#!/usr/bin/env python3
"""Execution-realism stress for point-in-time crypto momentum — is the magnitude believable?

Layers on the realistic frictions that could inflate the paper Sharpe:
  - cost 10→20→30 bp on turnover (smaller coins cost more)
  - WINSORIZE per-coin daily returns to ±cap (you cannot fill a short into an 80%/day collapse)
  - EXCLUDE each coin's final K days (delisting death-spiral: untradeable → zero PnL there)
  - liquidity FLOOR: only trade coins with trailing dollar-vol > floor
If mom_20/30 stays positive EVERY year under the combined stress, the edge magnitude is real.
"""
import math
import os
import sys

import numpy as np

sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
import pit_sweep as ps  # noqa: E402
from signal_sweep import xs_weights, pnl_w, validate, sharpe_t  # noqa: E402
import torch  # noqa: E402

DEV = "cuda" if torch.cuda.is_available() else "cpu"


def trailing(lc, L):
    out = np.full_like(lc, np.nan); out[L:] = lc[L:] - lc[:-L]; return out


def main():
    syms, days, close, qv, fund = ps.load()
    T, N = close.shape
    lc = np.log(close)
    R = np.zeros((T, N)); R[1:] = lc[1:] - lc[:-1]; R = np.where(np.isfinite(R), R, 0.0)
    fund = np.where(np.isfinite(fund), fund, 0.0)
    qv = np.nan_to_num(qv)
    dv30 = np.zeros((T, N))
    for t in range(30, T):
        dv30[t] = qv[t - 30:t].mean(axis=0)
    year = (1970 + days / 365.25).astype(int)

    # death-spiral mask: each coin's final 5 valid days = untradeable
    tradeable = np.ones((T, N), bool)
    for j in range(N):
        idx = np.where(np.isfinite(close[:, j]))[0]
        if len(idx):
            tradeable[max(0, idx[-1] - 4):idx[-1] + 1, j] = False

    def variant(cost_bp, winsor, excl_death, dv_floor, L=20, TOPK=50):
        Reff = (R - fund)
        if winsor is not None:
            Reff = np.clip(Reff, -winsor, winsor)
        if excl_death:
            Reff = np.where(tradeable, Reff, 0.0)
        univ = np.zeros((T, N), bool)
        for t in range(T):
            elig = np.where((dv30[t] > dv_floor) & np.isfinite(close[t]))[0]
            if len(elig) == 0:
                continue
            k = min(TOPK, len(elig))
            univ[t, elig[np.argsort(-dv30[t, elig])[:k]]] = True
        sig = trailing(lc, L).copy(); sig[~univ] = np.nan
        pnl = pnl_w(xs_weights(sig), Reff, cost_bp=cost_bp)
        v = validate(pnl, days, 6)
        py = [sharpe_t(torch.tensor(pnl[year[1:] == y], device=DEV, dtype=torch.float64))
              if (year[1:] == y).sum() > 30 else float("nan") for y in range(2020, 2027)]
        return v, py

    print(f"\n===== EXECUTION-REALISM STRESS — PIT momentum (mom_20, TOPK=50) — {N} coins =====")
    print(f"{'variant':>34} {'full':>6} {'IS':>6} {'OOS':>6} {'CPCVmed':>8} | per-year 2020..2026")
    cfgs = [
        ("baseline 10bp", dict(cost_bp=10, winsor=None, excl_death=False, dv_floor=0)),
        ("20bp cost", dict(cost_bp=20, winsor=None, excl_death=False, dv_floor=0)),
        ("winsor ±20%", dict(cost_bp=10, winsor=0.20, excl_death=False, dv_floor=0)),
        ("excl death-spiral (last 5d)", dict(cost_bp=10, winsor=None, excl_death=True, dv_floor=0)),
        ("dv-floor $5M/day", dict(cost_bp=10, winsor=None, excl_death=False, dv_floor=5e6)),
        ("COMBINED 20bp+wins20+death+$5M", dict(cost_bp=20, winsor=0.20, excl_death=True, dv_floor=5e6)),
        ("HARSH 30bp+wins10+death+$10M", dict(cost_bp=30, winsor=0.10, excl_death=True, dv_floor=1e7)),
    ]
    for nm, cfg in cfgs:
        v, py = variant(**cfg)
        pys = " ".join(f"{p:>+5.2f}" if not math.isnan(p) else "  n/a" for p in py)
        print(f"{nm:>34} {v['full']:>+6.2f} {v['is_']:>+6.2f} {v['oos']:>+6.2f} {v['med']:>+8.2f} | {pys}")
    print("\nVERDICT: positive every year under COMBINED/HARSH => believable, sizable edge (not paper).")


if __name__ == "__main__":
    main()