of {FRICTION_FLOOR_BPS:.0f} bps"
)
print(
    f"Forecast horizons: {', '.join(f'{h} minutes' for h in HORIZONS)} ahead; "
    f"{PRIMARY_LABEL.rsplit('_', 1)[1]} is the primary label and its {LABEL_BUFFER} buffer sets "
    f"the gap that separates training from validation"
)


# %%
def load_bars(frequency: str = "1m") -> pl.DataFrame:
    """Quoted bars over the development window, with the quote midpoint attached."""
    return (
        load_nasdaq100_bars(frequency=frequency, include_quotes=True, **WINDOW)
        .filter(
            pl.col("timestamp") < pl.lit(HOLDOUT_START).str.to_datetime(),
            pl.col("bid_close") > 0,
            pl.col("ask_close") >= pl.col("bid_close"),
        )
        .select(
            "timestamp",
            "symbol",
            "close",
            session=pl.col("timestamp").dt.date(),
            mid=(pl.col("bid_close") + pl.col("ask_close")) / 2,
            half_spread_usd=(pl.col("ask_close") - pl.col("bid_close")) / 2,
        )
        .sort(["symbol", "timestamp"])
    )


# %% [markdown]
# ## A. Orientation
#
# ### What the data is, and the two prices in it
#
# At any moment a listed stock has two prices, not one. The *bid* is the highest price anyone has
# publicly offered to buy at; the *offer*, or ask, is the lowest price anyone has offered to sell
# at. Together they are the *quote*, and the feed that consolidates them across US exchanges is
# called the NBBO, for national best bid and offer. Anyone buying immediately pays the offer and
# anyone selling immediately receives the bid, so the gap between them - the *spread* - is what it
# costs to change your mind straight away, and half of it is the charge attributable to one side of
# a trade.
#
# The *midpoint* of the two is the closest thing to a single price the market has. It matters here
# because the last traded price is not one: a print at the bid followed by a print at the offer
# looks like a price move and is not, so a series of traded prices carries a sawtooth that the
# midpoint does not. Every return below is a midpoint return, and every cost comes off the quote.
#
# ### Why ranking names every fifteen minutes is a strategy at all
#
# The strategy does not take a view on the market. Every fifteen minutes it sorts the names it is
# allowed to hold by some measure of their recent behaviour, buys the top of the ordering and sells
# the bottom, and unwinds at the next sort. Holding both ends means the move common to the whole
# market cancels, which is what makes the bet about the ordering rather than about direction.
#
# What makes this hard is the arithmetic of the horizon. Over fifteen minutes a typical NASDAQ-100
# name moves a few tens of basis points, and a round trip costs a few basis points. Those are close
# enough that whether the strategy is viable at all depends on which names it trades, and that is
# what Section B.3 measures.
#
# ### The three questions this notebook asks
#
# 1. **Does the universe exist when the strategy trades?** Positions change every fifteen minutes,
#    so enough eligible names have to be quoting at each of those bars to fill both sides.
# 2. **Is a typical price move worth more than the cost of capturing it?** Cost here is measured per
#    symbol rather than assumed, because a penny of spread is a very different charge on a $25 share
#    than on a $500 one.
# 3. **Is there enough history to evaluate this honestly?** Enough to split into training and
#    validation periods more than once, with the holdout left untouched.

# %% [markdown]
# ## B. Universe and cost feasibility
#
# ### B.1 Load the data and look at the universe
#
# The loader returns one row per symbol and minute, carrying the traded close and the bid and
# offer quoted at the end of that minute. Two properties are checked before anything is computed:
# that the declared roster is exactly the set of names the rule admits, and that no quote is
# inverted or non-positive, since the midpoint of a crossed quote is not a price.
#
# The first check runs in both directions. A declared name the archive never quotes would leave the
# panel one column short of what every section below assumes; an archived name that quotes before
# the holdout and is *not* declared would silently join every cross-section, every rank and the
# liquidity profile without ever having been decided on. Comparing only the first direction is what
# let a delivery of 123 symbols be read through a roster of 114.

# %%
eligible = (
    set(
        load_nasdaq100_bars(start_date=START_DATE, end_date=HOLDOUT_START, lazy=True)
        .filter(pl.col("timestamp") < pl.lit(HOLDOUT_START).str.to_datetime())
        .select("symbol")
        .unique()
        .collect()["symbol"]
    )
    if not MAX_SYMBOLS
    else DECLARED_SYMBOLS
)
assert eligible == DECLARED_SYMBOLS, (
    f"declared but never quoted before {HOLDOUT_START}: {sorted(DECLARED_SYMBOLS - eligible)}; "
    f"quoted before {HOLDOUT_START} but not declared: {sorted(eligible - DECLARED_SYMBOLS)}"
)

minute_bars = load_bars()
print(
    f"{minute_bars['symbol'].n_unique()} symbols, {len(minute_bars):,} quoted minutes, "
    f"{minute_bars['timestamp'].min()} to {minute_bars['timestamp'].max()}"
)

# %% [markdown]
# A hundred-odd tickers are a list, not a description. What separates them for this strategy is
# price level, because the spread is quoted in cents: the same one-cent gap is four basis points on
# a $25 share and half a basis point on a $200 one. The table below groups the universe into price
# bands and shows, for each, how wide the quote typically is in cents, what that comes to in basis
# points, and how many of the band's names survived into the frozen eligible list.
#
# Read the two spread columns against each other. The one in cents rises steeply with price, which
# is what a fixed tick size and a wider absolute quote on an expensive share produce. The one in
# basis points - the only one comparable against a return - does not simply fall to compensate: it
# is lowest in the middle of the price range and higher at both ends. Price level is therefore part
# of what makes a name expensive to trade and not the whole of it, which is why Section B.3
# measures each symbol separately instead of scaling one average by price.

# %%
PRICE_BANDS = [50.0, 100.0, 250.0]
band_label = (
    pl.when(pl.col("mean_price") < PRICE_BANDS[0])
    .then(pl.lit(f"1  under ${PRICE_BANDS[0]:.0f}"))
    .when(pl.col("mean_price") < PRICE_BANDS[1])
    .then(pl.lit(f"2  ${PRICE_BANDS[0]:.0f} to ${PRICE_BANDS[1]:.0f}"))
    .when(pl.col("mean_price") < PRICE_BANDS[2])
    .then(pl.lit(f"3  ${PRICE_BANDS[1]:.0f} to ${PRICE_BANDS[2]:.0f}"))
    .otherwise(pl.lit(f"4  over ${PRICE_BANDS[2]:.0f}"))
)
by_symbol = minute_bars.group_by("symbol").agg(
    mean_price=pl.col("close").mean(),
    median_half_spread_usd=pl.col("half_spread_usd").median(),
    median_half_spread_bps=(pl.col("half_spread_usd") / pl.col("mid") * 1e4).median(),
)
bands = (
    by_symbol.with_columns(band_label.alias("price_band"))
    .group_by("price_band")
    .agg(
        symbols=pl.len(),
        eligible=pl.col("symbol").is_in(COST_FEASIBLE).sum(),
        median_price_usd=pl.col("mean_price").median().round(0),
        median_half_spread_cents=(pl.col("median_half_spread_usd") * 100).median().round(2),
        median_half_spread_bps=pl.col("median_half_spread_bps").median().round(2),
    )
    .sort("price_band")
)
with pl.Config(tbl_rows=bands.height, tbl_cols=bands.width, tbl_width_chars=200):
    display(bands)

# %% [markdown]
# ### B.2 How many names the strategy is allowed to hold when it rebalances
#
# A single count over the whole sample would hide the question a strategy of this shape has to
# answer, which is how many names it can choose between *at the moment it has to choose*. Two
# counts are drawn: the declared universe, and the eligible subset `universe.cost_feasible` freezes
# for the validation period. The second is the one that binds, because the strategy may only hold
# those names. The reference line is what the largest entry in `backtest.sweep.top_k_grid` needs:
# twenty positions on each side, so forty eligible names quoting at once.
#
# Where the eligible count dips below that line the strategy could not have filled the book it
# declares. The printout after the figure names the dates on which that happens, so a reader can
# check whether they are a real thinning of the market or an artefact of how the bars are cut.

# %%
decision_bars = load_bars(CADENCE)
breadth = (
    decision_bars.group_by("timestamp")
    .agg(declared=pl.len(), screened=pl.col("symbol").is_in(COST_FEASIBLE).sum())
    .sort("timestamp")
)
thin = breadth.filter(pl.col("screened") < BREADTH_FLOOR)

fig, ax = plt.subplots(figsize=FIGSIZE["single"])
ts = breadth["timestamp"]
ax.plot(ts, breadth["declared"], color=COLORS["neutral"], lw=0.6, label="declared universe")
ax.plot(ts, breadth["screened"], color=COLORS["blue"], lw=0.6, label="eligible to hold")
ax.axhline(
    BREADTH_FLOOR, color=COLORS["copper"], ls="--", lw=1.5, label="names the largest book needs"
)
ax.xaxis.set_major_formatter(mdates.ConciseDateFormatter(ax.xaxis.get_major_locator()))
ax.set_ylabel("Symbols quoting at the decision bar")
ax.legend(frameon=False, fontsize=8, loc="center left")
add_message_title(
    ax,
    "The eligible book clears the floor, with a quarter of its names to spare",
    subtitle="Symbols quoting per decision bar, declared universe against the frozen eligible list",
)
show_with_alt(
    fig,
    "Two lines across the sample: the count of declared names quoting at each decision bar, and the count from the frozen eligible list, against a horizontal line at the forty names the largest book has to fill.",
)
_thin_dates = thin["timestamp"].dt.date().unique().sort().to_list()
print(
    f"Declared {breadth['declared'].min()} to {breadth['declared'].max()} per bar, cost-feasible "
    f"{breadth['screened'].min()} to {breadth['screened'].max()}; under the floor of "
    f"{BREADTH_FLOOR} on {len(thin)} of {len(breadth):,} bars"
    + (", all on " + ", ".join(str(d) for d in _thin_dates) if _thin_dates else "")
)

# %% [markdown]
# ### B.3 What a round trip costs, symbol by symbol
#
# `setup.yaml::costs` charges a per-share commission plus half the quoted spread on each side of a
# trade. Both are dollar amounts, and a dollar amount cannot be compared against a return until it
# is divided by a price: that is what the table in B.1 showed, and this section carries it through
# to a single number per symbol. A *round trip* is buying and later selling, so both charges are
# paid twice, and the result is expressed in basis points of the price traded.
#
# The chart draws one bar per symbol, ordered from cheapest to dearest, so the shape of the
# distribution is visible rather than summarized. Two reference lines are drawn on it: the median
# across the universe, and `costs.friction_floor_bps`, the level `setup.yaml` declares as the
# optimistic case. The names shaded dark are the eligible list frozen in `universe.cost_feasible`.
# That list was selected on the same quantity but over a window ending before validation begins, so
# the dark bars should sit at the cheap end without being exactly the leftmost fifty.
#
# The whole universe is drawn here, unlike Sections B.2 and B.5, because the point of this figure is
# to show where the eligibility rule cuts - which requires seeing what it cut away.

# %%
spread_bps = pl.col("half_spread_usd") / pl.col("mid") * 1e4
rt_cost = 2 * pl.col("median_half_spread_bps") + 2e4 * PER_SHARE_USD / pl.col("mean_price")
liquidity_profile = (
    minute_bars.group_by("symbol")
    .agg(
        median_half_spread_usd=pl.col("half_spread_usd").median(),
        median_half_spread_bps=spread_bps.median(),
        mean_price=pl.col("close").mean(),
    )
    .with_columns(rt_cost_bps_median=rt_cost)
    .sort("rt_cost_bps_median")
    .with_row_index("cost_rank", offset=1)
)
cost = liquidity_profile["rt_cost_bps_median"]
UNIVERSE_COST_BPS = float(cost.median())

tone = (COLORS["blue"], COLORS["silver_muted"])
bars = np.where(liquidity_profile["symbol"].is_in(COST_FEASIBLE), *tone)
fig, ax = plt.subplots(figsize=FIGSIZE["single"])
ax.bar(liquidity_profile["cost_rank"], cost, color=bars, width=1.0)
ax.axhline(UNIVERSE_COST_BPS, color=COLORS["copper"], ls="--", lw=1.5, label="universe median")
ax.axhline(
    FRICTION_FLOOR_BPS, color=COLORS["amber"], ls=":", lw=1.5, label="declared friction floor"
)
ax.set_xlim(0, len(liquidity_profile) + 1)
ax.set_xlabel("Symbols, ordered by measured round-trip cost")
ax.set_ylabel("Round-trip cost (bps)")
ax.legend(frameon=False, fontsize=8)
add_message_title(
    ax,
    "One cost level fits neither end of this universe",
    subtitle="Round trip per symbol; the names eligible to hold are the dark bars",
)
show_with_alt(
    fig,
    "One bar per symbol, ordered from the tightest round-trip cost to the widest, with the eligible names drawn dark and horizontal lines at the universe median and at the declared friction floor.",
)

# %% [markdown]
# ### B.4 Whether the last move says anything about the next
#
# Rebalancing every fifteen minutes is only worth the trading it causes if something observed at one
# decision bar still says something at the next. The cheapest thing to check is whether the most
# recent move itself carries, and the statistic that answers it is *autocorrelation*: the
# correlation between a series and the same series shifted back by a fixed number of bars, called
# the lag.
#
# Two choices about how it is computed change the answer. It is computed inside each symbol and then
# averaged, because stacking every symbol into one series and correlating that would mostly measure
# the points where one symbol's history ends and the next begins. And it is computed within a
# session, over four lags only: further out most pairs would join the end of one trading day to the
# start of the next, across a gap of seventeen hours the lag count does not know about.
#
# The shaded band shows how much symbols differ from one another, and the horizontal strip is the
# range within which a correlation is indistinguishable from zero at this sample size.

# %%
decision_returns = decision_bars.with_columns(
    ret=pl.col("mid").pct_change().over(["symbol", "session"])
).drop_nulls("ret")
acf = panel_acf(decision_returns, entity_col="symbol", value_col="ret", max_lags=4)[1:]

fig, ax = plt.subplots(figsize=FIGSIZE["single"])
ax.axhspan(
    -acf["band"][0],
    acf["band"][0],
    color=COLORS["copper"],
    alpha=0.3,
    zorder=0,
    label="range expected from no information",
)
ax.fill_between(
    acf["lag"],
    acf["acf_p10"],
    acf["acf_p90"],
    color=COLORS["blue"],
    alpha=0.15,
    label="10th to 90th percentile across symbols",
)
ax.bar(acf["lag"], acf["acf"], color=COLORS["blue"], width=0.4)
ax.set_xticks(acf["lag"])
ax.set_xlabel("Decision bars between the two returns")
ax.set_ylabel("Correlation with the symbol's own past")
ax.legend(frameon=False, fontsize=8, ncol=2, loc="upper center", bbox_to_anchor=(0.5, -0.18))
add_message_title(
    ax,
    "Nothing in the return itself carries to the next decision bar",
    subtitle="Mean within-symbol autocorrelation, interdecile range across symbols shaded",
)
show_with_alt(
    fig,
    "Autocorrelation of a symbol's return with its own past, one bar per lag in decision bars, with the interdecile range across symbols shaded behind the mean.",
)

# %% [markdown]
# That is a useful negative result rather than a discouraging one. It rules out the simplest
# possible signal - buy what just went up - and says that anything predictive here has to come from
# the fields the return summarises away, which is what the order-flow and quote features of
# Chapter 8 are built from.

# %% [markdown]
# ### B.5 Move scale against cost
#
# The last question of this section is what fraction of price moves are larger than the cost of
# capturing them. Costs differ across this universe by more than a factor of twenty, so a single
# cost line drawn against raw returns would answer the question for no symbol in particular. Each
# move is divided by the round trip of the symbol it happened in instead, which puts break-even at
# one for every symbol at once and makes the horizons comparable.
#
# The chart is an *exceedance curve*: at each multiple on the horizontal axis it shows the fraction
# of moves at least that large. Reading up from the line at one gives the share of moves that would
# have covered their own cost. The moves are unsigned, so this measures how far prices travel and
# not how much of that travel a strategy could capture - the second is a forecasting question and
# Chapter 7 is where it starts.
#
# The population is the eligible list, the names `universe.cost_feasible` allows the strategy to
# hold in validation. A move in a name the strategy may not hold is not an opportunity, and counting
# it would overstate how often cost is cleared.

# %%
moves = (
    minute_bars.filter(pl.col("symbol").is_in(COST_FEASIBLE))
    .with_columns(
        (pl.col("mid").pct_change(h).over(["symbol", "session"]).abs() * 1e4).alias(f"h{h}")
        for h in HORIZONS
    )
    .join(liquidity_profile.select("symbol", "rt_cost_bps_median"), on="symbol")
    .with_columns((pl.col(f"h{h}") / pl.col("rt_cost_bps_median")).alias(f"m{h}") for h in HORIZONS)
)

fig, ax = plt.subplots(figsize=FIGSIZE["single"])
for h, color in zip(HORIZONS, (COLORS["blue"], COLORS["amber"], COLORS["copper"]), strict=True):
    multiple, fraction = exceedance_curve(moves[f"m{h}"].drop_nulls().to_numpy())
    ax.plot(multiple, fraction, color=color, lw=1.6, label=f"{h}-minute move")
ax.axvline(1, color=COLORS["neutral"], ls="--", lw=1.5, label="break-even on the round trip")
ax.set_xscale("log")
ax.set_xlim(0.01, 100)
ax.set_xlabel("Absolute move as a multiple of the symbol's round-trip cost (log scale)")
ax.set_ylabel("Fraction of moves at least this large")
ax.legend(frameon=False, fontsize=8, loc="lower left")
add_message_title(
    ax,
    "Most moves are larger than the round trip that captures them",
    subtitle="Exceedance of absolute midpoint moves scaled by each symbol's own measured cost",
)
show_with_alt(
    fig,
    "Three curves, one per forecast horizon, giving the fraction of absolute midpoint moves at least as large as each multiple of the symbol's own round-trip cost, on a logarithmic axis with break-even marked at one.",
)

# %%
print(
    f"Round-trip cost across the {len(liquidity_profile)} declared symbols: {cost.min():.2f} to "
    f"{cost.max():.2f} bps, median {UNIVERSE_COST_BPS:.2f}"
)
print(f"Moves below are over the {moves['symbol'].n_unique()} names eligible to hold in validation")
for h in HORIZONS:
    med, share = moves.select(pl.col(f"h{h}").median(), (pl.col(f"m{h}") > 1).mean()).row(0)
    print(f"  {h:>2}-minute move: median {med:.1f} bps, clears its own round trip {share:.3f}")

# %% [markdown] tags=["results"]
# Measured round-trip cost across the 115 declared names runs from 1.16 bps on the tightest-quoted
# to 28.17 bps on the widest, with a median of 6.16 bps - a spread of more than a factor of twenty,
# which is why one cost level would not do. Over the 50 names the strategy is allowed to hold, the
# median absolute midpoint move is 9.1 bps at 5 minutes, 15.8 bps at 15 and 30.6 bps at 60, and the
# fraction of moves clearing the symbol's own round trip is 0.757, 0.856 and 0.926 at those
# horizons. At the traded cadence a typical move is under three times the round trip, and a strategy
# keeps only the part of it whose direction it called correctly.

# %% [markdown]
# ## C. Design decisions
#
# ### C.1 Cadence
#
# `setup.yaml::decision.bar_frequency` rebalances on the fifteen-minute bar and
# `execution_delay` puts the trade in the following one. B.5 prices that from both sides: a
# shorter horizon clears the round trip less often, a longer one spends fewer decisions on the
# same sample. Scoring a bar with its own close and trading there would restate the signal's
# own price, so the delay is declared once here.
#
# ### C.2 Kill conditions
#
# Three conditions would send this strategy back to the drawing board rather than forward. Each is
# stated here and tested where its evidence exists, not in this notebook: no feature reaches a
# correlation with future returns distinguishable from zero across the folds, which Chapter 8
# measures; the expected gross edge stays below the round trip B.3 measured, which Chapter 17
# prices; and the signal decays inside the one-bar execution delay, which Chapter 7 tests. They are
# written down in advance so that the decision to abandon is made against a threshold rather than
# against a disappointing result.
#
# ### C.3 Mapping class
#
# `setup.yaml::mapping.class` ranks symbols at each decision bar and holds both ends of the
# ordering. Two things make that possible here. These are large, heavily traded names, so the short
# leg can be borrowed about as cheaply as the long leg can be bought, and holding both cancels the
# move common to the whole market - which a score built from the cross-section has no claim to
# predict in the first place.

# %% [markdown]
# ## D. Walk-forward structure
#
# ### D.1 Effective sample size
#
# A panel this size looks enormous - millions of rows - and that number is misleading. What
# evaluation actually spends is decision bars, because a hundred symbols observed at the same
# instant share whatever moved the market at that instant: the common part is one observation, not
# a hundred. The count below is therefore the honest denominator for anything measured across the
# cross-section, and it is three orders of magnitude smaller than the row count.

# %%
print(
    f"Decision bars {len(breadth):,} over {decision_bars['session'].n_unique():,} sessions "
    f"| symbols per decision bar {breadth['declared'].mean():.0f}"
)

# %% [markdown]
# ### D.2 Fold demonstration
#
# A walk-forward split cuts the development period into consecutive blocks: a *training* window the
# model is fitted on, then a *validation* window it is scored on, with the pair sliding forward to
# make the next fold. Between the two sits a *purge gap*, a stretch dropped from both. It is needed
# because a label is a statement about the future: a target computed at the last bar of training
# resolves fifteen minutes later, and without the gap that resolution falls inside validation and
# the score is partly a score on data the model was fitted on.
#
# `generate_cv_splits` places those boundaries from the widths in `setup.yaml::evaluation` and the
# gap from the label buffer, and the figure draws the boundaries it returned rather than recomputing
# them, so the picture and the folds cannot disagree. It numbers folds chronologically, so fold 0 is
# the earliest and the highest number ends against the holdout. The figure and the printout below
# label each fold with that number, which is why the labels count up as the folds move forward;
# every later stage prints the same ones.
#
# The splitter is given the whole sample, holdout included, and applies the holdout boundary itself
# from `evaluation.holdout_start`, which is what every later stage does - `02_labels` writes labels
# across the full range and `05_evaluation` derives its folds from that frame. Handing the splitter
# a frame that stops at the holdout instead shifts the first training bar of both folds by four
# sessions, and the figure would then show a training window the pipeline never trains on. This is
# the one place in the notebook that reads a timestamp from the holdout period; no price, quote or
# return from it is loaded.
#
# The gap drawn is the buffer for the primary label, `labels.buffer`. The longest declared variant,
# `fwd_ret_60m`, resolves an hour out and carries its own wider buffer in `labels.variant_buffers`;
# a fold built for that variant purges four bars rather than one.
#
# One fold boundary here falls where a session ends, and the check below allows for it. A label in
# this case study never crosses a session boundary - `02_labels` keys every window on the
# symbol-session, so the last bars of a day carry no label at all. Where training stops on the final
# bar of a session there is consequently nothing to purge: the bar has no forward window to leak.
# The assertion tests the property that matters, which is that no labelled training bar resolves at
# or after the first validation bar, rather than testing that a fixed number of bars was removed.

# %%
full_timeline = (
    load_nasdaq100_bars(
        frequency=CADENCE,
        include_quotes=False,
        start_date=START_DATE,
        end_date=HOLDOUT_END,
        max_symbols=MAX_SYMBOLS,
        symbols=sorted(DECLARED_SYMBOLS),
    )
    .select("timestamp")
    .unique()
    .sort("timestamp")
)
splits = generate_cv_splits(
    full_timeline,
    case_study_id=CASE_STUDY_ID,
    label_buffer=LABEL_BUFFER,
    date_col="timestamp",
)
last_val = max(s["val_end"] for s in splits)
assert len(splits) == SETUP["evaluation"]["n_splits"], "fold count differs from setup.yaml"
assert last_val < np.datetime64(HOLDOUT_START), "a fold reaches into the holdout"
grid = full_timeline["timestamp"].to_numpy()
session_ends = set(
    full_timeline.group_by(pl.col("timestamp").dt.date().alias("session"))
    .agg(pl.col("timestamp").max())["timestamp"]
    .to_list()
)
print(f"{len(splits)} folds over {len(full_timeline):,} decision bars")
for split in sorted(splits, key=lambda s: s["train_start"]):
    train_end, val_start = split["train_end"], split["val_start"]
    purged = int(((grid > np.datetime64(train_end)) & (grid < np.datetime64(val_start))).sum())
    unlabelled = train_end in session_ends
    assert purged >= 1 or unlabelled, (
        f"training ends {train_end} mid-session with no bar purged before {val_start}"
    )
    why = "training ends on a session's last bar, which carries no label" if unlabelled else ""
    print(
        f"  Fold {split['fold']} | train {split['train_start']} to {train_end} | validate "
        f"{val_start} to {split['val_end']} | {purged} bar purged{'; ' + why if why else ''}"
    )

fig, ax = plt.subplots(figsize=FIGSIZE["single"])
fold_timeline(ax, splits, holdout=(HOLDOUT_START, HOLDOUT_END))
ax.xaxis.set_major_formatter(mdates.ConciseDateFormatter(ax.xaxis.get_major_locator()))
add_message_title(
    ax,
    "Folds roll forward and stop short of the holdout",
    subtitle="Boundaries as generate_cv_splits returned them; the one-bar purge is too narrow to see",
)
show_with_alt(
    fig,
    "Each fold drawn as a training span followed by a validation span, rolling forward through the sample and stopping before the holdout period begins.",
)

# %% [markdown]
# ## E. Derived artifacts
#
# This notebook writes one file, and it is written because two later steps read it.
# `setup.yaml::costs.asset_spreads_source` names `liquidity_profile.parquet`, from which the cost
# model joins `median_half_spread_usd` per symbol so that the backtest charges each name its own
# measured spread rather than one average; and `_build_cost_feasible_universe.py` ranks on the same
# column to freeze the eligible list that Sections B.2 and B.5 used.

# %%
profile_path = CASE_DIR / "liquidity_profile.parquet"
liquidity_profile.write_parquet(profile_path)
print(f"Written: {profile_path.name} ({len(liquidity_profile)} symbols)")

# %% [markdown]
# ## F. Findings vs `setup.yaml`
#
# Each declared setting is paired below with the evidence in this notebook that motivates it, and
# with the condition under which a reader working on their own data would revise it.
#
# | Knob | Evidence | Revise it when |
# |---|---|---|
# | `universe.symbols` | B.2 breadth per decision bar | breadth falls under the positions the sweep asks for on either leg |
# | `universe.cost_feasible` | B.3 cost ordering and where the eligible list cuts | the eligible names stop being the cheap end of the ordering |
# | `costs.model` | B.3 measured per-symbol half-spread | one level fits the cross-section, or the vendor stops supplying quotes |
# | `decision.bar_frequency` | B.4 persistence, B.5 clearance by horizon | a longer horizon clears cost often enough to pay for the decisions it gives up |
# | `evaluation.n_splits` | D.1 decision bars, D.2 fold boundaries | the folds no longer fit the development window |

# %%
print(
    f"universe.n_assets {SETUP['universe']['n_assets']}, screened breadth "
    f"{breadth['screened'].min()} to {breadth['screened'].max()} | costs.model "
    f"{SETUP['costs']['model']}, measured round trip median "
    f"{UNIVERSE_COST_BPS:.2f} bps against a declared floor of {FRICTION_FLOOR_BPS:.0f} bps\n"
    f"decision.bar_frequency {SETUP['decision']['bar_frequency']} | labels.primary "
    f"{PRIMARY_LABEL} | evaluation.n_splits {SETUP['evaluation']['n_splits']}, generated "
    f"{len(splits)}, last validation ends {last_val.date()}, holdout untouched"
)

# %% [markdown] tags=["results"]
# The declared universe carries 101 to 103 symbols per decision bar and the eligible book 46 to 50,
# so the 40 the largest declared portfolio needs is available at every one of the 9,778 decision
# bars. The measured round-trip median of 6.16 bps sits above the friction floor of 5 bps
# `setup.yaml` declares, so that floor is the optimistic end of what this universe charges rather
# than a typical case. Two folds are generated over 13,094 decision bars, training from 2020-01-02
# and ending its last validation on 2021-06-30, with the holdout untouched.

# %% [markdown]
# ## Key takeaways
#
# 1. **Measure cost per symbol wherever quotes exist.** A spread is a price in cents, so converting
#    the universe at one average price misstates both ends of the ordering - and at an intraday
#    horizon that error is the same size as the thing being measured.
# 2. **Scale each move by its own symbol's cost before comparing horizons**, which puts break-even
#    at one for every symbol and makes a single curve readable across a cross-section.
# 3. **Take midpoint returns rather than traded closes.** A traded price alternates between the bid
#    and the offer, which adds a move that is an artefact of which side traded.
# 4. **Compute a panel autocorrelation inside one entity and within one session.** Pooling across
#    entities measures where their histories join; crossing a session boundary measures an overnight
#    gap the lag count does not know about.
# 5. **Count decision bars, not rows.** A wide panel observed at one instant carries one common
#    observation, not one per name.
#
# ### Known limitations
#
# - Cost is the quoted spread plus commission at a size one bar can absorb. Market impact - the
#   price moving against an order because of the order - is not in it, and enters at the cost stage.
# - A horizon counted in bars equals the clock interval it names only where every bar in between is
#   quoted. Where quoting is interrupted, the realised horizon is longer than the label says.
# - The eligible list is frozen from a window ending before validation begins, which is what makes
#   it usable in real time, but it also means the strategy holds a set chosen on slightly stale
#   liquidity.
#
# **Next**: labels at the declared horizons, built on midpoint prices over this same window.

```