#!/usr/bin/env python3
# -*- coding: utf-8 -*-
"""hk_backtest.py — 港股策略回测+资金模拟（独立于A股strategy_lab）

功能：
  1. 读港股12维面板 + 港股策略库(hk_strategies.py)
  2. 生成信号 → trades（止盈/止损/最大持有出场）
  3. portfolio_sim 资金模拟（复用 strategy_lab.portfolio_sim 纯函数，不改A股框架）
  4. 输出组合指标：平均年化/近1年/近6月/近3月（Ralph Loop验收标准）

用法：
  python3 hk_backtest.py                    # 全部策略 + 组合
  python3 hk_backtest.py --version hk_pe_mom  # 单策略
"""
import sys
import argparse
import collections
import sqlite3
from datetime import datetime, timedelta

import pandas as pd

sys.path.insert(0, "/home/hmo/MoFin/deploy/profile-scripts")
sys.path.insert(0, "/home/hmo/MoFin")   # strategy_lab.portfolio_sim（纯函数复用）
from hk_strategies import HK_STRATEGIES, get_hk_strategy

PANEL = "/tmp/panel_12d_hk.pkl"
DB = "/home/hmo/MoFin/data/mofin.db"
COST = 0.0015  # 港股往返费率近似（佣金+印花税）

# 港股温区映射（组合按温区调度用）
_REGIME_CACHE = None


def load_regime_map():
    global _REGIME_CACHE
    if _REGIME_CACHE is None:
        conn = sqlite3.connect(DB)
        _REGIME_CACHE = dict(conn.execute(
            "SELECT date, regime FROM market_regime WHERE market='hk'").fetchall())
        conn.close()
    return _REGIME_CACHE


def load_panel():
    p = pd.read_pickle(PANEL)
    return p.sort_values(["code", "date"]).reset_index(drop=True)


def gen_trades_defensive(panel, strat, strike=3, cooldown_days=15):
    """带三振出局防守的信号→trades：连续 strike 笔亏损 → 暂停 cooldown_days（自动避持续下跌被埋）"""
    e = strat["entry"]
    cond = pd.Series(True, index=panel.index)
    if "pe_q_max" in e:
        cond &= panel["pe_q"] < e["pe_q_max"]
    if "mcap_q_max" in e:
        cond &= panel["mcap_q"] < e["mcap_q_max"]
    if "sec_ret20_min" in e:
        cond &= panel["sec_ret20"] > e["sec_ret20_min"]
    if "rsi_max" in e:
        cond &= panel["rsi"] < e["rsi_max"]
    if "bias60_max" in e:
        cond &= panel["bias60"] < e["bias60_max"]
    if "rsi_delta_min" in e:
        cond &= panel["rsi"] - panel.groupby("code")["rsi"].shift(5) >= e["rsi_delta_min"]
    if "vol_ratio_min" in e:
        cond &= panel["vol_ratio"] > e["vol_ratio_min"]
    if "mkt_ret20_max" in e:
        cond &= panel["mkt_ret20"] < e["mkt_ret20_max"]
    if "mkt_rsi_max" in e:
        cond &= panel["mkt_rsi"] < e["mkt_rsi_max"]
    if "mkt_adx_max" in e:
        cond &= panel["mkt_adx"] < e["mkt_adx_max"]
    if "mkt_rsi_min" in e:
        cond &= panel["mkt_rsi"] > e["mkt_rsi_min"]
    if "ret1_min" in e:
        cond &= panel["ret1"] > e["ret1_min"]
    if "ret5_min" in e:
        cond &= panel["ret5"] > e["ret5_min"]
    if "ret20_max" in e:
        cond &= panel["ret20"] < e["ret20_max"]
    if "dist_lo20_min" in e:
        cond &= panel["dist_lo20"] > e["dist_lo20_min"]
    if "bias20_max" in e:
        cond &= panel["bias20"] < e["bias20_max"]
    sig = panel[cond].copy()
    sig = sig.dropna(subset=["close"])

    ex = strat["exit"]
    tp, sl, maxh = ex["tp_pct"], ex["sl_pct"], ex["max_hold_days"]
    bycode = {c: df for c, df in panel.groupby("code")}
    trades = []
    last_loss_dates = {}   # code -> last loss date（个股级三振）
    consecutive = {}       # code -> 连续亏损数
    for _, s in sig.iterrows():
        code = s["code"]
        # 三振出局：个股连续亏损 strike 次 → 暂停 cooldown_days
        if consecutive.get(code, 0) >= strike:
            if (pd.Timestamp(s["date"]) - pd.Timestamp(last_loss_dates.get(code, "1900-01-01"))).days < cooldown_days:
                continue
            consecutive[code] = 0  # 冷却期后恢复
        df = bycode.get(code)
        if df is None:
            continue
        idx = df.index[df["date"] == s["date"]]
        if len(idx) == 0:
            continue
        pos = df.index.get_loc(idx[0])
        fut = df.iloc[pos + 1: pos + maxh + 2]
        if len(fut) < 2:
            continue
        ep = s["close"]
        if ep <= 0:
            continue
        exit_p, reason, hold = None, None, 0
        for k, fb in enumerate(fut.itertuples()):
            if fb.close <= ep * (1 - sl):
                exit_p, reason, hold = ep * (1 - sl), "stop", k + 1
                break
            if fb.close >= ep * (1 + tp):
                exit_p, reason, hold = ep * (1 + tp), "target", k + 1
                break
        if exit_p is None:
            exit_p, reason, hold = fut.iloc[-1]["close"], "time", maxh
        pnl = (exit_p - ep) / ep * 100
        exit_date = fut.iloc[min(hold - 1, len(fut) - 1)]["date"] if hold > 0 else s["date"]
        # 更新三振状态
        if pnl < 0:
            consecutive[code] = consecutive.get(code, 0) + 1
            last_loss_dates[code] = exit_date
        else:
            consecutive[code] = 0
        trades.append({
            "code": code, "name": code, "entry_date": s["date"], "exit_date": exit_date,
            "entry_price": round(ep, 2), "exit_price": round(exit_p, 2),
            "profit_pct": round(pnl, 2), "exit_reason": reason, "hold_days": hold,
            "score": 0, "score_comp": {}, "kelly": 0,
            "stop_loss": round(ep * (1 - sl), 2), "target": round(ep * (1 + tp), 2),
            "dna": False, "factors": {},
        })
    return trades


def gen_trades(panel, strat):
    """兼容入口：无防守的信号生成"""
    return gen_trades_defensive(panel, strat, strike=999, cooldown_days=0)


def portfolio_nav(trades, capital=1000000, slots=8):
    """8槽资金管理净值曲线：每日结算到期→入场(仓位满跳过)→持仓按成本估值。
    返回 (nav_series: dict date->nav, stats)"""
    if not trades:
        return {}, {}
    dates = sorted({t["entry_date"] for t in trades} | {t.get("exit_date", t["entry_date"]) for t in trades})
    if not dates:
        return {}, {}
    # 用真实日历（stock_daily 港股日K日期）
    conn = sqlite3.connect(DB)
    cal = [r[0] for r in conn.execute(
        "SELECT DISTINCT date FROM stock_daily WHERE date>=? AND date<=? AND length(code)=5 ORDER BY date",
        (dates[0], dates[-1])).fetchall()]
    conn.close()
    if not cal:
        cal = dates
    cal_idx = {d: i for i, d in enumerate(cal)}
    alloc = capital / slots
    open_pos = []   # {exit_date, alloc, pnl}
    cash = capital
    nav_series = {}
    skipped = 0
    by_entry = collections.defaultdict(list)
    for t in trades:
        by_entry[t["entry_date"]].append(t)
    for day in cal:
        # 结算到期
        still = []
        for p in open_pos:
            if p["exit_date"] <= day:
                cash += p["alloc"] * (1 + p["pnl"] / 100)
            else:
                still.append(p)
        open_pos = still
        # 入场
        for t in by_entry.get(day, []):
            if len(open_pos) >= slots or cash < alloc:
                skipped += 1
                continue
            open_pos.append({"exit_date": t.get("exit_date", day), "alloc": alloc,
                             "pnl": t["profit_pct"]})
            cash -= alloc
        # 净值
        held_val = sum(p["alloc"] * (1 + p["pnl"] / 100) for p in open_pos)
        nav_series[day] = cash + held_val
    nav_series = {d: v for d, v in sorted(nav_series.items())}
    return nav_series, {"skipped": skipped}


def window_returns(nav_series):
    """从净值曲线算窗口收益（近1年/6月/3月，对照最后日期）"""
    if not nav_series:
        return {"year1": None, "month6": None, "month3": None}
    items = sorted(nav_series.items())
    last_d, last_v = items[-1]
    last_dt = datetime.strptime(last_d, "%Y-%m-%d")
    out = {}
    for label, days in [("year1", 365), ("month6", 182), ("month3", 91)]:
        cutoff = (last_dt - timedelta(days=days)).strftime("%Y-%m-%d")
        # 取 cutoff 后最近的净值点
        base = None
        for d, v in items:
            if d >= cutoff:
                base = v
                break
        out[label] = (last_v / base - 1) * 100 if base else None
    return out


def portfolio_metrics(trades, capital=1000000, slots=8):
    """资金模拟 + 完整 summary_stats（复用 strategy_lab.calc_summary，与A股同构）"""
    import strategy_lab as lab
    nav, stats = portfolio_nav(trades, capital, slots)
    win = window_returns(nav)
    cagr = None
    if nav:
        items = sorted(nav.items())
        d0, v0 = items[0]
        d1, v1 = items[-1]
        yrs = max((datetime.strptime(d1, "%Y-%m-%d") - datetime.strptime(d0, "%Y-%m-%d")).days / 365.0, 0.5)
        cagr = (((v1 / v0) ** (1 / yrs)) - 1) * 100 if v0 > 0 else None
    # 完整 summary_stats（复用 A 股 calc_summary——字段结构与A股完全一致）
    cs = lab.calc_summary(trades, capital)
    pf = lab.portfolio_sim(trades, capital, max_positions=slots) or {}
    pff = lab.portfolio_sim_full(trades, capital) or {}
    summary = dict(cs)
    summary["sizing_slots"] = slots
    summary["portfolio"] = pf
    summary["portfolio_full"] = pff
    return {
        "summary_stats": summary,
        "cagr": cagr,
        "year1": win.get("year1"),
        "month6": win.get("month6"),
        "month3": win.get("month3"),
        "trades": len(trades),
        "skipped": stats.get("skipped", 0),
        "win_rate": cs.get("win_rate"),
    }


def main():
    ap = argparse.ArgumentParser()
    ap.add_argument("--version", default=None)
    ap.add_argument("--slots", type=int, default=8)
    ap.add_argument("--strike", type=int, default=2)
    ap.add_argument("--cooldown", type=int, default=40)
    ap.add_argument("--td-guard", type=int, default=5, help="trend_down连续超过N天暂停超卖策略(防守)")
    args = ap.parse_args()

    panel = load_panel()
    print(f"港股面板: {len(panel)} 行\n", flush=True)

    # trend_down 连续天数（组合级防守）
    rm = load_regime_map()
    dates = sorted(rm.keys())
    td_run = {}
    run = 0
    for d in dates:
        run = run + 1 if rm[d] == "trend_down" else 0
        td_run[d] = run

    versions = [args.version] if args.version else list(HK_STRATEGIES.keys())
    all_trades = []
    for v in versions:
        strat = get_hk_strategy(v)
        if not strat:
            print(f"未知策略: {v}")
            continue
        print(f"=== {v} ({strat['name']}) ===", flush=True)
        trades = gen_trades_defensive(panel, strat, strike=args.strike, cooldown_days=args.cooldown)
        if not trades:
            print("  无交易\n", flush=True)
            continue
        # 温区调度 + 组合级防守（trend_down 连续>N天暂停超卖，避免持续下跌被埋）
        reg = strat.get("regime", "all")
        if reg != "all" and args.version is None:
            trades = [t for t in trades if rm.get(t["entry_date"]) == reg]
            if reg == "trend_down" and args.td_guard > 0:
                trades = [t for t in trades if td_run.get(t["entry_date"], 0) <= args.td_guard]
            print(f"  温区调度({reg})+防守: 保留 {len(trades)} 笔", flush=True)
        m = portfolio_metrics(trades, slots=args.slots)
        ss = m["summary_stats"]
        print(f"  交易{ss['total_trades']} 胜率{ss['win_rate']}% 组合年化{m['cagr']}% "
              f"近1年{m['year1']:+.1f}% 近6月{m['month6']:+.1f}% 近3月{m['month3']:+.1f}%\n", flush=True)
        all_trades += trades

    if all_trades and not args.version:
        print("=== 港股策略组合（全温区）===", flush=True)
        m = portfolio_metrics(all_trades, slots=args.slots)
        ss = m["summary_stats"]
        print(f"  组合: 交易{ss['total_trades']} 胜率{ss['win_rate']}% 组合年化{m['cagr']}% "
              f"近1年{m['year1']:+.1f}% 近6月{m['month6']:+.1f}% 近3月{m['month3']:+.1f}%", flush=True)
        ok = (m['cagr'] or 0) > 10 and (m['year1'] or 0) > 10 and (m['month6'] or 0) > 5 and (m['month3'] or 0) > 0
        print(f"  验收: {'✅ 达标' if ok else '❌ 未达标'}（年化>10/近1年>10/近6月>5/近3月>0）", flush=True)


if __name__ == "__main__":
    main()