"""ADVERSARIAL LOOK-AHEAD / EXECUTION-LAG AUDIT of the trend portfolio across timeframes.

Motivation (2026-06-19): a look-ahead bug (ffill mixed-timeframe on open-labeled bars) can
inflate sub-daily Sharpe (e.g. 4h to ~1.6 vs a real ~1.1). This audit stress-tests OUR pipeline:

  1. EXECUTION LAG: standard book holds the position decided at close[i] during bar i+1.
     We re-run with an EXTRA bar of delay (held during i+2) — i.e. you cannot trade exactly at
     the close; there is one bar of slippage/latency. A genuine slow-trend edge barely moves; a
     timing artifact collapses. We sweep lag = 1 (standard) and 2 (conservative).
  2. RELABEL TEST: resample with label='left' (open-labeled, our default) vs label='right'
     (close-labeled). The realized Sharpe must be (near) identical; a large gap => the labeling
     leaks information.

Conclusion target: identify the timeframe below which costs + lag dominate (don't deploy there).

Run:  uv run python scripts/research/trackD_lookahead_audit.py
"""
from __future__ import annotations

import sys
from pathlib import Path

import numpy as np
import pandas as pd

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

from src.backtest.harness import load
from src.strategies.trend_portfolio import simple_returns, realized_vol, tsmom_blend

ASSETS = ["BTC", "ETH"]
FEE_SIDE = 0.0005
TARGET_VOL = 0.20
LEVERAGE = 2.0
LONG_ONLY = True
TFS = {"4h": ("4h", 6), "6h": ("6h", 4), "8h": ("8h", 3), "12h": ("12h", 2), "1d": ("1D", 1)}


def resample(df1h: pd.DataFrame, rule: str, label: str) -> pd.DataFrame:
    g = df1h.copy()
    idx = pd.to_datetime(g["timestamp"], unit="ms", utc=True)
    idx.name = "dt"
    g.index = idx
    out = g.resample(rule, label=label, closed="left").agg(
        {"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"})
    out = out.dropna(subset=["open"])
    out["datetime"] = out.index
    return out.reset_index(drop=True)


def target_series(c, bpd):
    bpy = bpd * 365.25
    r = simple_returns(c)
    vol = realized_vol(r, 30 * bpd, bpy)
    direction = np.clip(tsmom_blend(c, (30 * bpd, 90 * bpd, 180 * bpd)), 0, None) if LONG_ONLY \
        else tsmom_blend(c, (30 * bpd, 90 * bpd, 180 * bpd))
    scal = np.where((vol > 0) & np.isfinite(vol), TARGET_VOL / vol, 0.0)
    tgt = np.clip(direction * scal, -LEVERAGE, LEVERAGE)
    tgt[~np.isfinite(tgt)] = 0.0
    return tgt, r


def sleeve_net(df, bpd, lag):
    """net[t] uses position decided at close[t-lag] (lag>=1). lag=1 = standard, lag=2 = +1 delay."""
    c = df["close"].values.astype(float)
    tgt, r = target_series(c, bpd)
    pos = np.zeros(len(tgt))
    pos[lag:] = tgt[:-lag]
    gross = pos * r
    turn = np.abs(np.diff(pos, prepend=0.0))
    net = gross - FEE_SIDE * turn
    net[:lag] = 0.0
    return np.clip(net, -0.99, None), pd.to_datetime(df["datetime"])


def portfolio_metrics(dfs, bpd, lag):
    series = {}
    for a in ASSETS:
        net, ts = sleeve_net(dfs[a], bpd, lag)
        series[a] = pd.Series(net, index=pd.to_datetime(ts.values))
    J = pd.concat(series, axis=1, join="inner").dropna()
    combo = 0.5 * J["BTC"].values + 0.5 * J["ETH"].values
    bpy = bpd * 365.25
    sh = float(np.mean(combo) / np.std(combo) * np.sqrt(bpy)) if np.std(combo) > 0 else 0.0
    eq = np.cumprod(1.0 + np.clip(combo, -0.99, None))
    dd = float(np.max((np.maximum.accumulate(eq) - eq) / np.maximum.accumulate(eq)))
    yrs = (J.index[-1] - J.index[0]).days / 365.25
    cagr = eq[-1] ** (1 / yrs) - 1
    return sh, dd, cagr


def main():
    raw = {a: load(a, "1h") for a in ASSETS}
    print("=" * 96)
    print("# LOOK-AHEAD / EXECUTION-LAG AUDIT — trend portfolio (long-flat, tvol20, lev2), per timeframe")
    print("# lag1 = standard (decision held next bar). lag2 = +1 bar execution delay (conservative).")
    print("# left/right = resample label (open vs close). Big gap => labeling leak.")
    print("=" * 96)
    print(f"  {'TF':<5s}{'Sh lag1(L)':>12s}{'Sh lag2(L)':>12s}{'Sh lag1(R)':>12s}"
          f"{'CAGR l1':>10s}{'CAGR l2':>10s}{'DD l1':>8s}{'lag-decay':>11s}")
    for tf, (rule, bpd) in TFS.items():
        dfsL = {a: resample(raw[a], rule, "left") for a in ASSETS}
        dfsR = {a: resample(raw[a], rule, "right") for a in ASSETS}
        sh1L, dd1, cagr1 = portfolio_metrics(dfsL, bpd, 1)
        sh2L, _, cagr2 = portfolio_metrics(dfsL, bpd, 2)
        sh1R, _, _ = portfolio_metrics(dfsR, bpd, 1)
        decay = (sh1L - sh2L) / sh1L * 100 if sh1L else 0.0
        flag = "  <-- robust" if sh2L >= 0.9 * sh1L and abs(sh1L - sh1R) < 0.1 else ""
        print(f"  {tf:<5s}{sh1L:>12.2f}{sh2L:>12.2f}{sh1R:>12.2f}"
              f"{cagr1*100:>+9.1f}%{cagr2*100:>+9.1f}%{dd1*100:>7.1f}%{decay:>+10.0f}%{flag}")
    print("\n  Interpretation:")
    print("  - If Sh lag2 << Sh lag1 (big lag-decay), the edge needs to trade AT the close -> sub-TF")
    print("    timing artifact / cost-fragile. Robust slow-trend should barely move with +1 bar.")
    print("  - If Sh lag1(left) != Sh lag1(right), the bar LABELING leaks -> look-ahead. Should match.")


if __name__ == "__main__":
    main()