"""PORT02 — Portafoglio FADE accorpato e migliorato (6 sleeve, equal-weight daily).

Accorpa le 3 strategie fade mean-reversion su BTC e ETH, ciascuna MIGLIORATA con
il filtro trend (salta i fade contro trend estremi: |close-EMA200|/ATR > 3.0):
    MR01 Bollinger fade · MR02 Donchian fade · MR07 Return-reversal
        x  {BTC, ETH}  ->  6 sleeve indipendenti, pos 0.15 ciascuna, leva 3x.
    (MR03 Keltner spostata in waste: fade piu' debole e ridondante con MR01.)

Le curve sono poco correlate fra loro (corr media intra-fade ~0.18): la
diversificazione abbatte il DD aggregato ben sotto quello del singolo sleeve.

Risultato (netto fee 0.10% RT, equal-weight ribilanciato ogni giorno, finestra
comune 2021-2026, OOS = ultimo 30%):
    Ret +666% / CAGR 46% / DD 8.2% FULL · OOS DD 5.9% / Sharpe 3.95 FULL / 4.09 OOS.
Ricostruzione e confronto: scripts/analysis/combine_portfolio.py.
"""
from __future__ import annotations

import sys
from pathlib import Path

PROJECT_ROOT = Path(__file__).resolve().parents[2]
sys.path.insert(0, str(PROJECT_ROOT))

from scripts.analysis.combine_portfolio import (  # noqa: E402
    build_all_sleeves, port_returns, metrics, yearly_returns, SPLIT, OOS_DATE, IDX,
)


def run():
    sleeves = {k: v for k, v in build_all_sleeves().items() if k.startswith("MR")}
    pr = port_returns(sleeves)
    full, oos = metrics(pr), metrics(pr, lo=SPLIT)

    print("=" * 84)
    print(f"  PORT02 — FADE master (8 sleeve, equal-weight daily) | {IDX[0].date()} -> {IDX[-1].date()}")
    print("=" * 84)
    print(f"  {'sleeve':<14s}{'Ret%':>9s}{'DD%':>7s}{'Shrp':>7s}")
    for name, s in sleeves.items():
        m = metrics(s.pct_change().fillna(0.0))
        print(f"  {name:<14s}{m['ret']:>+9.0f}{m['dd']:>7.1f}{m['sharpe']:>7.2f}")
    print("  " + "-" * 80)
    print(f"  {'PORTAFOGLIO':<14s}{full['ret']:>+9.0f}{full['dd']:>7.1f}{full['sharpe']:>7.2f}"
          f"   CAGR {full['cagr']:.0f}%")
    print(f"  {'  di cui OOS':<14s}{oos['ret']:>+9.0f}{oos['dd']:>7.1f}{oos['sharpe']:>7.2f}"
          f"   (da {OOS_DATE})")
    pa = yearly_returns(pr)
    print("  Per-anno: " + "  ".join(f"{y}:{v:+.0f}%" for y, v in pa.items()))


if __name__ == "__main__":
    run()