etf/archive/visualization/report_generator/generate_report.py

"""
ETF轮动策略报告生成器
=======================
从回测数据生成精美的 HTML 策略报告

使用方法:
    python generate_report.py
    python generate_report.py --start 2024-01-01 --end 2024-12-31
"""

import pandas as pd
import numpy as np
from jinja2 import Template
from datetime import datetime
import argparse
import os
import sys
import json


class ReportGenerator:
    """策略报告生成器"""
    
    def __init__(self, results_dir='results'):
        self.results_dir = results_dir
        self.summary_df = None
        self.trades_df = None
        self.metrics = None  # 从JSON加载的策略KPI
        self.nav_df = None   # 从CSV加载的净值曲线
        
    def load_data(self):
        """加载回测数据"""
        # 加载汇总数据
        summary_path = os.path.join(self.results_dir, 'report_summary.csv')
        if not os.path.exists(summary_path):
            raise FileNotFoundError(f"找不到汇总数据文件: {summary_path}")
        
        self.summary_df = pd.read_csv(summary_path)
        
        # 转换百分比
        for col in ['胜率', '平均收益', '累计收益', '最大单次收益', '最大单次亏损']:
            if col in self.summary_df.columns:
                self.summary_df[col] = self.summary_df[col].str.rstrip('%').astype(float)
        
        # 加载交易记录
        trades_path = os.path.join(self.results_dir, 'report_trades.csv')
        if not os.path.exists(trades_path):
            raise FileNotFoundError(f"找不到交易记录文件: {trades_path}")
        
        self.trades_df = pd.read_csv(trades_path)
        self.trades_df['进场日期'] = pd.to_datetime(self.trades_df['进场日期'])
        self.trades_df['出场日期'] = pd.to_datetime(self.trades_df['出场日期'])
        
        # 加载策略KPI JSON文件（如果存在）
        metrics_path = os.path.join(self.results_dir, 'report_metrics.json')
        if os.path.exists(metrics_path):
            with open(metrics_path, 'r', encoding='utf-8') as f:
                self.metrics = json.load(f)
            print(f"✅ 加载策略指标: {metrics_path}")
        else:
            print(f"⚠️ 未找到策略指标文件: {metrics_path}")
        
        # 加载净值曲线CSV文件（如果存在）
        nav_path = os.path.join(self.results_dir, 'report_nav.csv')
        if os.path.exists(nav_path):
            self.nav_df = pd.read_csv(nav_path)
            self.nav_df['日期'] = pd.to_datetime(self.nav_df['日期'])
            print(f"✅ 加载净值曲线: {nav_path} ({len(self.nav_df)} 条记录)")
        else:
            print(f"⚠️ 未找到净值曲线文件: {nav_path}")
        
        print(f"✅ 数据加载成功: {len(self.trades_df)} 条交易记录")
        
    def calculate_kpis(self, trades_filtered=None):
        """计算关键指标 - 优先使用轮动策略输出的指标"""
        
        # 如果有从JSON加载的策略KPI，直接使用
        if self.metrics is not None and '策略' in self.metrics:
            strategy_metrics = self.metrics['策略']
            print("✅ 使用轮动策略输出的KPI指标")
            
            # 计算调仓次数（需要从trades数据获取）
            df = trades_filtered if trades_filtered is not None else self.trades_df
            total_trades = len(df)
            
            # 最佳品种（从summary获取）
            if self.summary_df is not None:
                symbol_col = self.summary_df['累计收益']
                best_symbol = self.summary_df.loc[symbol_col.idxmax(), '品种代码']
            else:
                best_symbol = 'N/A'
            
            # 平均持仓天数
            avg_holding_days = df['持仓天数'].mean() if len(df) > 0 else 0
            
            # 盈亏次数（基于trades数据）
            # 转换持仓收益为数值（统一处理百分号格式）
            if '持仓收益' in df.columns:
                # 使用通用转换方法
                returns_series = df['持仓收益'].apply(
                    lambda x: float(str(x).rstrip('%')) if pd.notna(x) else 0.0
                )
                win_count = (returns_series > 0).sum()
                loss_count = (returns_series < 0).sum()
            else:
                win_count = 0
                loss_count = 0
            
            return {
                'total_return': f"{strategy_metrics['累计收益'] * 100:.2f}",
                'annual_return': f"{strategy_metrics['年化收益(自然日)'] * 100:.2f}",
                'win_rate': f"{strategy_metrics['日胜率'] * 100:.2f}",
                'max_drawdown': f"{strategy_metrics['最大回撤'] * 100:.2f}",
                'sharpe_ratio': f"{strategy_metrics['夏普比率']:.2f}",
                'best_symbol': best_symbol,
                'avg_holding_days': f"{avg_holding_days:.1f}",
                'win_count': int(win_count),
                'loss_count': int(loss_count)
            }
        
        # 否则重新计算（备用方案）
        print("⚠️ 未找到策略KPI，重新计算...")
        df = trades_filtered if trades_filtered is not None else self.trades_df
        
        # 使用净值计算真实收益
        # 按日期分组计算每日组合净值
        daily_nav = df.groupby('出场日期').apply(
            lambda x: (x['出场净值'].astype(float) * x['仓位占比'].str.rstrip('%').astype(float) / 100).sum(),
            include_groups=False
        ).reset_index()
        daily_nav.columns = ['date', 'nav']
        daily_nav = daily_nav.sort_values('date')
        
        # 总收益 = (最终净值 - 初始净值) / 初始净值 * 100
        initial_nav = daily_nav['nav'].iloc[0]
        final_nav = daily_nav['nav'].iloc[-1]
        total_return = (final_nav - initial_nav) / initial_nav * 100
        
        # 年化收益
        days = (daily_nav['date'].iloc[-1] - daily_nav['date'].iloc[0]).days
        if days > 0:
            annual_return = total_return / (days / 365.0)
        else:
            annual_return = 0
        
        # 胜率 - 使用净值变化
        daily_nav['nav_change'] = daily_nav['nav'].pct_change()
        win_count = (daily_nav['nav_change'] > 0).sum()
        total_count = len(daily_nav) - 1  # 减去第一天
        win_rate = (win_count / total_count * 100) if total_count > 0 else 0
        loss_count = total_count - win_count
        
        # 夏普比率
        if daily_nav['nav_change'].std() > 0:
            sharpe_ratio = daily_nav['nav_change'].mean() / daily_nav['nav_change'].std() * np.sqrt(252)
        else:
            sharpe_ratio = 0
        
        # 最大回撤
        running_max = daily_nav['nav'].cummax()
        drawdown = (daily_nav['nav'] - running_max) / running_max * 100
        max_drawdown = drawdown.min()
        
        # 调仓次数
        total_trades = len(df)
        
        # 最佳品种 - 从 summary 获取
        if self.summary_df is not None:
            symbol_col = self.summary_df['累计收益']
            if symbol_col.dtype == 'object':
                symbol_col_num = symbol_col.str.rstrip('%').astype(float)
            else:
                symbol_col_num = symbol_col
            best_symbol = self.summary_df.loc[symbol_col_num.idxmax(), '品种代码']
        else:
            best_symbol = 'N/A'
        
        # 平均持仓天数
        avg_holding_days = df['持仓天数'].mean() if len(df) > 0 else 0
        
        return {
            'total_return': f"{total_return:.2f}",
            'annual_return': f"{annual_return:.2f}",
            'win_rate': f"{win_rate:.2f}",
            'max_drawdown': f"{max_drawdown:.2f}",
            'sharpe_ratio': f"{sharpe_ratio:.2f}",
            'total_trades': str(total_trades),
            'best_symbol': best_symbol,
            'avg_holding_days': f"{avg_holding_days:.1f}",
            'win_count': int(win_count),
            'loss_count': int(loss_count)
        }
    
    def prepare_chart_data(self, trades_filtered=None):
        """准备图表数据 - 优先使用轮动策略输出的净值曲线"""
        
        # 如果有从CSV加载的净值曲线，直接使用
        if self.nav_df is not None:
            print("✅ 使用轮动策略输出的净值曲线")
            
            # 净值曲线数据 - 直接读取
            nav_dates = self.nav_df['日期'].dt.strftime('%Y-%m-%d').tolist()
            nav_values = self.nav_df['策略净值'].round(4).tolist()
            benchmark_values = self.nav_df['基准净值'].round(4).tolist()
            
            # 月度收益数据 - 从净值计算
            self.nav_df['年月'] = self.nav_df['日期'].dt.to_period('M')
            monthly_nav = self.nav_df.groupby('年月').agg({
                '策略净值': 'last'
            }).reset_index()
            monthly_nav.columns = ['年月', 'nav']
            monthly_nav = monthly_nav.sort_values('年月')
            monthly_nav['nav_change'] = monthly_nav['nav'].pct_change() * 100
            monthly_nav['nav_change'] = monthly_nav['nav_change'].fillna(0)
            monthly_nav['年月_str'] = monthly_nav['年月'].astype(str)
            monthly_dates = monthly_nav['年月_str'].tolist()
            monthly_values = monthly_nav['nav_change'].round(2).tolist()
            
            # 盈亏分布 - 从trades数据计算
            df = trades_filtered if trades_filtered is not None else self.trades_df
            df = df.copy()
            # 使用通用转换方法处理持仓收益
            df['持仓收益_num'] = df['持仓收益'].apply(
                lambda x: float(str(x).rstrip('%')) if pd.notna(x) else 0.0
            )
            
            positive_returns = df[df['持仓收益_num'] > 0]['持仓收益_num'].tolist()
            negative_returns = df[df['持仓收益_num'] <= 0]['持仓收益_num'].tolist()
            
            # 品种收益排行 - 使用累计收益列
            symbol_returns = self.summary_df.set_index('品种代码')['累计收益']
            symbol_returns = symbol_returns.sort_values()
            symbol_names = []
            symbol_returns_list = []
            
            for code, ret in symbol_returns.items():
                name = self.summary_df[self.summary_df['品种代码'] == code]
                if len(name) > 0:
                    symbol_names.append(name.iloc[0]['品种名称'])
                else:
                    symbol_names.append(code)
                symbol_returns_list.append(ret)
            
            return {
                'nav_dates': nav_dates,
                'nav_values': nav_values,
                'benchmark_values': benchmark_values,
                'monthly_dates': monthly_dates,
                'monthly_values': monthly_values,
                'positive_returns': positive_returns,
                'negative_returns': negative_returns,
                'symbol_names': symbol_names,
                'symbol_returns': symbol_returns_list,
            }
        
        # 否则重新计算（备用方案）
        print("⚠️ 未找到净值曲线，重新计算...")
        df = trades_filtered if trades_filtered is not None else self.trades_df
        
        # 转换持仓收益为数值（统一处理百分号格式）
        df = df.copy()
        df['持仓收益_num'] = df['持仓收益'].apply(
            lambda x: float(str(x).rstrip('%')) if pd.notna(x) else 0.0
        )
        
        df_sorted = df.sort_values('出场日期')
        
        # 净值曲线数据 - 使用出场净值（考虑仓位加权）
        # 按日期分组，计算每日的加权平均净值
        daily_nav = df_sorted.groupby('出场日期').apply(
            lambda x: (x['出场净值'].astype(float) * x['仓位占比'].str.rstrip('%').astype(float) / 100).sum(),
            include_groups=False
        ).reset_index()
        daily_nav.columns = ['date', 'nav']
        daily_nav = daily_nav.sort_values('date')
        
        nav_values = daily_nav['nav'].round(4).tolist()
        nav_dates = daily_nav['date'].dt.strftime('%Y-%m-%d').tolist()
        benchmark_values = []  # 备用方案无基准数据
        
        # 月度收益数据 - 使用净值变化计算
        df_copy = df_sorted.copy()
        df_copy['年月'] = df_copy['出场日期'].dt.to_period('M')
        monthly_nav = df_copy.groupby('年月').apply(
            lambda x: (x['出场净值'].astype(float) * x['仓位占比'].str.rstrip('%').astype(float) / 100).sum(),
            include_groups=False
        ).reset_index()
        monthly_nav.columns = ['年月', 'nav']
        monthly_nav = monthly_nav.sort_values('年月')
        monthly_nav['nav_change'] = monthly_nav['nav'].pct_change() * 100
        monthly_nav['nav_change'] = monthly_nav['nav_change'].fillna(0)
        
        monthly_nav['年月_str'] = monthly_nav['年月'].astype(str)
        monthly_dates = monthly_nav['年月_str'].tolist()
        monthly_values = monthly_nav['nav_change'].round(2).tolist()
        
        # 品种收益排行 - 使用累计收益列
        symbol_returns = self.summary_df.set_index('品种代码')['累计收益']
        if symbol_returns.dtype == 'object':
            symbol_returns = symbol_returns.str.rstrip('%').astype(float)
        symbol_returns = symbol_returns.sort_values()
        symbol_names = []
        symbol_returns_list = []
        
        for code, ret in symbol_returns.items():
            name = self.summary_df[self.summary_df['品种代码'] == code]
            if len(name) > 0:
                symbol_names.append(name.iloc[0]['品种名称'])
            else:
                symbol_names.append(code)
            symbol_returns_list.append(round(ret, 2))
        
        # 唯一品种列表
        symbols = df['品种代码'].unique().tolist()
        
        return {
            'nav_dates': nav_dates,
            'nav_values': [round(v, 2) for v in nav_values],
            'monthly_dates': monthly_dates,
            'monthly_values': monthly_values,
            'symbol_names': symbol_names,
            'symbol_returns': symbol_returns_list,
            'symbols': symbols
        }
    
    def generate(self, start_date=None, end_date=None, output_dir='reports'):
        """生成报告"""
        print("🚀 开始生成策略报告...")
        
        # 加载数据
        self.load_data()
        
        # 筛选数据
        if start_date:
            start_date = pd.to_datetime(start_date)
        if end_date:
            end_date = pd.to_datetime(end_date)
        
        trades_filtered = self.trades_df.copy()
        if start_date:
            trades_filtered = trades_filtered[trades_filtered['出场日期'] >= start_date]
        if end_date:
            trades_filtered = trades_filtered[trades_filtered['出场日期'] <= end_date]
        
        print(f"📊 筛选后数据: {len(trades_filtered)} 条记录")
        
        # 计算指标
        kpis = self.calculate_kpis(trades_filtered)
        chart_data = self.prepare_chart_data(trades_filtered)
        
        # 准备交易记录 - 按出场日期倒序排列（最新在前）
        trades_display = trades_filtered.sort_values('出场日期', ascending=False).copy()
        trades_display['进场日期'] = trades_display['进场日期'].dt.strftime('%Y-%m-%d')
        trades_display['出场日期'] = trades_display['出场日期'].dt.strftime('%Y-%m-%d')
        trades_list = trades_display.to_dict('records')
        
        # 分页参数
        page_size = 50  # 每页显示50条记录
        total_trades = len(trades_list)
        total_pages = (total_trades // page_size) + (1 if total_trades % page_size > 0 else 0)
        
        # 读取模板
        template_path = os.path.join(os.path.dirname(__file__), 'template.html')
        with open(template_path, 'r', encoding='utf-8') as f:
            template = Template(f.read())
        
        # 渲染模板
        html = template.render(
            report_date=datetime.now().strftime('%Y-%m-%d %H:%M:%S'),
            start_date=start_date.strftime('%Y-%m-%d') if start_date else trades_filtered['出场日期'].min().strftime('%Y-%m-%d'),
            end_date=end_date.strftime('%Y-%m-%d') if end_date else trades_filtered['出场日期'].max().strftime('%Y-%m-%d'),
            trades=trades_list,
            page_size=page_size,
            total_trades=total_trades,
            total_pages=total_pages,
            **kpis,
            **chart_data
        )
        
        # 创建输出目录
        os.makedirs(output_dir, exist_ok=True)
        
        # 保存报告（固定文件名）
        output_file = os.path.join(output_dir, 'strategy_report.html')
        
        with open(output_file, 'w', encoding='utf-8') as f:
            f.write(html)
        
        print(f"✅ 报告已生成: {output_file}")
        print(f"📁 文件大小: {os.path.getsize(output_file) / 1024:.1f} KB")
        print(f"🌐 在浏览器中打开: file://{os.path.abspath(output_file)}")
        
        return output_file


def main():
    """主函数"""
    parser = argparse.ArgumentParser(description='生成ETF轮动策略报告')
    parser.add_argument('--start', type=str, help='开始日期 (YYYY-MM-DD)')
    parser.add_argument('--end', type=str, help='结束日期 (YYYY-MM-DD)')
    parser.add_argument('--output', type=str, default='reports', help='输出目录')
    
    args = parser.parse_args()
    
    try:
        generator = ReportGenerator()
        generator.generate(
            start_date=args.start,
            end_date=args.end,
            output_dir=args.output
        )
    except Exception as e:
        print(f"❌ 生成失败: {e}")
        import traceback
        traceback.print_exc()
        sys.exit(1)


if __name__ == '__main__':
    main()