#!/usr/bin/env python3
"""Point-in-time survivorship test for crypto cross-sectional momentum.

Universe is rebuilt EACH DAY: among coins with active trailing-30d dollar-volume (>0),
take the top-K by that volume. Dead coins (LUNA, SRM, ...) are IN the cross-section while
they trade and DROP OUT (after carrying their crash) when volume dies. No lookahead:
volume & momentum use only past data; weights apply to next-day return. If momentum's
edge survives here — especially 2022 with LUNA included — it is real beyond the bootstrap proxy.
"""
import glob
import math
import os
import sys

import numpy as np

sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
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 load():
    syms, data = [], {}
    _base = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))  # cwd-independent
    for p in sorted(glob.glob(os.path.join(_base, "data/surfer/crypto_pit/*.npz"))):
        d = np.load(p); s = p.split("/")[-1][:-4]
        data[s] = (d["day"].astype(np.int64), d["close"].astype(float), d["qvol"].astype(float), d["funding"].astype(float))
        syms.append(s)
    syms = sorted(syms)
    days = np.array(sorted(set().union(*[set(data[s][0].tolist()) for s in syms])))
    di = {int(v): i for i, v in enumerate(days.tolist())}
    T, N = len(days), len(syms)
    close = np.full((T, N), np.nan); qv = np.full((T, N), np.nan); fund = np.full((T, N), np.nan)
    for j, s in enumerate(syms):
        dd, cc, vv, ff = data[s]
        for k in range(len(dd)):
            r = di[int(dd[k])]; close[r, j] = cc[k]; qv[r, j] = vv[k]; fund[r, j] = ff[k]
    return syms, days, close, qv, fund


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 = 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)
    Reff = R - np.where(np.isfinite(fund), fund, 0.0)
    qv = np.nan_to_num(qv)
    dv30 = np.full((T, N), 0.0)                                  # trailing 30d mean dollar-volume
    for t in range(30, T):
        dv30[t] = qv[t - 30:t].mean(axis=0)
    dead = sum(1 for j in range(N) if qv[-30:, j].mean() == 0)
    year = (1970 + days / 365.25).astype(int)

    print(f"\n===== POINT-IN-TIME MOMENTUM — {N} coins ({dead} dead/delisted), {T}d =====")
    for TOPK in [30, 50]:
        # daily universe = top-K by trailing dollar-vol among actively-trading coins
        univ = np.zeros((T, N), bool)
        for t in range(T):
            elig = np.where((dv30[t] > 0) & np.isfinite(close[t]))[0]
            if len(elig) == 0:
                continue
            k = min(TOPK, len(elig))
            top = elig[np.argsort(-dv30[t, elig])[:k]]
            univ[t, top] = True
        print(f"\n--- TOPK={TOPK}  (avg coins/day in-universe = {univ.sum(1).mean():.0f}) ---")
        print(f"{'lookback':>9} {'full':>6} {'IS':>6} {'OOS':>6} {'CPCVmed':>8} {'DSR':>5} | per-year (2020..2026)")
        for L in [10, 20, 30]:
            sig = trailing(lc, L).copy()
            sig[~univ] = np.nan                                  # restrict signal to PIT universe
            w = xs_weights(sig)
            pnl = pnl_w(w, Reff, cost_bp=10)
            v = validate(pnl, days, 6)
            py = []
            for y in range(2020, 2027):
                m = year[1:] == y
                py.append(sharpe_t(torch.tensor(pnl[m], device=DEV, dtype=torch.float64)) if m.sum() > 30 else float("nan"))
            pys = " ".join(f"{p:>+5.2f}" if not math.isnan(p) else "  n/a" for p in py)
            print(f"{L:>9} {v['full']:>+6.2f} {v['is_']:>+6.2f} {v['oos']:>+6.2f} {v['med']:>+8.2f} {v['dsr']:>5.2f} | {pys}")
    print("\nVERDICT: if mom_20-30 stays positive (esp. 2022 with LUNA in-universe) => survivorship-robust REAL edge.")


if __name__ == "__main__":
    main()