"""23只合成股票，12减1窗口、20名与两次月度换仓。"""
import json
from math import isclose

prices = {f'S{i:02}': [10] + [10 + i * m / 1000 for m in range(1, 14)]
          for i in range(1, 24)}
prices['S23'][12] = None


def select(month):
    scores = {}
    for symbol, xs in prices.items():
        start, end = xs[month - 12], xs[month - 1]
        if start is not None and end is not None and start > 0:
            scores[symbol] = end / start - 1
    return sorted(scores, key=lambda s: (-scores[s], s))[:20], scores


first, score1 = select(12)
second, score2 = select(13)
assert first == [f'S{i:02}' for i in range(23, 3, -1)]
assert second == [f'S{i:02}' for i in range(22, 2, -1)]
assert isclose(score1['S23'], .0253)
original = first[:]
prices['S01'][12] = 99999
assert select(12)[0] == original  # 最近月价格不参与本月形成期
cash, holdings, fees = 10000, set(), 0
for target in [set(first), set(second)]:
    for symbol in sorted(holdings - target):
        cash += 40 * 10 - 1
        fees += 1
    for symbol in sorted(target - holdings):
        cash -= 40 * 10 + 1
        fees += 1
    holdings = target
equity = cash + len(holdings) * 40 * 10
assert fees == 22 and isclose(cash, 1978) and isclose(equity, 9978)
print(json.dumps({'first': first, 'second': second, 'first_S23_score': score1['S23'],
                  'exit': 'S23', 'entry': 'S03', 'fees': fees, 'cash': cash,
                  'marked_equity': equity, 'latest_month_mutation_ignored': True}))