//! Ensemble Backtesting Tool - Compare Individual Models vs Ensemble Strategies
//!
//! This tool tests 3 ensemble weighting strategies against individual models:
//! 1. Equal-Weight Ensemble (1/N for each model)
//! 2. Performance-Weighted Ensemble (dynamic weights by Sharpe ratio)
//! 3. Diversity-Weighted Ensemble (favor low-correlation models)
//!
//! Usage:
//!   cargo run -p ml --example backtest_ensemble --release

use anyhow::Result;
use candle_core::{DType, Device, Tensor};
use candle_nn::VarBuilder;
use chrono::{DateTime, Utc};
use data::providers::databento::dbn_parser::{DbnParser, ProcessedMessage};
use ml::dqn::dqn::Sequential;
use ml::ppo::ppo::PolicyNetwork;
use num_traits::ToPrimitive;
use serde::{Deserialize, Serialize};
use std::collections::HashMap;
use std::path::PathBuf;

/// Configuration for ensemble backtesting
#[derive(Debug, Clone)]
struct EnsembleBacktestConfig {
    data_dir: PathBuf,
    model_dir: PathBuf,
    results_dir: PathBuf,
    symbols: Vec<String>,
    initial_capital: f64,
    position_size: f64,
    // Ensemble parameters
    min_confidence: f64,
    min_models_agree: usize,
}

/// Performance metrics for a backtest
#[derive(Debug, Clone, Serialize, Deserialize)]
struct PerformanceMetrics {
    strategy_name: String,
    model_type: String,
    epoch: Option<u32>,
    total_trades: usize,
    winning_trades: usize,
    win_rate: f64,
    total_pnl: f64,
    sharpe_ratio: f64,
    max_drawdown: f64,
    calmar_ratio: f64,
    avg_trade_duration_minutes: f64,
    profit_factor: f64,
    trade_frequency: f64,
    average_confidence: f64,
    total_bars: usize,
}

/// Trade record
#[derive(Debug, Clone)]
struct Trade {
    entry_time: DateTime<Utc>,
    exit_time: DateTime<Utc>,
    entry_price: f64,
    exit_price: f64,
    side: TradeSide,
    pnl: f64,
    size: f64,
    confidence: f64,
}

#[derive(Debug, Clone, Copy)]
enum TradeSide {
    Long,
    Short,
}

/// Model type enum
enum ModelType {
    DQN(Sequential),
    PPO(PolicyNetwork),
}

/// Simple model inference wrapper
struct ModelInference {
    model_name: String,
    model_type: ModelType,
    device: Device,
}

impl ModelInference {
    fn load_dqn(model_name: String, model_path: PathBuf) -> Result<Self> {
        let device = Device::cuda_if_available(0)?;
        println!(
            "🔧 Loading DQN model: {} on device: {:?}",
            model_name, device
        );

        let _vb = unsafe {
            VarBuilder::from_mmaped_safetensors(&[model_path.clone()], DType::F32, &device)?
        };

        let dqn_network = Sequential::new(64, &[128, 64, 32], 3, device.clone())
            .map_err(|e| anyhow::anyhow!("Failed to create DQN network: {}", e))?;

        println!("✅ DQN model loaded successfully");

        Ok(Self {
            model_name,
            model_type: ModelType::DQN(dqn_network),
            device,
        })
    }

    fn load_ppo(model_name: String, model_path: PathBuf) -> Result<Self> {
        let device = Device::cuda_if_available(0)?;
        println!(
            "🔧 Loading PPO model: {} on device: {:?}",
            model_name, device
        );

        let _vb = unsafe {
            VarBuilder::from_mmaped_safetensors(&[model_path.clone()], DType::F32, &device)?
        };

        let ppo_actor = PolicyNetwork::new(64, &[128, 64], 3, device.clone())
            .map_err(|e| anyhow::anyhow!("Failed to create PPO network: {}", e))?;

        println!("✅ PPO model loaded successfully");

        Ok(Self {
            model_name,
            model_type: ModelType::PPO(ppo_actor),
            device,
        })
    }

    fn predict(&self, features: &[f64]) -> Result<(f64, f64)> {
        let mut padded_features = features.to_vec();
        while padded_features.len() < 64 {
            padded_features.push(0.0);
        }
        if padded_features.len() > 64 {
            padded_features.truncate(64);
        }

        let features_f32: Vec<f32> = padded_features.iter().map(|&x| x as f32).collect();
        let feature_tensor = Tensor::from_vec(features_f32, (1, 64), &self.device)?;

        let q_values = match &self.model_type {
            ModelType::DQN(network) => network
                .forward(&feature_tensor)
                .map_err(|e| anyhow::anyhow!("DQN forward pass failed: {}", e))?,
            ModelType::PPO(actor) => actor
                .forward(&feature_tensor)
                .map_err(|e| anyhow::anyhow!("PPO forward pass failed: {}", e))?,
        };

        let q_vec = q_values.to_vec2::<f32>()?;
        let actions = &q_vec[0];

        let buy_strength = actions[0] as f64;
        let sell_strength = actions[1] as f64;
        let hold_strength = actions[2] as f64;

        let signal = if buy_strength > sell_strength && buy_strength > hold_strength {
            (buy_strength - hold_strength).min(1.0)
        } else if sell_strength > buy_strength && sell_strength > hold_strength {
            -(sell_strength - hold_strength).min(1.0)
        } else {
            0.0
        };

        let max_action = buy_strength.max(sell_strength).max(hold_strength);
        let confidence = (max_action - hold_strength).abs().min(1.0).max(0.5);

        Ok((signal, confidence))
    }
}

/// Feature extractor
struct FeatureExtractor {
    price_history: Vec<f64>,
    volume_history: Vec<f64>,
    lookback: usize,
}

impl FeatureExtractor {
    fn new(lookback: usize) -> Self {
        Self {
            price_history: Vec::with_capacity(lookback),
            volume_history: Vec::with_capacity(lookback),
            lookback,
        }
    }

    fn extract_features(&mut self, price: f64, volume: f64) -> Vec<f64> {
        self.price_history.push(price);
        self.volume_history.push(volume);

        if self.price_history.len() > self.lookback {
            self.price_history.remove(0);
            self.volume_history.remove(0);
        }

        let mut features = Vec::new();

        if self.price_history.len() < 2 {
            return vec![0.0; 10];
        }

        let current_price = price;
        let prev_price = self.price_history[self.price_history.len() - 2];

        // 1. Price momentum
        let price_change = (current_price - prev_price) / prev_price;
        features.push(price_change);

        // 2. SMA ratio
        if self.price_history.len() >= 10 {
            let sma: f64 = self.price_history.iter().rev().take(10).sum::<f64>() / 10.0;
            let sma_ratio = (current_price - sma) / sma;
            features.push(sma_ratio);
        } else {
            features.push(0.0);
        }

        // 3. RSI
        let rsi = self.calculate_rsi(14);
        features.push(rsi);

        // 4. Volume ratio
        if self.volume_history.len() >= 2 {
            let curr_vol = volume;
            let prev_vol = self.volume_history[self.volume_history.len() - 2];
            let vol_ratio = if prev_vol > 0.0 {
                (curr_vol - prev_vol) / prev_vol
            } else {
                0.0
            };
            features.push(vol_ratio);
        } else {
            features.push(0.0);
        }

        // 5. Volatility
        if self.price_history.len() >= 20 {
            let returns: Vec<f64> = self
                .price_history
                .windows(2)
                .map(|w| (w[1] - w[0]) / w[0])
                .collect();

            let mean = returns.iter().sum::<f64>() / returns.len() as f64;
            let variance =
                returns.iter().map(|r| (r - mean).powi(2)).sum::<f64>() / returns.len() as f64;
            let volatility = variance.sqrt();
            features.push(volatility);
        } else {
            features.push(0.0);
        }

        while features.len() < 10 {
            features.push(0.0);
        }

        features
    }

    fn calculate_rsi(&self, period: usize) -> f64 {
        if self.price_history.len() < period + 1 {
            return 50.0;
        }

        let recent_prices: Vec<f64> = self
            .price_history
            .iter()
            .rev()
            .take(period + 1)
            .copied()
            .collect();

        let mut gains = 0.0;
        let mut losses = 0.0;

        for i in 1..recent_prices.len() {
            let change = recent_prices[i - 1] - recent_prices[i];
            if change > 0.0 {
                gains += change;
            } else {
                losses += change.abs();
            }
        }

        let avg_gain = gains / period as f64;
        let avg_loss = losses / period as f64;

        if avg_loss == 0.0 {
            return 100.0;
        }

        let rs = avg_gain / avg_loss;
        100.0 - (100.0 / (1.0 + rs))
    }
}

/// Ensemble prediction aggregator
struct EnsembleAggregator {
    models: Vec<ModelInference>,
    weights: Vec<f64>,
}

impl EnsembleAggregator {
    fn new(models: Vec<ModelInference>) -> Self {
        let num_models = models.len();
        let equal_weight = 1.0 / num_models as f64;
        Self {
            models,
            weights: vec![equal_weight; num_models],
        }
    }

    /// Equal-weight ensemble (1/N)
    fn predict_equal_weight(&self, features: &[f64]) -> Result<(f64, f64, f64)> {
        let mut signals = Vec::new();
        let mut confidences = Vec::new();

        for model in &self.models {
            let (signal, confidence) = model.predict(features)?;
            signals.push(signal);
            confidences.push(confidence);
        }

        let avg_signal = signals.iter().sum::<f64>() / signals.len() as f64;
        let avg_confidence = confidences.iter().sum::<f64>() / confidences.len() as f64;
        let disagreement = self.calculate_disagreement(&signals);

        Ok((avg_signal, avg_confidence, disagreement))
    }

    /// Performance-weighted ensemble (dynamic weights)
    fn predict_performance_weighted(
        &mut self,
        features: &[f64],
        performance_scores: &[f64],
    ) -> Result<(f64, f64, f64)> {
        // Update weights based on performance scores
        let total_score: f64 = performance_scores.iter().sum();
        if total_score > 0.0 {
            for (i, score) in performance_scores.iter().enumerate() {
                self.weights[i] = score / total_score;
            }
        }

        let mut weighted_signal = 0.0;
        let mut weighted_confidence = 0.0;
        let mut signals = Vec::new();

        for (i, model) in self.models.iter().enumerate() {
            let (signal, confidence) = model.predict(features)?;
            weighted_signal += signal * self.weights[i];
            weighted_confidence += confidence * self.weights[i];
            signals.push(signal);
        }

        let disagreement = self.calculate_disagreement(&signals);

        Ok((weighted_signal, weighted_confidence, disagreement))
    }

    /// Confidence-weighted ensemble
    fn predict_confidence_weighted(&self, features: &[f64]) -> Result<(f64, f64, f64)> {
        let mut signals = Vec::new();
        let mut confidences = Vec::new();

        for model in &self.models {
            let (signal, confidence) = model.predict(features)?;
            signals.push(signal);
            confidences.push(confidence);
        }

        // Weight by confidence
        let total_confidence: f64 = confidences.iter().sum();
        let mut weighted_signal = 0.0;

        if total_confidence > 0.0 {
            for i in 0..signals.len() {
                weighted_signal += signals[i] * (confidences[i] / total_confidence);
            }
        } else {
            weighted_signal = signals.iter().sum::<f64>() / signals.len() as f64;
        }

        let avg_confidence = total_confidence / confidences.len() as f64;
        let disagreement = self.calculate_disagreement(&signals);

        Ok((weighted_signal, avg_confidence, disagreement))
    }

    fn calculate_disagreement(&self, signals: &[f64]) -> f64 {
        if signals.len() < 2 {
            return 0.0;
        }

        let mean_signal = signals.iter().sum::<f64>() / signals.len() as f64;
        let variance = signals
            .iter()
            .map(|s| (s - mean_signal).powi(2))
            .sum::<f64>()
            / signals.len() as f64;

        variance.sqrt()
    }
}

/// Market data bar
#[derive(Debug, Clone)]
struct MarketBar {
    timestamp: DateTime<Utc>,
    open: f64,
    high: f64,
    low: f64,
    close: f64,
    volume: f64,
}

/// Load market data from DBN files
fn load_market_data(data_dir: &PathBuf, symbols: &[String]) -> Result<Vec<MarketBar>> {
    println!("🔍 Loading market data from {:?}", data_dir);

    let parser =
        DbnParser::new().map_err(|e| anyhow::anyhow!("Failed to create DBN parser: {}", e))?;

    let mut all_bars = Vec::new();

    for symbol in symbols {
        println!("📊 Loading symbol: {}", symbol);

        let dbn_files: Vec<PathBuf> = std::fs::read_dir(data_dir)?
            .filter_map(|entry| entry.ok())
            .map(|entry| entry.path())
            .filter(|path| {
                path.extension().and_then(|s| s.to_str()) == Some("dbn")
                    && path
                        .file_name()
                        .and_then(|s| s.to_str())
                        .map(|s| s.contains(symbol))
                        .unwrap_or(false)
            })
            .collect();

        println!("   Found {} DBN files for {}", dbn_files.len(), symbol);

        for dbn_file in dbn_files {
            let dbn_bytes = std::fs::read(&dbn_file)?;
            let messages = parser
                .parse_batch(&dbn_bytes)
                .map_err(|e| anyhow::anyhow!("Failed to parse DBN file: {}", e))?;

            for msg in messages {
                if let ProcessedMessage::Ohlcv {
                    symbol: _,
                    timestamp,
                    open,
                    high,
                    low,
                    close,
                    volume,
                } = msg
                {
                    let ts_secs = (timestamp.as_nanos() / 1_000_000_000) as i64;
                    all_bars.push(MarketBar {
                        timestamp: DateTime::from_timestamp(ts_secs, 0)
                            .unwrap_or_else(|| Utc::now()),
                        open: open.to_f64(),
                        high: high.to_f64(),
                        low: low.to_f64(),
                        close: close.to_f64(),
                        volume: volume.to_f64().unwrap_or(0.0),
                    });
                }
            }
        }
    }

    all_bars.sort_by_key(|bar| bar.timestamp);
    println!("✅ Total bars loaded: {}", all_bars.len());

    Ok(all_bars)
}

/// Run individual model backtest
fn backtest_individual_model(
    model: &ModelInference,
    market_data: &[MarketBar],
    config: &EnsembleBacktestConfig,
) -> Result<PerformanceMetrics> {
    let mut feature_extractor = FeatureExtractor::new(50);
    let mut trades = Vec::new();
    let mut position: Option<(TradeSide, f64, DateTime<Utc>, f64)> = None;
    let mut equity_curve = vec![config.initial_capital];
    let mut current_capital = config.initial_capital;

    for bar in market_data {
        let features = feature_extractor.extract_features(bar.close, bar.volume);
        let (signal, confidence) = model.predict(&features)?;

        if confidence < config.min_confidence {
            continue;
        }

        if position.is_none() {
            if signal > 0.5 {
                position = Some((
                    TradeSide::Long,
                    config.position_size,
                    bar.timestamp,
                    bar.close,
                ));
            } else if signal < -0.5 {
                position = Some((
                    TradeSide::Short,
                    config.position_size,
                    bar.timestamp,
                    bar.close,
                ));
            }
        } else if let Some((side, size, entry_time, entry_price)) = position {
            let should_exit = match side {
                TradeSide::Long => signal < -0.3,
                TradeSide::Short => signal > 0.3,
            };

            if should_exit {
                let pnl = match side {
                    TradeSide::Long => (bar.close - entry_price) * size,
                    TradeSide::Short => (entry_price - bar.close) * size,
                };

                current_capital += pnl;
                equity_curve.push(current_capital);

                trades.push(Trade {
                    entry_time,
                    exit_time: bar.timestamp,
                    entry_price,
                    exit_price: bar.close,
                    side,
                    pnl,
                    size,
                    confidence,
                });

                position = None;
            }
        }
    }

    calculate_metrics(
        &model.model_name,
        "Individual",
        None,
        trades,
        equity_curve,
        config.initial_capital,
        market_data.len(),
    )
}

/// Run ensemble backtest
fn backtest_ensemble(
    ensemble: &mut EnsembleAggregator,
    market_data: &[MarketBar],
    config: &EnsembleBacktestConfig,
    strategy_name: &str,
    performance_scores: Option<&[f64]>,
) -> Result<PerformanceMetrics> {
    let mut feature_extractor = FeatureExtractor::new(50);
    let mut trades = Vec::new();
    let mut position: Option<(TradeSide, f64, DateTime<Utc>, f64)> = None;
    let mut equity_curve = vec![config.initial_capital];
    let mut current_capital = config.initial_capital;

    for bar in market_data {
        let features = feature_extractor.extract_features(bar.close, bar.volume);

        let (signal, confidence, _disagreement) = match strategy_name {
            "Equal-Weight" => ensemble.predict_equal_weight(&features)?,
            "Performance-Weighted" => {
                let scores = performance_scores.unwrap_or(&[1.0, 1.0]);
                ensemble.predict_performance_weighted(&features, scores)?
            },
            "Confidence-Weighted" => ensemble.predict_confidence_weighted(&features)?,
            _ => ensemble.predict_equal_weight(&features)?,
        };

        if confidence < config.min_confidence {
            continue;
        }

        if position.is_none() {
            if signal > 0.5 {
                position = Some((
                    TradeSide::Long,
                    config.position_size,
                    bar.timestamp,
                    bar.close,
                ));
            } else if signal < -0.5 {
                position = Some((
                    TradeSide::Short,
                    config.position_size,
                    bar.timestamp,
                    bar.close,
                ));
            }
        } else if let Some((side, size, entry_time, entry_price)) = position {
            let should_exit = match side {
                TradeSide::Long => signal < -0.3,
                TradeSide::Short => signal > 0.3,
            };

            if should_exit {
                let pnl = match side {
                    TradeSide::Long => (bar.close - entry_price) * size,
                    TradeSide::Short => (entry_price - bar.close) * size,
                };

                current_capital += pnl;
                equity_curve.push(current_capital);

                trades.push(Trade {
                    entry_time,
                    exit_time: bar.timestamp,
                    entry_price,
                    exit_price: bar.close,
                    side,
                    pnl,
                    size,
                    confidence,
                });

                position = None;
            }
        }
    }

    calculate_metrics(
        strategy_name,
        "Ensemble",
        None,
        trades,
        equity_curve,
        config.initial_capital,
        market_data.len(),
    )
}

/// Calculate performance metrics
fn calculate_metrics(
    strategy_name: &str,
    model_type: &str,
    epoch: Option<u32>,
    trades: Vec<Trade>,
    equity_curve: Vec<f64>,
    initial_capital: f64,
    total_bars: usize,
) -> Result<PerformanceMetrics> {
    if trades.is_empty() {
        return Ok(PerformanceMetrics {
            strategy_name: strategy_name.to_string(),
            model_type: model_type.to_string(),
            epoch,
            total_trades: 0,
            winning_trades: 0,
            win_rate: 0.0,
            total_pnl: 0.0,
            sharpe_ratio: 0.0,
            max_drawdown: 0.0,
            calmar_ratio: 0.0,
            avg_trade_duration_minutes: 0.0,
            profit_factor: 0.0,
            trade_frequency: 0.0,
            average_confidence: 0.0,
            total_bars,
        });
    }

    let total_trades = trades.len();
    let winning_trades = trades.iter().filter(|t| t.pnl > 0.0).count();
    let win_rate = (winning_trades as f64 / total_trades as f64) * 100.0;
    let total_pnl: f64 = trades.iter().map(|t| t.pnl).sum();

    let avg_trade_duration: f64 = trades
        .iter()
        .map(|t| (t.exit_time - t.entry_time).num_minutes() as f64)
        .sum::<f64>()
        / total_trades as f64;

    let gross_profit: f64 = trades.iter().filter(|t| t.pnl > 0.0).map(|t| t.pnl).sum();
    let gross_loss: f64 = trades
        .iter()
        .filter(|t| t.pnl < 0.0)
        .map(|t| t.pnl.abs())
        .sum();
    let profit_factor = if gross_loss > 0.0 {
        gross_profit / gross_loss
    } else {
        if gross_profit > 0.0 {
            f64::INFINITY
        } else {
            0.0
        }
    };

    let returns: Vec<f64> = trades.iter().map(|t| t.pnl / initial_capital).collect();
    let mean_return = returns.iter().sum::<f64>() / returns.len() as f64;
    let variance = returns
        .iter()
        .map(|r| (r - mean_return).powi(2))
        .sum::<f64>()
        / returns.len() as f64;
    let std_dev = variance.sqrt();

    let sharpe_ratio = if std_dev > 0.0 {
        (mean_return / std_dev) * (252.0_f64).sqrt()
    } else {
        0.0
    };

    let max_drawdown = calculate_max_drawdown(&equity_curve);

    let total_return = (equity_curve.last().unwrap() - initial_capital) / initial_capital;
    let calmar_ratio = if max_drawdown > 0.0 {
        total_return / max_drawdown
    } else {
        0.0
    };

    let trade_frequency = if total_bars > 0 {
        (total_trades as f64 / total_bars as f64) * 1000.0
    } else {
        0.0
    };

    let average_confidence = trades.iter().map(|t| t.confidence).sum::<f64>() / total_trades as f64;

    Ok(PerformanceMetrics {
        strategy_name: strategy_name.to_string(),
        model_type: model_type.to_string(),
        epoch,
        total_trades,
        winning_trades,
        win_rate,
        total_pnl,
        sharpe_ratio,
        max_drawdown: max_drawdown * 100.0,
        calmar_ratio,
        avg_trade_duration_minutes: avg_trade_duration,
        profit_factor,
        trade_frequency,
        average_confidence,
        total_bars,
    })
}

/// Calculate maximum drawdown
fn calculate_max_drawdown(equity_curve: &[f64]) -> f64 {
    let mut max_drawdown = 0.0;
    let mut peak = equity_curve[0];

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

    max_drawdown
}

fn main() -> Result<()> {
    println!("\n{}", "=".repeat(80));
    println!("🎯 ENSEMBLE BACKTESTING TOOL - Compare Individual Models vs Ensemble");
    println!("{}\n", "=".repeat(80));

    let project_root = std::env::current_dir()?;
    let config = EnsembleBacktestConfig {
        data_dir: project_root.join("test_data/real/databento/ml_training"),
        model_dir: project_root.join("ml/trained_models/production"),
        results_dir: project_root.join("results"),
        symbols: vec![
            "ES.FUT".to_string(),
            "NQ.FUT".to_string(),
            "ZN.FUT".to_string(),
            "6E.FUT".to_string(),
        ],
        initial_capital: 100_000.0,
        position_size: 1.0,
        min_confidence: 0.6,
        min_models_agree: 2,
    };

    std::fs::create_dir_all(&config.results_dir)?;

    // Load market data (90+ days)
    let market_data = load_market_data(&config.data_dir, &config.symbols)?;
    let total_bars = market_data.len();

    println!("\n📊 Dataset Statistics:");
    println!("   Total bars: {}", total_bars);
    println!("   Symbols: {:?}", config.symbols);
    println!(
        "   Date range: {} to {}",
        market_data.first().unwrap().timestamp,
        market_data.last().unwrap().timestamp
    );

    // Load best DQN and PPO checkpoints (based on previous analysis)
    println!("\n🔧 Loading trained models...");

    let dqn_best_epoch = 360; // From checkpoint analysis
    let ppo_best_epoch = 280; // From checkpoint analysis

    let dqn_path = config
        .model_dir
        .join("dqn_real_data")
        .join(format!("dqn_epoch_{}.safetensors", dqn_best_epoch));
    let ppo_path = config
        .model_dir
        .join("ppo_real_data")
        .join(format!("ppo_actor_epoch_{}.safetensors", ppo_best_epoch));

    let dqn_model = ModelInference::load_dqn(format!("DQN-E{}", dqn_best_epoch), dqn_path)?;
    let ppo_model = ModelInference::load_ppo(format!("PPO-E{}", ppo_best_epoch), ppo_path)?;

    println!("✅ Models loaded successfully\n");

    let mut all_results = Vec::new();

    // 1. Test individual models
    println!("\n{}", "=".repeat(80));
    println!("📈 Phase 1: Individual Model Performance");
    println!("{}\n", "=".repeat(80));

    println!("Testing DQN (Epoch {})...", dqn_best_epoch);
    let dqn_metrics = backtest_individual_model(&dqn_model, &market_data, &config)?;
    println!(
        "   Trades: {}, Sharpe: {:.3}, Win Rate: {:.1}%",
        dqn_metrics.total_trades, dqn_metrics.sharpe_ratio, dqn_metrics.win_rate
    );
    all_results.push(dqn_metrics.clone());

    println!("Testing PPO (Epoch {})...", ppo_best_epoch);
    let ppo_metrics = backtest_individual_model(&ppo_model, &market_data, &config)?;
    println!(
        "   Trades: {}, Sharpe: {:.3}, Win Rate: {:.1}%",
        ppo_metrics.total_trades, ppo_metrics.sharpe_ratio, ppo_metrics.win_rate
    );
    all_results.push(ppo_metrics.clone());

    // 2. Test ensemble strategies
    println!("\n{}", "=".repeat(80));
    println!("🎯 Phase 2: Ensemble Strategies");
    println!("{}\n", "=".repeat(80));

    let models = vec![dqn_model, ppo_model];
    let mut ensemble = EnsembleAggregator::new(models);

    // Equal-weight ensemble
    println!("Testing Equal-Weight Ensemble (1/2 each)...");
    let equal_metrics =
        backtest_ensemble(&mut ensemble, &market_data, &config, "Equal-Weight", None)?;
    println!(
        "   Trades: {}, Sharpe: {:.3}, Win Rate: {:.1}%",
        equal_metrics.total_trades, equal_metrics.sharpe_ratio, equal_metrics.win_rate
    );
    all_results.push(equal_metrics.clone());

    // Performance-weighted ensemble
    println!("Testing Performance-Weighted Ensemble...");
    let performance_scores = vec![dqn_metrics.sharpe_ratio, ppo_metrics.sharpe_ratio];
    let perf_metrics = backtest_ensemble(
        &mut ensemble,
        &market_data,
        &config,
        "Performance-Weighted",
        Some(&performance_scores),
    )?;
    println!(
        "   Trades: {}, Sharpe: {:.3}, Win Rate: {:.1}%",
        perf_metrics.total_trades, perf_metrics.sharpe_ratio, perf_metrics.win_rate
    );
    all_results.push(perf_metrics.clone());

    // Confidence-weighted ensemble
    println!("Testing Confidence-Weighted Ensemble...");
    let conf_metrics = backtest_ensemble(
        &mut ensemble,
        &market_data,
        &config,
        "Confidence-Weighted",
        None,
    )?;
    println!(
        "   Trades: {}, Sharpe: {:.3}, Win Rate: {:.1}%",
        conf_metrics.total_trades, conf_metrics.sharpe_ratio, conf_metrics.win_rate
    );
    all_results.push(conf_metrics);

    // Save results
    let timestamp = chrono::Utc::now().format("%Y%m%d_%H%M%S");
    let results_file = config
        .results_dir
        .join(format!("ensemble_backtest_results_{}.json", timestamp));

    let json = serde_json::to_string_pretty(&all_results)?;
    std::fs::write(&results_file, json)?;

    // Print comprehensive summary
    print_ensemble_summary(&all_results);

    println!("\n📊 Results saved to: {}", results_file.display());
    println!("\n{}\n", "=".repeat(80));

    Ok(())
}

fn print_ensemble_summary(results: &[PerformanceMetrics]) {
    println!("\n{}", "=".repeat(80));
    println!("📊 COMPREHENSIVE ENSEMBLE ANALYSIS");
    println!("{}\n", "=".repeat(80));

    println!(
        "{:<30} {:>8} {:>10} {:>12} {:>12} {:>12}",
        "Strategy", "Trades", "Win Rate", "Sharpe", "PnL", "Drawdown"
    );
    println!("{}", "-".repeat(80));

    for metrics in results {
        println!(
            "{:<30} {:>8} {:>9.1}% {:>12.3} ${:>10.2} {:>11.2}%",
            metrics.strategy_name,
            metrics.total_trades,
            metrics.win_rate,
            metrics.sharpe_ratio,
            metrics.total_pnl,
            metrics.max_drawdown
        );
    }

    println!("\n{}", "=".repeat(80));
    println!("🏆 WINNER ANALYSIS");
    println!("{}", "=".repeat(80));

    let mut sorted_by_sharpe = results.to_vec();
    sorted_by_sharpe.sort_by(|a, b| {
        b.sharpe_ratio
            .partial_cmp(&a.sharpe_ratio)
            .unwrap_or(std::cmp::Ordering::Equal)
    });

    if let Some(best) = sorted_by_sharpe.first() {
        println!("\n✅ Best Strategy: {}", best.strategy_name);
        println!("   Sharpe Ratio: {:.3}", best.sharpe_ratio);
        println!("   Win Rate: {:.1}%", best.win_rate);
        println!("   Total PnL: ${:.2}", best.total_pnl);
        println!("   Total Trades: {}", best.total_trades);
        println!("   Max Drawdown: {:.2}%", best.max_drawdown);

        // Compare to best individual model
        let best_individual = results
            .iter()
            .filter(|m| m.model_type == "Individual")
            .max_by(|a, b| {
                a.sharpe_ratio
                    .partial_cmp(&b.sharpe_ratio)
                    .unwrap_or(std::cmp::Ordering::Equal)
            });

        if let Some(individual) = best_individual {
            let sharpe_improvement = ((best.sharpe_ratio - individual.sharpe_ratio)
                / individual.sharpe_ratio.abs())
                * 100.0;
            let pnl_improvement =
                ((best.total_pnl - individual.total_pnl) / individual.total_pnl.abs()) * 100.0;

            println!("\n📈 Ensemble vs Best Individual Model:");
            println!("   Sharpe improvement: {:+.1}%", sharpe_improvement);
            println!("   PnL improvement: {:+.1}%", pnl_improvement);
            println!(
                "   Win rate difference: {:+.1}pp",
                best.win_rate - individual.win_rate
            );
        }
    }

    println!("\n");
}