"""GATE: aggiungere ETH/BTC 30m (vincitore gioco sessione 2) AL BLEND attuale (1h+15m)?

Domanda: il 30m e' un 3o timeframe utile dello spread ETH/BTC, o e' ridondante col 15m
adiacente gia' deployato? Test (engine pairs_sim_flat, == worker):
  [1] correlazioni: 30m vs 1h, 30m vs 15m (se ~1 col 15m -> ridondante).
  [2] gate PORT06: baseline ATTUALE (6 pairs, incl 15m) vs +30m (7 pairs), mezza size.
  [3] robustezza ai costi (fee sweep) del 30m.

    uv run python scripts/analysis/pairs30m_gate.py
"""
from __future__ import annotations

import sys
from pathlib import Path

import pandas as pd

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

from scripts.analysis.combine_portfolio import port_returns, metrics, SPLIT, OOS_DATE
from scripts.analysis.pairs_research import pairs_sim, pairs_sim_flat
from scripts.analysis.report_families import daily_from
from scripts.portfolios._defs import PORTFOLIOS
from src.portfolio.sleeves import all_sleeve_equities
from src.portfolio import weighting as W

WIN_30M = dict(n=53, z_in=1.947, z_exit=1.0, max_bars=24)   # vincitore gioco sess.2


def daily(cfg, tf, flat_skip, pos=0.15):
    if flat_skip:
        r = pairs_sim_flat("ETH", "BTC", tf=tf, **cfg, flat_skip=True, pos=pos)
    else:
        r = pairs_sim("ETH", "BTC", tf=tf, **cfg, pos=pos)
    return daily_from(r["eq_ts"], r["eq_v"]), r


def port_metrics(members, ids, clusters, caps):
    dr = pd.DataFrame({i: members[i].pct_change().fillna(0.0) for i in ids})
    w = W.weight_vector("cap", ids, dr, caps=caps, clusters=clusters)
    drp = port_returns({i: members[i] for i in ids}, w)
    return metrics(drp), metrics(drp, lo=SPLIT), w


def main():
    p = PORTFOLIOS["PORT06"]
    eq_base = dict(all_sleeve_equities())   # include gia' PR_ETHBTC (1h) e PR_ETHBTC_15M
    e1h = eq_base["PR_ETHBTC"]
    e15 = eq_base["PR_ETHBTC_15M"]
    e30h, r30 = daily(WIN_30M, "30m", flat_skip=True, pos=0.075)   # half size come il 15m

    print("=" * 92)
    print("  GATE — ETH/BTC 30m (vincitore gioco sess.2) sopra il BLEND 1h+15m attuale")
    print(f"  30m: {r30['trades']} trade, {r30.get('n_skip_entry',0)} ingressi flat saltati")
    print("=" * 92)

    def corr(a, b): return a.pct_change().fillna(0).corr(b.pct_change().fillna(0))
    print("\n[1] CORRELAZIONI (rendimenti giornalieri):")
    print(f"    30m vs 1h : {corr(e30h, e1h):.3f}")
    print(f"    30m vs 15m: {corr(e30h, e15):.3f}   <-- se alta, ridondante col 15m gia' deployato")
    print(f"    (rif) 15m vs 1h: {corr(e15, e1h):.3f}")

    print(f"\n[2] GATE PORT06 (cap PAIRS 0.33 + SHAPE 0.0588) | OOS da {OOS_DATE}:")
    ids0 = list(p.sleeve_ids)
    cl0 = p.clusters
    caps = p.caps
    f0, o0, _ = port_metrics(eq_base, ids0, cl0, caps)
    # + 30m
    mem1 = dict(eq_base); mem1["PR_ETHBTC_30M"] = e30h
    ids1 = ids0 + ["PR_ETHBTC_30M"]
    cl1 = dict(cl0); cl1["PR_ETHBTC_30M"] = "ETH-rev"
    f1, o1, w1 = port_metrics(mem1, ids1, cl1, caps)
    print(f"    {'config':<22}{'FULL Sh':>8}{'FULL DD%':>9}{'OOS Sh':>8}{'OOS DD%':>8}")
    print(f"    {'ATTUALE (1h+15m)':<22}{f0['sharpe']:>8.2f}{f0['dd']:>9.2f}{o0['sharpe']:>8.2f}{o0['dd']:>8.2f}")
    print(f"    {'+30m (1h+15m+30m)':<22}{f1['sharpe']:>8.2f}{f1['dd']:>9.2f}{o1['sharpe']:>8.2f}{o1['dd']:>8.2f}")
    ok = o1["sharpe"] >= o0["sharpe"] - 0.02 and o1["dd"] <= o0["dd"] + 1e-9 \
        and f1["sharpe"] >= f0["sharpe"] - 0.02 and f1["dd"] <= f0["dd"] + 1e-9
    print(f"    => {'MIGLIORA (promosso)' if ok else 'NON migliora (bocciato)'}")
    print(f"    peso pairs ETH/BTC: 1h {w1.get('PR_ETHBTC',0)*100:.1f}% + 15m "
          f"{w1.get('PR_ETHBTC_15M',0)*100:.1f}% + 30m {w1.get('PR_ETHBTC_30M',0)*100:.1f}% "
          f"= {(w1.get('PR_ETHBTC',0)+w1.get('PR_ETHBTC_15M',0)+w1.get('PR_ETHBTC_30M',0))*100:.1f}% su 7 coppie")

    print("\n[3] ROBUSTEZZA AI COSTI (30m standalone, Sharpe per fee RT/coppia):")
    for fee, lbl in [(0.001, "0.20% 1x"), (0.002, "0.40% 2x"), (0.003, "0.60% 3x"),
                     (0.004, "0.80% 4x"), (0.006, "1.20% 6x")]:
        r = pairs_sim_flat("ETH", "BTC", tf="30m", **WIN_30M, flat_skip=True, fee_rt=fee)
        print(f"    {lbl:<10} Sharpe {r['sharpe']:>6.2f}")


if __name__ == "__main__":
    main()