"""R611：独立标准库合成方法样例，不是实际历史绩效。"""
from math import prod,isclose
returns=[.03,.04,-.02,.01,-.03,.04,.03,-.04,.01,.02,-.03]
params=[0,.02]
windows=[(range(1,5),range(5,7)),(range(3,7),range(7,9)),(range(5,9),range(9,11))]
def validate_windows(schedule):
    seen=set()
    for train,test in schedule:
        assert train and test and max(train)<min(test)
        assert not seen.intersection(test), 'overlapping test sessions'
        seen.update(test)
validate_windows(windows)
try:
    validate_windows([(range(1,5),range(5,7)),(range(3,6),range(6,8))])
except AssertionError:
    pass
else:
    raise AssertionError('overlapping test sessions accepted')
def segment(data,indices,p):
    return [(t,data[t] if data[t-1]>p else 0) for t in indices]
def pipeline(data):
    ledger=[];oos=[]
    for train,test in windows:
        assert max(train)<min(test)
        searched={p:prod(1+r for _,r in segment(data,train,p))-1 for p in params}
        chosen=min(params,key=lambda p:(-searched[p],p))
        locked=(chosen,max(train))
        assert locked[1]<min(test)
        piece=segment(data,test,locked[0])
        ledger.append({'train':list(train),'test':list(test),'searched':searched,'chosen':chosen})
        oos+=piece
    assert len(oos)==len({t for t,_ in oos})
    return ledger,oos
ledger,oos=pipeline(returns)
assert len(ledger)==3 and all(len(row['searched'])==2 for row in ledger)
assert [row['chosen'] for row in ledger]==[.02,.02,0]
mutated=returns.copy();mutated[9]=.9
assert pipeline(mutated)[0][0]==ledger[0]
assert [t for t,_ in oos]==[5,6,7,8,9,10]
total=prod(1+r for _,r in oos)-1
assert isclose(total,-.02168128,abs_tol=1e-12)
print('per_window_searches=2,2,2 chosen='+str([r['chosen'] for r in ledger]))
print('oos_sessions='+str([t for t,_ in oos])+' cumulative='+format(total,'.8%'))
print('position_policy=one_period_exposure_flat_at_window_edges; capital=compounded; costs=0_synthetic')