#!/usr/bin/env python3
"""
关羽完整策略回测 - 直接RPC调用，绕过API超时
"""

import zmq
import json
import traceback

# 关羽完整策略代码
strategy_code = '''from vnpy_ctastrategy import (
    CtaTemplate,
    StopOrder,
    TickData,
    BarData,
    TradeData,
    OrderData,
    BarGenerator,
    ArrayManager,
)
from vnpy.trader.constant import Direction, Offset


class SingleStockStopLossStrategy(CtaTemplate):
    """单票固定比例止损策略 - 均线趋势跟踪+固定比例止损"""
    
    author = "关羽 (云长)"
    
    # 策略参数
    fast_window = 5    # 短期均线窗口
    slow_window = 20   # 长期均线窗口
    stop_loss_pct = 0.15  # 止损比例，亏损超过这个比例止损
    
    # 参数列表
    parameters = ["fast_window", "slow_window", "stop_loss_pct"]
    
    # 变量列表
    variables = ["fast_ma", "slow_ma", "cost_price", "in_position"]
    
    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
        """初始化"""
        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
        
        self.bg = BarGenerator(self.on_bar)
        self.am = ArrayManager(max(self.slow_window + 10, 100))
        
        # 均线数值
        self.fast_ma = 0.0
        self.slow_ma = 0.0
        
        # 开仓成本
        self.cost_price = 0.0
        
        # 是否持仓
        self.in_position = False
        
    def on_init(self):
        """初始化策略"""
        self.write_log(f"策略初始化，fast={self.fast_window}, slow={self.slow_window}, stop_loss={self.stop_loss_pct:.1%}")
        self.put_event()
        
    def on_start(self):
        """启动策略"""
        self.put_event()
        
    def on_stop(self):
        """停止策略"""
        self.put_event()
        
    def on_bar(self, bar):
        """K线更新"""
        self.am.update_bar(bar)
        
        if not self.am.inited:
            return
        
        # 计算均线
        self.fast_ma = self.am.sma(self.fast_window)
        self.slow_ma = self.am.sma(self.slow_window)
        
        # 检查止损（只有持仓时才检查）
        have_signal = True
        if self.in_position and self.cost_price > 0:
            current_drawdown = (bar.close_price - self.cost_price) / self.cost_price
            
            if current_drawdown <= -self.stop_loss_pct:
                # 触发止损，全部平仓
                if self.pos > 0:
                    self.sell(bar.close_price, self.pos)
                    self.in_position = False
                have_signal = False
        
        # 如果没有触发止损，继续处理信号
        if have_signal:
            # 均线金叉死叉信号
            if not self.in_position:
                # 金叉：短期上穿长期，开多
                if self.fast_ma > self.slow_ma:
                    self.buy(bar.close_price, 10000)
                    self.cost_price = bar.close_price
                    self.in_position = True
            else:
                # 死叉：短期下穿长期，平多
                if self.fast_ma < self.slow_ma:
                    if self.pos > 0:
                        self.sell(bar.close_price, self.pos)
                        self.in_position = False
        
        self.put_event()
        
    def on_trade(self, trade):
        """交易成交回调"""
        self.put_event()
        
    def on_order(self, order):
        """订单回调"""
        self.put_event()
        
    def on_stop_order(self, stop_order):
        """停止单回调"""
        self.put_event()
'''

# RPC请求 - 关羽完整参数
request = {
    "strategy_code": strategy_code,
    "symbol": "510300.SSE",
    "interval": "1d",
    "start": 1609459200,
    "end": 1772515200,
    "capital": 1000000,
    "rate": 3e-5,
    "slippage": 0.002,
    "size": 10000,
    "pricetick": 0.001,
    "data_source": "sqlite"
}

print("🔗 连接RPC: tcp://127.0.0.1:8008")
context = zmq.Context()
socket = context.socket(zmq.REQ)
socket.setsockopt(zmq.LINGER, 0)
socket.connect("tcp://127.0.0.1:8008")
socket.setsockopt(zmq.RCVTIMEO, 600000)  # 10分钟超时
socket.setsockopt(zmq.SNDTIMEO, 600000)

print("🚀 发送关羽完整策略回测请求:")
print(f"   标的: {request['symbol']}")
print(f"   区间: {request['start']} ~ {request['end']}")
print(f"   止损: {request['rate']}")
print(f"   等待响应... 需要几分钟")

try:
    socket.send_string(json.dumps(request))
    response_json = socket.recv_string()
    response = json.loads(response_json)
    
    if "error" in response:
        print(f"\n❌ ERROR: {response['error']}")
        if "traceback" in response:
            print("\nTraceback:")
            print(response["traceback"])
    else:
        print("\n✅ SUCCESS!")
        print("\n" + "=" * 70)
        print("关羽 510300.SSE 完整回测结果 (2021-01-01 ~ 2026-03-01, 止损15%):")
        print("=" * 70)
        
        if "statistics" in response:
            stats = response["statistics"]
            print(f"\n📊 绩效指标:")
            print(f"   总收益率: {stats.get('total_return', 0):.2%}")
            print(f"   年化收益率: {stats.get('annual_return', 0):.2%}")
            print(f"   最大回撤: {stats.get('max_drawdown', 0):.2%}")
            print(f"   夏普比率: {stats.get('sharpe_ratio', 0):.2f}")
            print(f"   卡玛比率: {stats.get('calmar_ratio', 0):.2f}")
            print(f"   总交易次数: {stats.get('total_trades', 0)}")
            print(f"   胜率: {stats.get('win_rate', 0):.2%}")
            print(f"   盈亏比: {stats.get('profit_loss_ratio', 0):.2f}")

        if "trades" in response:
            trades = response["trades"]
            print(f"\n📝 交易记录: 共 {len(trades)} 笔")
            
            if len(trades) > 0:
                print(f"\n   前10笔交易:")
                for idx, trade in enumerate(trades[:10], 1):
                    dt = trade.get('datetime', '')[:10] if trade.get('datetime') else ''
                    direction = trade.get('direction', '')
                    price = trade.get('price', 0)
                    volume = trade.get('volume', 0)
                    print(f"   {idx}. {dt} {direction} @ {price:.2f} × {volume}")
                
                if len(trades) > 10:
                    print(f"   ... 还有 {len(trades) - 10} 笔")

        print("\n" + "=" * 70)
        print("回测完成!")
        print("=" * 70)

except zmq.error.Again:
    print("\n⏱️ ❌ TIMEOUT: 超过10分钟仍未完成 (很可能是OOM)")
except Exception as e:
    print(f"\n❌ ERROR: {e}")
    traceback.print_exc()
finally:
    socket.close()
    context.term()