#!/usr/bin/env python3
"""step28_predictive_signal.py — 组合预测因子为信号（数据定阈值，全量验证）
step27 扫描出的预测因子（事前可计算）：
- 大盘RSI<41（弱市大涨率4.97% vs 基线3.52%）
- 小市值<0.2分位（4.60%）
- 低PE<0.2分位（4.66%）
- 新闻≥1条（4.23-4.52%）
组合这些因子，验证叠加后的预测力（全量不抽样）
"""
import numpy as np
import pandas as pd

print("=== 加载 ===", flush=True)
panel = pd.read_pickle("/tmp/panel_12d.pkl")
panel = panel.sort_values(["code", "date"]).reset_index(drop=True)
panel["fwd_ret60"] = panel.groupby("code")["close"].transform(lambda x: x.shift(-60)/x - 1) * 100
panel["is_big"] = (panel["fwd_ret60"] >= 50).astype(int)
print("面板:", len(panel), flush=True)

base = panel.dropna(subset=["fwd_ret60"])
print("基线: 大涨率={:.2f}% avg60={:.2f}%".format(
    base["is_big"].mean()*100, base["fwd_ret60"].mean()), flush=True)

def validate(cond, label, min_n=100):
    s = base[cond]
    if len(s) < min_n:
        print("{}: n={} 样本不足".format(label, len(s)), flush=True)
        return None
    rate = s["is_big"].mean()*100
    avg = s["fwd_ret60"].mean()
    wr = (s["fwd_ret60"]>0).mean()*100
    # 去重统计信号量（同股30日）
    cand = s[["code", "date"]].sort_values(["code", "date"])
    cand["prev"] = cand.groupby("code")["date"].shift(1)
    cand["gap"] = (pd.to_datetime(cand["date"]) - pd.to_datetime(cand["prev"])).dt.days
    cand = cand[(cand["prev"].isna()) | (cand["gap"] > 30)]
    cand["year"] = cand["date"].str[:4]
    n_dedup = len(cand)
    monthly = n_dedup / max(len(cand["year"].unique()),1) / 12
    print("{}: n={} 大涨率={:.2f}% avg60={:.2f}% wr={:.1f}% | 去重{} 月均{:.1f}".format(
        label, len(s), rate, avg, wr, n_dedup, monthly), flush=True)
    print("  分年:", {str(y): int(c) for y, c in cand["year"].value_counts().sort_index().items()}, flush=True)
    return {"n": n_dedup, "monthly": monthly, "rate": rate, "avg": avg, "wr": wr}

print("\n=== 单因子 ===", flush=True)
validate(panel["mkt_rsi"] < 41, "大盘RSI<41")
validate(panel["mcap_q"] < 0.2, "小市值<0.2")
validate(panel["pe_q"] < 0.2, "低PE<0.2")
validate(panel["news3"] >= 1, "新闻>=1")

print("\n=== 两因子组合 ===", flush=True)
validate((panel["mkt_rsi"] < 41) & (panel["mcap_q"] < 0.2), "弱市+小市值")
validate((panel["mkt_rsi"] < 41) & (panel["pe_q"] < 0.2), "弱市+低PE")
validate((panel["mcap_q"] < 0.2) & (panel["pe_q"] < 0.2), "小市值+低PE")

print("\n=== 三因子组合 ===", flush=True)
validate((panel["mkt_rsi"] < 41) & (panel["mcap_q"] < 0.2) & (panel["pe_q"] < 0.2), "弱市+小市值+低PE")
validate((panel["mkt_rsi"] < 41) & (panel["mcap_q"] < 0.2) & (panel["news3"] >= 1), "弱市+小市值+新闻")

print("\n=== 四因子组合 ===", flush=True)
validate((panel["mkt_rsi"] < 41) & (panel["mcap_q"] < 0.2) & (panel["pe_q"] < 0.2) & (panel["news3"] >= 1), "弱市+小市值+低PE+新闻")

print("\n=== 完成 ===", flush=True)