"""R634：主动收益的样本跟踪误差，缺日阻断；相关性不是主动风险。"""
from math import isfinite,isclose,sqrt
from statistics import stdev,mean,correlation


def active_risk(portfolio,benchmark,frequency=252):
    if set(portfolio)!=set(benchmark):raise ValueError('unaligned sessions')
    if type(frequency) is not int or frequency<=0:raise ValueError('invalid frequency')
    keys=sorted(portfolio)
    if any(not isfinite(v) for v in list(portfolio.values())+list(benchmark.values())):raise ValueError('nonfinite return')
    if len(keys)<2:return {'status':'insufficient','tracking_error':None}
    active={t:portfolio[t]-benchmark[t] for t in keys}
    return {'status':'ok','active':active,'mean':mean(active.values()),'tracking_error':sqrt(frequency)*stdev(active.values())}


returns=[(.02,0),(.01,0),(-.02,.015),(.02,0)]
wa=[.4,.6,.7,.45]
portfolio={i+1:w*a+(1-w)*b for i,((a,b),w) in enumerate(zip(returns,wa))}
benchmark={i+1:(a+b)/2 for i,(a,b) in enumerate(returns)}
result=active_risk(portfolio,benchmark)
assert isclose(result['mean'],-.00225,rel_tol=0,abs_tol=1e-12)
assert isclose(result['tracking_error'],sqrt(.002919),rel_tol=0,abs_tol=1e-12)
assert all(isclose(x,y,rel_tol=0,abs_tol=1e-12) for x,y in zip(result['active'].values(),[-.002,.001,-.007,-.001]))
high=[t for t,a in result['active'].items() if abs(a)>=.005]
assert high==[3]
contributions={'A':(.7-.5)*(-.02),'B':(.3-.5)*.015}
assert isclose(sum(contributions.values()),result['active'][3],rel_tol=0,abs_tol=1e-12)
streak=longest=0
for value in result['active'].values():
    streak=streak+1 if value<0 else 0;longest=max(longest,streak)
assert longest==2
base={1:.01,2:.02,3:-.01,4:.03};scaled={t:.9*r for t,r in base.items()}
assert isclose(correlation(base.values(),scaled.values()),1,rel_tol=0,abs_tol=1e-12)
assert active_risk(scaled,base)['tracking_error']>0
lagging={t:r-.001 for t,r in base.items()}
assert active_risk(lagging,base)['tracking_error']<1e-15
assert active_risk(lagging,base)['mean']<0
missing=dict(benchmark);del missing[2]
try:active_risk(portfolio,missing)
except ValueError:pass
else:raise AssertionError('missing day filled silently')
nonfinite_single=[]
for side in ['portfolio','benchmark']:
    for value in [float('nan'),float('inf'),float('-inf')]:
        p={1:0.};b={1:0.}
        (p if side=='portfolio' else b)[1]=value
        try:active_risk(p,b)
        except ValueError:pass
        else:nonfinite_single.append((side,str(value)))
assert not nonfinite_single,nonfinite_single
assert active_risk({1:.01},{1:.02})['status']=='insufficient'
assert active_risk({},{})['status']=='insufficient'
print('active=[-0.002,0.001,-0.007,-0.001] mean='+format(result['mean'],'.6%')+' annual_tracking_error='+format(result['tracking_error'],'.6%'))
print('high_session=3 A_contribution=-0.400000pp B_contribution=-0.300000pp longest_lag_streak=2')
print('correlation_1_active_risk_positive=True constant_negative_active_can_have_zero_TE=True missing_session=rejected')