"""
简单轮动策略回测脚本

测试场景：指数信号 → ETF收益
- 使用指数计算动量信号
- 使用 ETF 计算收益
"""

import sys
from pathlib import Path

# 添加项目根目录到 Python 路径
project_root = Path(__file__).parent.parent.parent
sys.path.insert(0, str(project_root))

from framework_v2.config import load_config
from framework_v2.strategies.rotation.simple import SimpleRotationStrategy


def run_backtest():
    """运行回测"""
    print("=" * 70)
    print("  ETF轮动策略回测（V2 框架）")
    print("  场景：指数信号 → ETF收益，复现 V1 结果")
    print("=" * 70)
    
    # 加载配置
    config_file = project_root / "framework_v2" / "strategies" / "rotation" / "config_simple.yaml"
    print(f"\n配置文件: {config_file}")
    
    config = load_config(str(config_file))
    
    # 打印配置摘要
    print("\n" + "=" * 70)
    print("  配置摘要")
    print("=" * 70)
    print(f"策略名称: {config.metadata.strategy}")
    print(f"回测区间: {config.backtest.start_date} ~ {config.backtest.end_date or '至今'}")
    print(f"因子类型: {config.factor.type.value}")
    print(f"动量窗口: {config.factor.n_days} 天")
    print(f"选股数量: {config.rotation.select_num}")
    
    # 打印资产池
    print(f"\n资产池 ({config.asset_pools.count()} 个标的):")
    for code, asset in config.asset_pools.assets.items():
        print(f"  {code}: {asset.name}")
        print(f"    分组: {asset.group}")
        print(f"    信号: {asset.signal_source}")
        print(f"    交易: {asset.trade_source}")
        print(f"    跨市场: {'是' if asset.is_cross_market else '否'}")
    
    # 创建策略
    print("\n" + "=" * 70)
    print("  运行回测...")
    print("=" * 70)
    
    strategy = SimpleRotationStrategy(config)
    result = strategy.run()
    
    # 打印结果
    print("\n" + "=" * 70)
    print("  回测结果")
    print("=" * 70)
    
    metrics = result['metrics']
    print(f"总收益: {metrics['total_return']:.2%}")
    print(f"年化收益: {metrics['annual_return']:.2%}")
    print(f"最大回撤: {metrics['max_drawdown']:.2%}")
    print(f"夏普比率: {metrics['sharpe_ratio']:.2f}")
    print(f"交易天数: {metrics['n_days']}")
    
    # 打印净值曲线
    equity_curve = result['equity_curve']
    print(f"\n净值曲线:")
    print(f"  起始净值: {equity_curve.iloc[0]:.4f}")
    print(f"  结束净值: {equity_curve.iloc[-1]:.4f}")
    print(f"  数据点数: {len(equity_curve)}")
    
    # 保存结果
    output_dir = project_root / "framework_v2" / "results"
    output_dir.mkdir(exist_ok=True)
    
    # 保存净值曲线
    equity_curve.to_csv(output_dir / "simple_rotation_equity.csv")
    print(f"\n净值曲线已保存: {output_dir / 'simple_rotation_equity.csv'}")
    
    # 保存持仓记录
    positions = result['positions']
    positions.to_csv(output_dir / "simple_rotation_positions.csv")
    print(f"持仓记录已保存: {output_dir / 'simple_rotation_positions.csv'}")
    
    print("\n" + "=" * 70)
    print("  回测完成！")
    print("=" * 70)


if __name__ == "__main__":
    run_backtest()