import lab, rules as Q, rotmap as R, math, json, copy
R.INDEX_NEED = 1
R.RISK_MA = 50   # baseline; the script sets its own risk series where it matters
px = json.load(open(lab.ST + "/px.json")); fd = json.load(open(lab.ST + "/fund.json"))
def build(px, n=100, band=0.01, top=0.70, wash=0.05):
    R.CLOCK_TOP, R.CLOCK_WASH = top, wash
    M = R.Model(px, fd); M._risk = Q.trend_state(M.idx["BTC"], n, band); return M
def run(M, a="2020-06-01", z="2024-06-30", fee=None, lag=1):
    if fee is not None: R.FEE = fee
    g = M.book_rule()[0]
    if lag > 1:
        g0 = g; g = lambda i: g0(i - (lag - 1)) if i - (lag - 1) >= 0 else {}
    s = R.stats(M.backtest(g, M.pos[a], M.pos[z] if z else M.N - 1)[0]); R.FEE = 0.003
    return "%+6.0f%% dd %4.0f%%" % (s["total"], s["maxdd"])
P = [("2020-06-01", "2024-06-30"), ("2024-07-01", None)]
def both(M, **k): return "   |   ".join(run(M, a, z, **k) for a, z in P)
print("PARAMS (100d b1% risk)")
for top in (0.6, 0.7, 0.8):
    for wash in (0.03, 0.05, 0.10):
        print("  top %.2f wash %.2f   %s" % (top, wash, both(build(px, top=top, wash=wash))))
M = build(px)
print("COSTS  fee 1%%: %s" % both(M, fee=0.01))
print("       fee 2%%: %s" % both(M, fee=0.02))
print("LAG    2 days: %s" % both(M, lag=2))
print("       4 days: %s" % both(M, lag=4))
# survivorship stress: drop each basket's best performers over 2020-06..2021-12
print("SURVIVORSHIP STRESS: remove the top performers of 2020-21 from every alt basket")
for k in (1, 2, 3):
    p2 = copy.deepcopy(px)
    for b in R.ALT_BASKETS:
        mem = [s for s in R.BASKETS[b] if s in px and len(R.BASKETS[b]) > 1]
        def perf(s):
            d = sorted(d for d in px[s] if "2020-06-01" <= d <= "2021-12-31")
            return px[s][d[-1]] / px[s][d[0]] if len(d) > 60 else 0
        for s in sorted(mem, key=perf)[-k:]:
            if perf(s) > 0: p2.pop(s, None)
    M2 = build(p2)
    hold_alts = R.stats(M2.backtest(lambda i: Q.alts_w(M2, i), M2.pos["2020-06-01"], M2.pos["2024-06-30"])[0])
    print("  drop top %d each: book %s   (alts buy-and-hold holdout %+.0f%%)" % (k, both(M2), hold_alts["total"]))