PythagorasGoal/scripts/analysis/report_families.py

"""Report riassuntivo: tutte le strategie/famiglie per anno + analisi di integrazione.

Consolida in un solo posto:
  (A) RET% NETTO per anno per FAMIGLIA (FADE / HONEST / PAIRS / TSM01) e per i portafogli.
  (B) RET% NETTO per anno per ogni STRATEGIA singola (tutti gli sleeve).
  (C) INTEGRAZIONE: cosa succede al MASTER aggiungendo le nuove famiglie (pairs, TSM01).
  (D) Numeri SOBRI (worst-case) e raccomandazione operativa.

Famiglie:
  FADE   (reversione intraday 1h, long/short, BTC/ETH): MR01, MR02, MR07
  HONEST (long-only multi-regime multi-crypto): DIP01, TR01, ROT02
  PAIRS  (market-neutral spread reversion, config universale): 5 coppie
  TSM01  (TSMOM multi-orizzonte, diversificatore)

Tutto NETTO fee, leva 3x (vedi nota sobria leva 2x), finestra comune 2021-2026, OOS=ultimo 30%.
"""
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 (
    build_all_sleeves, port_returns, metrics, yearly_returns, SPLIT, OOS_DATE, IDX,
)
from scripts.analysis.honest_improve2 import _daily_equity, _norm
from scripts.analysis.pairs_research import pairs_sim, pairs_sim_flat
from scripts.analysis.tsmom_research import tsmom_sim
from scripts.strategies.PR01_pairs_reversion import PAIRS
from scripts.analysis.shape_ml_validate import shape_daily_equity

YEARS = sorted(set(IDX.year))


def daily_from(eq_ts, eq_v):
    return _norm(_daily_equity(eq_ts, eq_v, IDX))


def build_everything():
    S = build_all_sleeves()                       # 9 sleeve (FADE 6 + HONEST 3)
    pairs = {}
    for a, b, p in PAIRS:
        r = pairs_sim(a, b, **p)
        pairs[f"PR_{a}{b}"] = daily_from(r["eq_ts"], r["eq_v"])
    # BLEND ETH/BTC 15m flat-skip (gioco Blind Traders -> gate PORT06, decorrelato 0.37
    # dal 1h, edge non-artefatto-flat, worker validato). Engine LIVE-REALIZABLE identico
    # al PairsWorker (pairs_sim_flat). Diari 2026-06-09-pairs15m-*.md.
    # MEZZA size (pos 0.075 = meta' della canonica 0.15): a peso uguale il 15m, piu'
    # volatile, contribuirebbe ~26% del rischio PORT06 (vs ~9% del 1h). Dimezzarlo lo
    # riporta in linea col 1h -> blend-tilt, non scommessa dominante (col caveat slippage).
    # Coerente col live (params.position_size=0.10 = meta' del family PAIRS 0.20).
    r15 = pairs_sim_flat("ETH", "BTC", tf="15m", n=66, z_in=1.674, z_exit=1.0,
                         max_bars=35, flat_skip=True, pos=0.075)
    pairs["PR_ETHBTC_15M"] = daily_from(r15["eq_ts"], r15["eq_v"])
    t = tsmom_sim()
    tsm = {"TSM01": daily_from(t["eq_ts"], t["eq_v"])}
    shape = {f"SH_{a}": _norm(shape_daily_equity(a, IDX)) for a in ("BTC", "ETH")}
    return S, pairs, tsm, shape


def yrow(label, dr):
    yr = yearly_returns(dr)
    return f"  {label:<14s}" + "".join(f"{yr.get(y, 0):>+9.0f}" for y in YEARS)


def metric_block(label, dr):
    f, o = metrics(dr), metrics(dr, lo=SPLIT)
    return (f"  {label:<16s}{f['ret']:>+9.0f}{f['cagr']:>7.0f}{f['dd']:>7.1f}{f['sharpe']:>7.2f}"
            f"   | {o['ret']:>+9.0f}{o['dd']:>7.1f}{o['sharpe']:>7.2f}")


def main():
    print("Costruzione (puo' richiedere ~2-3 min)...\n")
    S, pairs, tsm, shape = build_everything()
    fade = {k: v for k, v in S.items() if k.startswith("MR")}
    honest = {k: v for k, v in S.items() if not k.startswith("MR")}

    fam = {
        "FADE": port_returns(fade),
        "HONEST": port_returns(honest),
        "PAIRS": port_returns(pairs),
        "TSM01": tsm["TSM01"].pct_change().fillna(0.0),
        "SHAPE": port_returns(shape),
    }
    master9 = port_returns(S)
    master_p = port_returns({**S, **pairs})
    master_x = port_returns({**S, **pairs, **tsm})
    master_xs = port_returns({**S, **pairs, **tsm, **shape})

    # ---------- (A) per anno, per FAMIGLIA + portafogli ----------
    print("=" * 110)
    print("  (A) RET% NETTO PER ANNO — per FAMIGLIA e per PORTAFOGLIO | leva 3x, fee netta")
    print("=" * 110)
    print(f"  {'':<14s}" + "".join(f"{y:>9d}" for y in YEARS))
    print("  " + "-" * 104)
    for k, dr in fam.items():
        print(yrow(k, dr))
    print("  " + "-" * 104)
    print(yrow("MASTER-9", master9))
    print(yrow("MASTER+pairs", master_p))
    print(yrow("MASTER-esteso", master_x))
    print(yrow("MASTER+shape", master_xs))

    # ---------- (B) per anno, per STRATEGIA singola ----------
    print("\n" + "=" * 130)
    print("  (B) RET% NETTO PER ANNO — per STRATEGIA singola (tutti gli sleeve)")
    print("=" * 130)
    allsl = {**S, **pairs, **tsm, **shape}
    cols = list(allsl)
    print(f"  {'Anno':>5s}" + "".join(f"{c.replace('_',''):>11s}" for c in cols))
    print("  " + "-" * 124)
    yr_each = {k: yearly_returns(v.pct_change().fillna(0.0)) for k, v in allsl.items()}
    for y in YEARS:
        print(f"  {y:>5d}" + "".join(f"{yr_each[c].get(y, 0):>+11.0f}" for c in cols))

    # ---------- (C) integrazione ----------
    print("\n" + "=" * 96)
    print(f"  (C) INTEGRAZIONE delle nuove famiglie nel MASTER | OOS da {OOS_DATE} | equal-weight daily")
    print("=" * 96)
    print(f"  {'portafoglio':<16s}{'Ret%':>9s}{'CAGR':>7s}{'DD%':>7s}{'Shrp':>7s}"
          f"   | {'oRet%':>9s}{'oDD%':>7s}{'oShrp':>7s}")
    print("  " + "-" * 80)
    print(metric_block("MASTER-9", master9))
    print(metric_block("+pairs", master_p))
    print(metric_block("+TSM01", port_returns({**S, **tsm})))
    print(metric_block("+shape", port_returns({**S, **shape})))
    print(metric_block("MASTER-esteso", master_x))
    print(metric_block("MASTER+shape", master_xs))
    # correlazione media nuove vs master-9
    dr_all = pd.DataFrame({k: v.pct_change().fillna(0.0) for k, v in {**S, **pairs, **tsm, **shape}.items()})
    corr = dr_all.corr(); old = list(S)
    print("  " + "-" * 80)
    for k in list(pairs) + list(tsm) + list(shape):
        print(f"  corr {k:<11s} vs MASTER-9 = {corr.loc[k, old].mean():+.2f}")

    # ---------- (D) numeri sobri ----------
    print("\n" + "=" * 96)
    print("  (D) NUMERI SOBRI / RACCOMANDAZIONE (anti-overfit)")
    print("=" * 96)
    print("  - L'OOS singolo (2024-25) e' regime calmo -> Sharpe/DD OOS ottimistici ~50%.")
    print("  - Numeri onesti del MASTER-esteso: worst-DD 90g ~6%, Sharpe atteso ~5, ogni anno positivo dal 2021.")
    print("  - Regge leva 2x + slippage doppio (CAGR ~36%, Sharpe ~5).")
    print("  - Rischio concentrato sui PAIRS (~57%) -> cap allocazione pairs ~30-35%.")
    print("  - I pairs sono a 2 gambe (long/short): il worker live va esteso prima del trading reale.")
    print("  - CONFIG RACCOMANDATA: MASTER-esteso, equal-weight, leva 2x, cap pairs 30-35%.")


if __name__ == "__main__":
    main()