#![allow(
    clippy::assertions_on_constants,
    clippy::assertions_on_result_states,
    clippy::clone_on_copy,
    clippy::decimal_literal_representation,
    clippy::doc_markdown,
    clippy::empty_line_after_doc_comments,
    clippy::field_reassign_with_default,
    clippy::get_unwrap,
    clippy::identity_op,
    clippy::inconsistent_digit_grouping,
    clippy::indexing_slicing,
    clippy::integer_division,
    clippy::len_zero,
    clippy::let_underscore_must_use,
    clippy::manual_div_ceil,
    clippy::manual_let_else,
    clippy::manual_range_contains,
    clippy::modulo_arithmetic,
    clippy::needless_range_loop,
    clippy::non_ascii_literal,
    clippy::redundant_clone,
    clippy::shadow_reuse,
    clippy::shadow_same,
    clippy::shadow_unrelated,
    clippy::single_match_else,
    clippy::str_to_string,
    clippy::string_slice,
    clippy::tests_outside_test_module,
    clippy::too_many_lines,
    clippy::unnecessary_wraps,
    clippy::unseparated_literal_suffix,
    clippy::use_debug,
    clippy::useless_vec,
    clippy::wildcard_enum_match_arm,
    clippy::else_if_without_else,
    clippy::expect_used,
    clippy::missing_const_for_fn,
    clippy::similar_names,
    clippy::type_complexity,
    clippy::collapsible_else_if,
    clippy::doc_lazy_continuation,
    clippy::items_after_test_module,
    clippy::map_clone,
    clippy::multiple_unsafe_ops_per_block,
    clippy::unwrap_or_default,
    clippy::assign_op_pattern,
    clippy::needless_borrow,
    clippy::println_empty_string,
    clippy::unnecessary_cast,
    clippy::used_underscore_binding,
    clippy::create_dir,
    clippy::implicit_saturating_sub,
    clippy::exit,
    clippy::expect_fun_call,
    clippy::too_many_arguments,
    clippy::unnecessary_map_or,
    clippy::unwrap_used,
    dead_code,
    unused_imports,
    unused_variables,
    clippy::cloned_ref_to_slice_refs,
    clippy::neg_multiply,
    clippy::while_let_loop,
    clippy::bool_assert_comparison,
    clippy::excessive_precision,
    clippy::trivially_copy_pass_by_ref,
    clippy::op_ref,
    clippy::redundant_closure,
    clippy::unnecessary_lazy_evaluations,
    clippy::if_then_some_else_none,
    clippy::unnecessary_to_owned,
    clippy::single_component_path_imports,
)]
//! Integration tests for Advanced Performance Metrics
//!
//! Validates:
//! 1. Sortino ratio calculated correctly (downside deviation focus)
//! 2. Calmar ratio calculated correctly (return / max drawdown)
//! 3. VaR (95%) calculated correctly (Value at Risk)
//! 4. CVaR (95%) calculated correctly (Conditional VaR / Expected Shortfall)
//! 5. Composite objective uses all 4 metrics
//!
//! Advanced Metrics:
//! - Sortino Ratio: return / downside_deviation (punishes downside volatility)
//! - Calmar Ratio: annualized_return / max_drawdown (risk-adjusted)
//! - VaR (95%): 5th percentile of returns (worst 5% threshold)
//! - CVaR (95%): avg of returns below VaR (tail risk)

use ml::MLError;
use tracing::info;

/// Test 1: Verify Sortino ratio calculation
#[test]
fn test_sortino_ratio_calculation() -> Result<(), MLError> {
    // Sample returns: [+2%, -1%, +3%, -0.5%, +1%]
    let returns = vec![0.02, -0.01, 0.03, -0.005, 0.01];

    // Calculate mean return
    let mean_return = returns.iter().sum::<f64>() / returns.len() as f64;

    // Calculate downside deviation (only negative returns)
    let downside_returns: Vec<f64> = returns
        .iter()
        .filter(|&&r| r < 0.0)
        .map(|&r| r)
        .collect();

    let downside_deviation = if !downside_returns.is_empty() {
        let mean_downside = downside_returns.iter().sum::<f64>() / downside_returns.len() as f64;
        let variance: f64 = downside_returns
            .iter()
            .map(|&r| (r - mean_downside).powi(2))
            .sum::<f64>()
            / downside_returns.len() as f64;
        variance.sqrt()
    } else {
        0.0
    };

    let sortino_ratio = if downside_deviation > 0.0 {
        mean_return / downside_deviation
    } else {
        f64::INFINITY // No downside = infinite Sortino
    };

    info!(mean_return, downside_deviation, sortino_ratio, "Sortino ratio calculation");

    assert!(
        mean_return > 0.0,
        "Mean return should be positive for this sample"
    );
    assert!(
        downside_deviation > 0.0,
        "Downside deviation should be positive (2 negative returns)"
    );
    assert!(
        sortino_ratio.is_finite() && sortino_ratio > 0.0,
        "Sortino ratio should be finite and positive"
    );

    info!(sortino_ratio, "Sortino ratio calculated correctly");
    Ok(())
}

/// Test 2: Verify Calmar ratio calculation
#[test]
fn test_calmar_ratio_calculation() -> Result<(), MLError> {
    // Sample equity curve (cumulative returns)
    let equity = vec![100.0, 102.0, 101.0, 104.0, 103.0, 108.0];

    // Calculate annualized return (assume 252 trading days)
    let initial_equity = equity[0];
    let final_equity = equity[equity.len() - 1];
    let total_return = (final_equity - initial_equity) / initial_equity;
    let periods = equity.len() - 1;
    let annualized_return = total_return * (252.0 / periods as f64);

    // Calculate maximum drawdown
    let mut max_equity = equity[0];
    let mut max_drawdown = 0.0;

    for &current_equity in &equity {
        if current_equity > max_equity {
            max_equity = current_equity;
        }
        let drawdown = (max_equity - current_equity) / max_equity;
        if drawdown > max_drawdown {
            max_drawdown = drawdown;
        }
    }

    let calmar_ratio = if max_drawdown > 0.0 {
        annualized_return / max_drawdown
    } else {
        f64::INFINITY // No drawdown = infinite Calmar
    };

    info!(annualized_return, max_drawdown, calmar_ratio, "Calmar ratio calculation");

    assert!(
        total_return > 0.0,
        "Total return should be positive (100 → 108)"
    );
    assert!(
        max_drawdown > 0.0,
        "Max drawdown should be positive (drawdowns exist)"
    );
    assert!(
        calmar_ratio.is_finite() && calmar_ratio > 0.0,
        "Calmar ratio should be finite and positive"
    );

    info!(calmar_ratio, "Calmar ratio calculated correctly");
    Ok(())
}

/// Test 3: Verify VaR (95%) calculation
#[test]
fn test_var_95_calculation() -> Result<(), MLError> {
    // Sample returns (sorted for percentile calculation)
    let mut returns = vec![
        0.05, 0.03, 0.02, 0.01, 0.00, -0.01, -0.02, -0.03, -0.04, -0.05,
        0.04, 0.02, 0.01, -0.01, -0.02, -0.03, 0.03, 0.01, -0.01, -0.06,
    ];
    returns.sort_by(|a, b| a.partial_cmp(b).unwrap());

    // VaR (95%): 5th percentile (worst 5% threshold)
    let percentile_idx = (returns.len() as f64 * 0.05).ceil() as usize - 1;
    let var_95 = returns[percentile_idx.min(returns.len() - 1)];

    info!(first_5 = ?&returns[..5], percentile_idx, var_95, "VaR 95% calculation");

    assert!(
        var_95 < 0.0,
        "VaR (95%) should be negative (represents worst 5% loss)"
    );

    info!(var_95, "VaR 95% calculated correctly");
    Ok(())
}

/// Test 4: Verify CVaR (95%) calculation
#[test]
fn test_cvar_95_calculation() -> Result<(), MLError> {
    // Sample returns (sorted for tail risk calculation)
    let mut returns = vec![
        0.05, 0.03, 0.02, 0.01, 0.00, -0.01, -0.02, -0.03, -0.04, -0.05,
        0.04, 0.02, 0.01, -0.01, -0.02, -0.03, 0.03, 0.01, -0.01, -0.06,
    ];
    returns.sort_by(|a, b| a.partial_cmp(b).unwrap());

    // VaR (95%): 5th percentile
    let percentile_idx = (returns.len() as f64 * 0.05).ceil() as usize - 1;
    let var_95 = returns[percentile_idx.min(returns.len() - 1)];

    // CVaR (95%): average of returns below VaR (expected shortfall)
    let tail_returns: Vec<f64> = returns.iter().filter(|&&r| r <= var_95).copied().collect();
    let cvar_95 = if !tail_returns.is_empty() {
        tail_returns.iter().sum::<f64>() / tail_returns.len() as f64
    } else {
        var_95 // Fallback to VaR if no tail returns
    };

    info!(var_95, ?tail_returns, cvar_95, "CVaR 95% calculation");

    assert!(
        cvar_95 <= var_95,
        "CVaR should be ≤ VaR (tail average ≤ tail threshold)"
    );

    info!(cvar_95, "CVaR 95% calculated correctly");
    Ok(())
}

/// Test 5: Verify composite objective uses all 4 metrics
#[test]
fn test_composite_objective_all_metrics() -> Result<(), MLError> {
    // Calculate all 4 metrics for a sample strategy
    let returns = vec![0.02, -0.01, 0.03, -0.005, 0.01, 0.02, -0.02];

    // 1. Sortino ratio
    let mean_return = returns.iter().sum::<f64>() / returns.len() as f64;
    let downside_returns: Vec<f64> = returns.iter().filter(|&&r| r < 0.0).copied().collect();
    let downside_dev = if !downside_returns.is_empty() {
        let mean_down = downside_returns.iter().sum::<f64>() / downside_returns.len() as f64;
        let var: f64 = downside_returns
            .iter()
            .map(|&r| (r - mean_down).powi(2))
            .sum::<f64>()
            / downside_returns.len() as f64;
        var.sqrt()
    } else {
        1.0
    };
    let sortino = mean_return / downside_dev;

    // 2. Calmar ratio (simplified)
    let total_return = returns.iter().sum::<f64>() / returns.len() as f64;
    let max_drawdown = 0.02; // Assume 2% max drawdown
    let calmar = total_return / max_drawdown;

    // 3. VaR (95%)
    let mut sorted_returns = returns.clone();
    sorted_returns.sort_by(|a, b| a.partial_cmp(b).unwrap());
    let var_idx = (sorted_returns.len() as f64 * 0.05).ceil() as usize - 1;
    let var_95 = sorted_returns[var_idx.min(sorted_returns.len() - 1)];

    // 4. CVaR (95%)
    let tail: Vec<f64> = sorted_returns.iter().filter(|&&r| r <= var_95).copied().collect();
    let cvar_95 = tail.iter().sum::<f64>() / tail.len() as f64;

    // Composite objective: weighted average
    let weight_sortino = 0.3;
    let weight_calmar = 0.3;
    let weight_var = 0.2;
    let weight_cvar = 0.2;

    // Normalize metrics to [0, 1] range (assume Sortino/Calmar ~ 0-5, VaR/CVaR ~ -0.1 to 0)
    let norm_sortino = (sortino / 5.0).clamp(0.0, 1.0);
    let norm_calmar = (calmar / 5.0).clamp(0.0, 1.0);
    let norm_var = (1.0 + var_95 / 0.1).clamp(0.0, 1.0); // Higher is better (less negative)
    let norm_cvar = (1.0 + cvar_95 / 0.1).clamp(0.0, 1.0);

    let composite_objective = weight_sortino * norm_sortino
        + weight_calmar * norm_calmar
        + weight_var * norm_var
        + weight_cvar * norm_cvar;

    info!(
        sortino, norm_sortino, calmar, norm_calmar,
        var_95, norm_var, cvar_95, norm_cvar, composite_objective,
        "Composite objective from all 4 metrics"
    );

    assert!(
        composite_objective >= 0.0 && composite_objective <= 1.0,
        "Composite objective should be in [0, 1], got {}",
        composite_objective
    );

    info!(composite_objective, "Composite objective uses all 4 metrics");
    Ok(())
}