"""
持仓数量 (select_num) 敏感度测试
测试 select_num 分别为 1, 2, 3, 4, 5 时的策略表现
基于最终精选的 11 只标的池
"""

import sys
import pandas as pd
import numpy as np
from pathlib import Path
from datetime import datetime
import matplotlib.pyplot as plt

# 添加项目根目录
sys.path.insert(0, str(Path(__file__).parent.parent))

from strategies.rotation.engine import RotationStrategy

# ==================== 基础配置 ====================
FINAL_POOL = {
    "399006.SZ": {"name": "创业板指", "market": "A", "etf": "159915.SZ"},
    "H30269.CSI": {"name": "中证红利低波", "market": "A", "etf": "512890.SH"},
    "000015.SH": {"name": "上证红利", "market": "A", "etf": "510880.SH"},
    "NDX": {"name": "纳指100", "market": "US", "etf": "513100.SH"},
    "N225": {"name": "日经225", "market": "JP", "etf": "513520.SH"},
    "GDAXI": {"name": "德国DAX", "market": "EU", "etf": "513030.SH"},
    "HSI": {"name": "恒生指数", "market": "HK", "etf": "159920.SZ"},
    "HSTECH.HK": {"name": "恒生科技", "market": "HK", "etf": "513130.SH"},
    "AU.SHF": {"name": "黄金", "market": "COMMODITY", "etf": "518880.SH"},
    "CL.NYM": {"name": "原油", "market": "COMMODITY", "etf": "160723.SZ"},
    "931862.CSI": {"name": "30年国债", "market": "BOND", "etf": "511090.SH"}
}

BASE_CONFIG = {
    "start_date": "2019-01-01",
    "end_date": datetime.now().strftime('%Y-%m-%d'),
    "code_list": FINAL_POOL,
    "factor_type": "weighted_momentum",
    "auto_day": False, # 使用当前设定的固定窗口
    "n_days": 25,
    "diversified": True,
    "rebalance_days": 1,
    "rebalance_threshold": 0.0,
    "trade_cost": 0.001,
    "premium_control": {"enabled": True, "default_threshold": 0.10},
    "use_cache": True,
    "ssh_tunnel": {"enabled": True, "host": "8.218.167.69", "port": 22, "username": "root", "key_path": "hk_ecs.pem", "local_port": 1080}
}

def run_sensitivity_test():
    test_values = [1, 2, 3, 4, 5]
    results = []
    
    for val in test_values:
        print(f"\n测试 select_num = {val} ...")
        cfg = BASE_CONFIG.copy()
        cfg["select_num"] = val
        
        strategy = RotationStrategy(cfg)
        try:
            res_df = strategy.run()
            
            nav = res_df['轮动策略净值']
            total_ret = nav.iloc[-1] - 1
            days = (nav.index[-1] - nav.index[0]).days
            cagr = (1 + total_ret)**(365.25/days) - 1
            
            daily_ret = res_df['轮动策略日收益率']
            sharpe = daily_ret.mean() / daily_ret.std() * np.sqrt(252) if daily_ret.std() > 0 else 0
            
            peak = nav.cummax()
            dd = (nav - peak) / peak
            max_dd = dd.min()
            
            results.append({
                "select_num": val,
                "total_ret": total_ret,
                "cagr": cagr,
                "max_dd": max_dd,
                "sharpe": sharpe,
                "nav": nav
            })
        except Exception as e:
            print(f"测试失败 (select_num={val}): {e}")

    # ==================== 汇总报告 ====================
    print(f"\n\n{'='*90}")
    print(f"{'持仓数量 (select_num) 敏感度测试报告':^90}")
    print(f"{'='*90}")
    print(f"{'持仓数':<10} | {'累计收益':>12} | {'年化(CAGR)':>12} | {'最大回撤':>12} | {'夏普比率':>10}")
    print(f"{'-'*90}")
    
    for r in results:
        print(f"{r['select_num']:<10} | {r['total_ret']:>12.2%} | {r['cagr']:>12.2%} | {r['max_dd']:>12.2%} | {r['sharpe']:>10.2f}")
    print(f"{'='*90}")

    # ==================== 绘图 ====================
    plt.figure(figsize=(14, 7))
    for r in results:
        plt.plot(r['nav'].index, r['nav'], label=f"select_num = {r['select_num']}")
    
    plt.yscale('log')
    plt.title("持仓数量对净值的影响 (select_num 1-5)", fontsize=14)
    plt.legend()
    plt.grid(True, alpha=0.3)
    
    output_path = Path(__file__).parent.parent / "results" / "select_num_test.png"
    plt.savefig(output_path)
    print(f"\n对比图表已保存至: {output_path}")

if __name__ == "__main__":
    run_sensitivity_test()