"""63期收益低波动20股、陈旧报价排除、月度替换与固定末期清仓。"""
from copy import deepcopy
from decimal import Decimal as D
import json
from math import isfinite
from statistics import pstdev


def make_data():
    result = {}
    for i in range(1, 23):
        amplitude = .0001 if i == 21 else (0 if i == 22 else i/1000)
        prices = [10.0]
        for j in range(1, 87):
            prices.append(prices[-1] * (1 + (amplitude if j % 2 else -amplitude)))
        prices[85:] = [10.0, 10.0]
        if i == 21:
            prices[0] = None
        result[f'S{i:02}'] = {'close': prices, 'open': [10] * 87,
                               'volume': [0 if i == 22 else 2000] * 87,
                               'price_age': [1 if i == 22 else 0] * 87}
    return result


def select(data, index):
    scores, exclusions = {}, {}
    for symbol, bars in data.items():
        prices = bars['close'][index-63:index+1] if index >= 63 else []
        volumes = bars['volume'][index-62:index+1] if index >= 63 else []
        ages = bars['price_age'][index-63:index+1] if index >= 63 else []
        if len(prices) != 64 or any(p is None or not isfinite(p) or p <= 0 for p in prices):
            exclusions[symbol] = 'incomplete_prices'
        elif len(ages) != 64 or any(age != 0 for age in ages):
            exclusions[symbol] = 'stale_price'
        elif len(volumes) != 63 or any(v is None or not isfinite(v) or v <= 0 for v in volumes) or sum(volumes)/63 < 1000:
            exclusions[symbol] = 'liquidity'
        else:
            returns = [prices[j]/prices[j-1]-1 for j in range(1, 64)]
            scores[symbol] = pstdev(returns)
    return sorted(scores, key=lambda s: (scores[s], s))[:20], scores, exclusions


def run(data):
    cash, holdings, fees, ledger = D(10000), {}, D(0), []
    def execution_price(symbol, session):
        raw = data[symbol]['open'][session]
        if raw is None or not isfinite(raw) or raw <= 0:
            raise ValueError('invalid_open')
        return D(str(raw))
    for i in range(len(next(iter(data.values()))['open'])):
        orders, selected = [], None
        if i - 1 in (63, 84):
            selected, _, _ = select(data, i-1)
            target = set(selected)
            for symbol in sorted(set(holdings)-target):
                price = execution_price(symbol, i)
                cash += holdings.pop(symbol) * price - 1
                fees += 1
                orders.append([symbol, 'sell', 40, str(price), 1, 'monthly_exit'])
            for symbol in sorted(target-set(holdings)):
                price = execution_price(symbol, i)
                if 40*price+1 > cash:
                    raise ValueError('cash')
                cash -= 40*price+1
                holdings[symbol] = 40
                fees += 1
                orders.append([symbol, 'buy', 40, str(price), 1, 'monthly_entry'])
        if i == 86:  # 冻结的教学结算时点，不依赖传入数据末行
            for symbol in sorted(list(holdings)):
                price = execution_price(symbol, i)
                cash += holdings.pop(symbol)*price-1
                fees += 1
                orders.append([symbol, 'sell', 40, str(price), 1, 'declared_terminal_exit'])
        equity = cash + sum(q * D(str(data[s]['close'][i])) for s, q in holdings.items())
        ledger.append({'i': i, 'selected': selected, 'orders': orders,
                       'holdings': dict(holdings), 'cash': str(cash),
                       'fees': str(fees), 'equity': str(equity)})
    return ledger


data = make_data()
first, first_scores, excluded = select(data, 63)
second, _, _ = select(data, 84)
assert first == [f'S{i:02}' for i in range(1, 21)]
assert second == ['S21'] + [f'S{i:02}' for i in range(1, 20)]
assert excluded == {'S21': 'incomplete_prices', 'S22': 'stale_price'}
assert first_scores['S01'] < first_scores['S20']
rows = run(data)
assert rows[64]['orders'] == [[f'S{i:02}', 'buy', 40, '10', 1, 'monthly_entry'] for i in range(1, 21)]
assert rows[64]['cash'] == '1980' and rows[64]['fees'] == '20'
first_open_equity = D(rows[64]['cash']) + sum(
    quantity * D(str(data[symbol]['open'][64]))
    for symbol, quantity in rows[64]['holdings'].items())
assert first_open_equity == D(10000) - D(rows[64]['fees']) == D(9980)
assert rows[85]['orders'] == [['S20', 'sell', 40, '10', 1, 'monthly_exit'],
                              ['S21', 'buy', 40, '10', 1, 'monthly_entry']]
assert rows[85]['cash'] == '1978' and rows[85]['equity'] == '9978.0'
assert rows[85]['fees'] == '22' and len(rows[85]['holdings']) == 20
assert rows[86]['cash'] == rows[86]['equity'] == '9958'
assert rows[86]['fees'] == '42' and rows[86]['holdings'] == {}
assert len(rows[86]['orders']) == 20
assert rows[86]['orders'] == [[symbol, 'sell', 40, '10', 1, 'declared_terminal_exit']
                              for symbol in sorted(second)]
prefix = {s: {field: xs[:65] for field, xs in bars.items()} for s, bars in data.items()}
assert run(prefix) == rows[:65]
future = deepcopy(data)
for bars in future.values():
    bars['close'][64:] = [10000.0] * 23
assert select(future, 63) == select(data, 63)
fresh_zero = deepcopy(data)
fresh_zero['S22']['volume'] = [2000]*87
fresh_zero['S22']['price_age'] = [0]*87
assert select(fresh_zero, 63)[0][0] == 'S22'  # 真正新鲜且有交易的平价不等于陈旧报价
inactive = deepcopy(data)
inactive['S22']['price_age'] = [0]*87
assert select(inactive, 63)[2]['S22'] == 'liquidity'
stale_liquid = deepcopy(data)
stale_liquid['S22']['volume'] = [2000]*87
assert 'S22' not in select(stale_liquid, 63)[0]
assert select(stale_liquid, 63)[2]['S22'] == 'stale_price'
for invalid in [None, float('nan'), float('inf'), float('-inf'), 0, -1]:
    missing = deepcopy(data)
    missing['S01']['close'][63] = invalid
    names, _, reasons = select(missing, 63)
    assert 'S01' not in names and reasons['S01'] == 'incomplete_prices'
print(json.dumps({'first': first, 'second': second, 'exclusions_first': excluded,
                  'first_open_equity': str(first_open_equity),
                  'first_entry': rows[64], 'rebalance': rows[85], 'terminal': rows[86],
                  'prefix_equal': True, 'future_price_mutation_selection_equal': True,
                  'fresh_liquid_flat_price_can_qualify': True,
                  'fresh_zero_volume_excluded': True, 'invalid_price_cases_checked': 6}))