"""
BB(10, 2.5) 均值回归策略回测 — 2026/02/23 ~ 现在，本金 100U
完全复现 bb_trade.py 的参数: BB(10,2.5) | 50x | 1%权益/单 | 递增加仓 +1%/次 max=3
"""
import sys
sys.path.insert(0, str(__import__("pathlib").Path(__file__).resolve().parents[1]))

import numpy as np
from pathlib import Path
from datetime import datetime, timedelta

from strategy.bb_backtest import BBConfig, run_bb_backtest
from strategy.data_loader import load_klines

# 加载 2026-02-23 至今天的数据 (end_date 不包含，用明天确保含今天)
today = datetime.now().strftime("%Y-%m-%d")
END_DATE = (datetime.now() + timedelta(days=1)).strftime("%Y-%m-%d")
df = load_klines('5m', '2026-02-23', END_DATE)
print(f"数据: 2026-02-23 ~ {today}, 共 {len(df):,} 根 5 分钟 K 线")

# 配置：完全匹配 bb_trade.py D方案
cfg = BBConfig(
    bb_period=10,
    bb_std=2.5,
    leverage=50,
    initial_capital=100.0,     # 本金 100U
    margin_pct=0.01,           # 1% 权益/单
    pyramid_enabled=True,
    pyramid_step=0.01,         # 递增加仓 +1%/次
    pyramid_max=3,
    max_daily_loss=50.0,
    fee_rate=0.0005,
    rebate_rate=0.0,
    rebate_pct=0.90,
    rebate_hour_utc=0,
)

r = run_bb_backtest(df, cfg)

# 结果
d = r.daily_stats
pnl = d["pnl"].astype(float)
eq = d["equity"].astype(float)
final = float(eq.iloc[-1])
dd = float((eq - eq.cummax()).min())
ret_pct = (final - cfg.initial_capital) / cfg.initial_capital * 100
nt = len(r.trades)
wr = sum(1 for t in r.trades if t.net_pnl > 0) / max(nt, 1) * 100

print("\n" + "=" * 60)
print("  回测结果 (BB 均值回归 | 2026/02/23 ~ 现在 | 本金 100U)")
print("=" * 60)
print(f"  最终权益:     {final:,.2f} U")
print(f"  收益:         {final - cfg.initial_capital:+,.2f} U ({ret_pct:+.1f}%)")
print(f"  最大回撤:     {dd:+,.2f} U")
print(f"  交易次数:     {nt}")
print(f"  胜率:         {wr:.1f}%")
print(f"  总手续费:     {r.total_fee:.2f} U")
print(f"  总返佣:       {r.total_rebate:.2f} U")
print("=" * 60)

# 打印每日收益
if len(d) > 1:
    print("\n每日收益:")
    for idx, row in d.iterrows():
        day_str = idx.strftime("%Y-%m-%d") if hasattr(idx, 'strftime') else str(idx)[:10]
        p = row["pnl"]
        e = row["equity"]
        print(f"  {day_str}: PnL {p:+.2f} U, 权益 {e:.2f} U")