{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# CTA 1D Blend Comparison\n",
    "\n",
    "Compare model performance across different label blending configurations.\n",
    "\n",
    "**Purpose**: Identify the optimal normalization blend for the CTA 1-day prediction task."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "import matplotlib.pyplot as plt\n",
    "import seaborn as sns\n",
    "\n",
    "from qshare.data.pandas.cta_1d import load_dataset\n",
    "from qshare.algo.learning.cta_trainer import CTAXGBTrainer\n",
    "from qshare.eval.cta.backtest import CTABacktester\n",
    "\n",
    "import sys\n",
    "sys.path.insert(0, '../')\n",
    "from common.plotting import setup_plot_style, plot_ic_series\n",
    "from src.labels import BLEND_CONFIGS, get_blend_weights\n",
    "\n",
    "setup_plot_style()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 1. Configuration\n",
    "\n",
    "Define base configuration shared across all blend experiments."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "BASE_CONFIG = {\n",
    "    # Date ranges\n",
    "    'dt_range': ['2020-01-01', '2024-12-31'],\n",
    "    'train_range': ['2020-01-01', '2022-12-31'],\n",
    "    'test_range': ['2023-01-01', '2024-12-31'],\n",
    "    'fit_range': ['2020-01-01', '2021-06-30'],\n",
    "    \n",
    "    # Data\n",
    "    'feature_sets': ['alpha158', 'hffactor'],\n",
    "    'return_type': 'o2c_twap1min',\n",
    "    'normalization': 'dual',\n",
    "    'weight_factors': {'positive': 1.0, 'negative': 2.0},\n",
    "    \n",
    "    # Model (fixed for fair comparison)\n",
    "    'xgb_params': {\n",
    "        'booster': 'gblinear',\n",
    "        'eta': 0.5,\n",
    "        'lambda_reg': 0.1,\n",
    "        'num_round': 20,\n",
    "    },\n",
    "    \n",
    "    # Backtest\n",
    "    'backtest_params': {\n",
    "        'num_trades': 4,\n",
    "        'signal_dist': 'normal',\n",
    "        'pos_weight': True,\n",
    "    },\n",
    "}\n",
    "\n",
    "print(\"Blend configurations to compare:\")\n",
    "for name, weights in BLEND_CONFIGS.items():\n",
    "    print(f\"  {name}: {weights}\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 2. Run Experiments\n",
    "\n",
    "Train and evaluate a model for each blend configuration."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "def run_single_experiment(blend_name, blend_weights):\n",
    "    \"\"\"Run experiment with specific blend configuration.\"\"\"\n",
    "    print(f\"\\n{'='*60}\")\n",
    "    print(f\"Running: {blend_name}\")\n",
    "    print(f\"Weights: {blend_weights}\")\n",
    "    print(f\"{'='*60}\")\n",
    "    \n",
    "    # Load data\n",
    "    df_full = load_dataset(\n",
    "        dt_range=BASE_CONFIG['dt_range'],\n",
    "        return_type=BASE_CONFIG['return_type'],\n",
    "        normalization=BASE_CONFIG['normalization'],\n",
    "        feature_sets=BASE_CONFIG['feature_sets'],\n",
    "        fit_range=BASE_CONFIG['fit_range'],\n",
    "        weight_factors=BASE_CONFIG['weight_factors'],\n",
    "        blend_weights=blend_weights,\n",
    "    )\n",
    "    \n",
    "    # Split\n",
    "    df_train = df_full.loc[BASE_CONFIG['train_range'][0]:BASE_CONFIG['train_range'][1]]\n",
    "    df_test = df_full.loc[BASE_CONFIG['test_range'][0]:BASE_CONFIG['test_range'][1]]\n",
    "    \n",
    "    # Features\n",
    "    feature_cols = [c for c in df_train.columns\n",
    "                    if c.startswith(('alpha158_', 'hf_', 'f_'))]\n",
    "    \n",
    "    # Train\n",
    "    trainer = CTAXGBTrainer(**BASE_CONFIG['xgb_params'])\n",
    "    trainer.fit(\n",
    "        df_train,\n",
    "        feature_cols=feature_cols,\n",
    "        target_col='label',\n",
    "        weight_col='weight'\n",
    "    )\n",
    "    \n",
    "    # Predict\n",
    "    df_signal = trainer.predict(df_test)\n",
    "    \n",
    "    # Backtest\n",
    "    returns = df_test['return'] if 'return' in df_test.columns else df_test['label']\n",
    "    backtester = CTABacktester(**BASE_CONFIG['backtest_params'])\n",
    "    results = backtester.run(returns, df_signal)\n",
    "    \n",
    "    # Metrics\n",
    "    summary = backtester.summary()\n",
    "    ic_by_date = results.groupby(results.index.get_level_values(0))['ic'].mean()\n",
    "    \n",
    "    return {\n",
    "        'name': blend_name,\n",
    "        'weights': blend_weights,\n",
    "        'summary': summary,\n",
    "        'ic_by_date': ic_by_date,\n",
    "        'results': results,\n",
    "        'importance': trainer.get_feature_importance(),\n",
    "    }\n",
    "\n",
    "# Run all experiments\n",
    "all_results = []\n",
    "for name in BLEND_CONFIGS.keys():\n",
    "    result = run_single_experiment(name, name)\n",
    "    all_results.append(result)\n",
    "    \n",
    "print(\"\\n\\nAll experiments complete!\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 3. Results Summary"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Create comparison table\n",
    "comparison_data = []\n",
    "for r in all_results:\n",
    "    ic_mean = r['ic_by_date'].mean()\n",
    "    ic_std = r['ic_by_date'].std()\n",
    "    comparison_data.append({\n",
    "        'Blend': r['name'],\n",
    "        'Weights': str(r['weights']),\n",
    "        'IC Mean': ic_mean,\n",
    "        'IC Std': ic_std,\n",
    "        'IR': ic_mean / ic_std if ic_std > 0 else 0,\n",
    "        'Return': r['summary'].get('return', np.nan),\n",
    "        'Sharpe': r['summary'].get('sharpe', np.nan),\n",
    "        'Turnover': r['summary'].get('turnover', np.nan),\n",
    "    })\n",
    "\n",
    "df_comparison = pd.DataFrame(comparison_data)\n",
    "\n",
    "# Sort by IC Mean\n",
    "df_comparison = df_comparison.sort_values('IC Mean', ascending=False)\n",
    "\n",
    "print(\"Comparison Summary (sorted by IC Mean):\")\n",
    "print(df_comparison.to_string(index=False))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Visual comparison\n",
    "fig, axes = plt.subplots(2, 2, figsize=(14, 10))\n",
    "\n",
    "# IC Mean\n",
    "axes[0, 0].barh(df_comparison['Blend'], df_comparison['IC Mean'])\n",
    "axes[0, 0].set_title('IC Mean')\n",
    "axes[0, 0].axvline(x=0, color='red', linestyle='--', alpha=0.5)\n",
    "\n",
    "# Information Ratio\n",
    "axes[0, 1].barh(df_comparison['Blend'], df_comparison['IR'])\n",
    "axes[0, 1].set_title('Information Ratio')\n",
    "axes[0, 1].axvline(x=0, color='red', linestyle='--', alpha=0.5)\n",
    "\n",
    "# Return\n",
    "axes[1, 0].barh(df_comparison['Blend'], df_comparison['Return'])\n",
    "axes[1, 0].set_title('Return')\n",
    "axes[1, 0].axvline(x=0, color='red', linestyle='--', alpha=0.5)\n",
    "\n",
    "# Sharpe\n",
    "axes[1, 1].barh(df_comparison['Blend'], df_comparison['Sharpe'])\n",
    "axes[1, 1].set_title('Sharpe Ratio')\n",
    "axes[1, 1].axvline(x=0, color='red', linestyle='--', alpha=0.5)\n",
    "\n",
    "plt.tight_layout()\n",
    "plt.show()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 4. IC Time Series Comparison"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Plot IC series for all configurations\n",
    "fig, ax = plt.subplots(figsize=(16, 6))\n",
    "\n",
    "for r in all_results:\n",
    "    ic_rolling = r['ic_by_date'].rolling(20, min_periods=5).mean()\n",
    "    ax.plot(ic_rolling.index, ic_rolling.values, label=r['name'], alpha=0.8)\n",
    "\n",
    "ax.axhline(y=0, color='black', linestyle='-', alpha=0.3)\n",
    "ax.set_title('Rolling IC Comparison (20-day MA)')\n",
    "ax.set_xlabel('Date')\n",
    "ax.set_ylabel('Information Coefficient')\n",
    "ax.legend(loc='upper right')\n",
    "plt.tight_layout()\n",
    "plt.show()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 5. Feature Importance Comparison"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Get top features from each blend\n",
    "n_top = 10\n",
    "top_features_by_blend = {}\n",
    "\n",
    "for r in all_results:\n",
    "    top_features_by_blend[r['name']] = set(r['importance'].head(n_top).index)\n",
    "\n",
    "# Find common features across all blends\n",
    "common_features = set.intersection(*top_features_by_blend.values())\n",
    "print(f\"\\nCommon top-{n_top} features across all blends:\")\n",
    "for f in sorted(common_features):\n",
    "    print(f\"  - {f}\")\n",
    "\n",
    "# Find unique features per blend\n",
    "print(\"\\nUnique top features by blend:\")\n",
    "for name, features in top_features_by_blend.items():\n",
    "    unique = features - set.union(*(top_features_by_blend.values() - {features}))\n",
    "    if unique:\n",
    "        print(f\"\\n  {name}:\")\n",
    "        for f in sorted(unique):\n",
    "            print(f\"    - {f}\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Heatmap of top feature importance across blends\n",
    "all_top_features = set.union(*top_features_by_blend.values())\n",
    "\n",
    "importance_matrix = []\n",
    "for r in all_results:\n",
    "    row = []\n",
    "    for f in sorted(all_top_features):\n",
    "        if f in r['importance'].index:\n",
    "            row.append(r['importance'].loc[f, 'importance'])\n",
    "        else:\n",
    "            row.append(0)\n",
    "    importance_matrix.append(row)\n",
    "\n",
    "df_importance = pd.DataFrame(\n",
    "    importance_matrix,\n",
    "    index=[r['name'] for r in all_results],\n",
    "    columns=sorted(all_top_features)\n",
    ")\n",
    "\n",
    "fig, ax = plt.subplots(figsize=(14, 6))\n",
    "sns.heatmap(df_importance, cmap='YlOrRd', ax=ax, cbar_kws={'label': 'Importance'})\n",
    "ax.set_title('Feature Importance Comparison Across Blends')\n",
    "ax.set_xlabel('Features')\n",
    "ax.set_ylabel('Blend Configuration')\n",
    "plt.xticks(rotation=45, ha='right')\n",
    "plt.tight_layout()\n",
    "plt.show()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 6. Custom Weight Exploration\n",
    "\n",
    "Test custom blend weights."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Define custom weights to test\n",
    "CUSTOM_WEIGHTS = [\n",
    "    [0.0, 0.0, 0.5, 0.5],   # Only rolling\n",
    "    [0.3, 0.3, 0.2, 0.2],   # Fit-time heavy\n",
    "    [0.1, 0.4, 0.25, 0.25], # CS heavy + balanced rolling\n",
    "]\n",
    "\n",
    "custom_results = []\n",
    "for i, weights in enumerate(CUSTOM_WEIGHTS):\n",
    "    result = run_single_experiment(f'custom_{i+1}', weights)\n",
    "    custom_results.append(result)\n",
    "\n",
    "print(\"\\n\\nCustom weights experiments complete!\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Compare custom with standard\n",
    "all_comparison_data = comparison_data.copy()\n",
    "\n",
    "for r in custom_results:\n",
    "    ic_mean = r['ic_by_date'].mean()\n",
    "    ic_std = r['ic_by_date'].std()\n",
    "    all_comparison_data.append({\n",
    "        'Blend': r['name'],\n",
    "        'Weights': str(r['weights']),\n",
    "        'IC Mean': ic_mean,\n",
    "        'IC Std': ic_std,\n",
    "        'IR': ic_mean / ic_std if ic_std > 0 else 0,\n",
    "        'Return': r['summary'].get('return', np.nan),\n",
    "        'Sharpe': r['summary'].get('sharpe', np.nan),\n",
    "        'Turnover': r['summary'].get('turnover', np.nan),\n",
    "    })\n",
    "\n",
    "df_all = pd.DataFrame(all_comparison_data)\n",
    "df_all = df_all.sort_values('IC Mean', ascending=False)\n",
    "\n",
    "print(\"All Results (standard + custom):\")\n",
    "print(df_all.to_string(index=False))"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 7. Conclusion\n",
    "\n",
    "Summarize findings and recommend best blend configuration."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Best configuration\n",
    "best = df_comparison.iloc[0]\n",
    "print(\"Recommended Blend Configuration:\")\n",
    "print(f\"  Name: {best['Blend']}\")\n",
    "print(f\"  Weights: {best['Weights']}\")\n",
    "print(f\"\\nPerformance:\")\n",
    "print(f\"  IC Mean: {best['IC Mean']:.4f}\")\n",
    "print(f\"  IC Std:  {best['IC Std']:.4f}\")\n",
    "print(f\"  IR:      {best['IR']:.4f}\")\n",
    "print(f\"  Return:  {best['Return']:.4f}\")\n",
    "print(f\"  Sharpe:  {best['Sharpe']:.4f}\")"
   ]
  }
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