"""合成因子截面、分组与独立现金账；不使用历史行情。"""
import json
from math import isclose
from statistics import correlation, mean


def ranks(values):
    return [mean(i + 1 for i, x in enumerate(sorted(values)) if x == v)
            for v in values]


def evaluate(rows):
    valid = [r for r in rows if r['score'] is not None and r['return'] is not None]
    if len(valid) < 5:
        return {'status': 'skip', 'n': len(valid)}
    ordered = sorted(valid, key=lambda r: (r['score'], r['symbol']))
    groups = [ordered[i:i + 2] for i in range(0, len(ordered), 2)]
    score_ranks = ranks([r['score'] for r in valid])
    return_ranks = ranks([r['return'] for r in valid])
    ic = (correlation(score_ranks, return_ranks)
          if len(set(score_ranks)) > 1 and len(set(return_ranks)) > 1 else None)
    return {'status': 'ok', 'n': len(valid), 'ic': ic,
            'groups': [[r['symbol'] for r in g] for g in groups],
            'group_returns': [mean(r['return'] for r in g) for g in groups]}


rows = [{'symbol': s, 'score': i, 'return': i / 100}
        for i, s in enumerate('ABCDEF', 1)]
report = evaluate(rows)
assert report['groups'] == [['A', 'B'], ['C', 'D'], ['E', 'F']]
assert isclose(report['ic'], 1)
cash = 1000
ledger = []
for symbol, exit_price in [('E', 10.5), ('F', 10.6)]:
    cash -= 40 * 10 + 1
    ledger.append([symbol, 'buy', 40, 10, 1])
for symbol, exit_price in [('E', 10.5), ('F', 10.6)]:
    cash += 40 * exit_price - 1
    ledger.append([symbol, 'sell', 40, exit_price, 1])
assert isclose(cash, 1040)
assert evaluate(rows[:4]) == {'status': 'skip', 'n': 4}
assert isclose(report['group_returns'][-1], .055)
assert evaluate([dict(row, score=1) for row in rows])['ic'] is None
assert evaluate(list(reversed(rows)))['groups'] == report['groups']
print(json.dumps({'factor': report, 'orders': ledger, 'ending_cash': cash,
                  'net_return': cash / 1000 - 1, 'four_rows': evaluate(rows[:4])}))