"""
slope_r2 vs standardized_slope 对比实验

测试两种信号质量优化的回测表现：
1. slope_r2: slope × R² (当前默认)
2. standardized_slope: slope / SE(slope) (t-statistic)

运行方式:
    cd /Users/aszer/code/etf
    set -a && source .env && set +a
    python3 rotation/experiments/std_slope_test.py
"""

import os
import sys
import json
import yaml
from pathlib import Path
from datetime import datetime

PROJECT_ROOT = Path(__file__).parent.parent.parent
sys.path.insert(0, str(PROJECT_ROOT))

from rotation.simple_rotation import SimpleRotationStrategy

FACTOR_TYPES = [
    ("slope_r2", "slope_r2 (slope×R², 当前默认)"),
    ("standardized_slope", "standardized_slope (t-statistic)"),
]


def run_factor_experiment(factor_type: str):
    """Run backtest with a specific factor type"""
    print(f"\n{'='*60}")
    print(f"  Testing: {factor_type}")
    print(f"{'='*60}")

    config_path = PROJECT_ROOT / "rotation" / "config_simple.yaml"
    with open(config_path, 'r', encoding='utf-8') as f:
        config = yaml.safe_load(f)

    original_type = config['factor']['type']
    config['factor']['type'] = factor_type

    with open(config_path, 'w', encoding='utf-8') as f:
        yaml.dump(config, f, allow_unicode=True, default_flow_style=False)

    try:
        strategy = SimpleRotationStrategy()
        result = strategy.run()
        if result:
            metrics = result.get('metrics', {})
            return {
                'factor_type': factor_type,
                'annual_return': metrics.get('annual_return', 0),
                'total_return': metrics.get('total_return', 0),
                'sharpe_ratio': metrics.get('sharpe_ratio', 0),
                'max_drawdown': metrics.get('max_drawdown', 0),
                'win_rate': metrics.get('win_rate', 0),
                'rebalance_count': metrics.get('rebalance_count', 0),
                'calmar_ratio': metrics.get('calmar_ratio', 0),
            }
    finally:
        config['factor']['type'] = original_type
        with open(config_path, 'w', encoding='utf-8') as f:
            yaml.dump(config, f, allow_unicode=True, default_flow_style=False)

    return None


def main():
    if 'FLASK_API_URL' not in os.environ:
        os.environ['FLASK_API_URL'] = 'https://k3s.tokenpluse.xyz'

    print("="*60)
    print("  slope_r2 vs standardized_slope 对比实验")
    print("="*60)

    results = []
    for factor_type, description in FACTOR_TYPES:
        print(f"\n>>> {description}")
        result = run_factor_experiment(factor_type)
        if result:
            results.append(result)
            print(f"  ✓ {factor_type}: 年化={result['annual_return']:.2%}, "
                  f"夏普={result['sharpe_ratio']:.2f}, 回撤={result['max_drawdown']:.2%}")
        else:
            print(f"  ✗ {factor_type}: 运行失败")

    print(f"\n{'='*60}")
    print("  对比结果汇总")
    print(f"{'='*60}")
    print(f"{'因子类型':<25} {'年化收益':>10} {'夏普比率':>8} {'最大回撤':>10} {'Calmar':>8} {'调仓次数':>8} {'胜率':>6}")
    print("-"*80)
    for r in results:
        print(f"{r['factor_type']:<25} "
              f"{r['annual_return']:>9.2%} "
              f"{r['sharpe_ratio']:>8.2f} "
              f"{r['max_drawdown']:>9.2%} "
              f"{r['calmar_ratio']:>8.2f} "
              f"{r['rebalance_count']:>8d} "
              f"{r['win_rate']:>5.1%}")

    if len(results) >= 2:
        base = results[0]
        new = results[1]
        print(f"\n{'='*60}")
        print("  变化对比 (standardized_slope vs slope_r2)")
        print(f"{'='*60}")
        print(f"  年化收益: {base['annual_return']:.2%} → {new['annual_return']:.2%}  "
              f"(Δ={new['annual_return']-base['annual_return']:+.2%})")
        print(f"  夏普比率: {base['sharpe_ratio']:.2f} → {new['sharpe_ratio']:.2f}  "
              f"(Δ={new['sharpe_ratio']-base['sharpe_ratio']:+.2f})")
        print(f"  最大回撤: {base['max_drawdown']:.2%} → {new['max_drawdown']:.2%}  "
              f"(Δ={new['max_drawdown']-base['max_drawdown']:+.2%})")
        print(f"  调仓次数: {base['rebalance_count']} → {new['rebalance_count']}  "
              f"(Δ={new['rebalance_count']-base['rebalance_count']:+d})")

    output_dir = PROJECT_ROOT / "rotation" / "experiments" / "output"
    output_dir.mkdir(exist_ok=True)
    output_path = output_dir / "std_slope_test_results.json"
    with open(output_path, 'w', encoding='utf-8') as f:
        json.dump({'timestamp': datetime.now().isoformat(), 'results': results},
                  f, ensure_ascii=False, indent=2)
    print(f"\n结果已保存: {output_path}")


if __name__ == "__main__":
    main()