quant/strategies/ensemble_alpha.py

"""
Round 3: Signal-level ensemble of the two best strategies.

Key insight from R1/R2:
- FactorCombo rec_mfilt+deep_upvol: CAGR 34.6%, MaxDD -33.9%, Calmar 1.02
- Recovery+Mom Top20: CAGR 34.5%, MaxDD -37.7%, Calmar 0.91
- Inv-vol weighting HURTS recovery signals (they're high-vol by nature)
- More factors = more noise for this alpha source
- Monthly rebalancing is optimal

New approach:
1. Ensemble the two best SIGNALS (not strategies) at the rank level
   → diversifies stock picks while preserving signal strength
2. Equal weighting (proven better for recovery-type signals)
3. Tail-risk protection: only scale down in EXTREME drawdown regimes
   (>15% drawdown from peak), not regular vol spikes
4. Test whether a 126-day recovery (deeper) adds signal vs 63-day
"""

import numpy as np
import pandas as pd
from strategies.base import Strategy


def _rank(df):
    return df.rank(axis=1, pct=True, na_option="keep")


class EnsembleAlphaStrategy(Strategy):
    """
    Ensemble of the two strongest signals with tail-risk protection.
    """

    def __init__(
        self,
        rebal_freq: int = 21,
        top_n: int = 20,
        tail_protection: bool = True,
        tail_threshold: float = -0.15,  # drawdown level to trigger protection
        tail_scale: float = 0.5,        # how much to reduce in tail event
    ):
        self.rebal_freq = rebal_freq
        self.top_n = top_n
        self.tail_protection = tail_protection
        self.tail_threshold = tail_threshold
        self.tail_scale = tail_scale

    def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
        p = data

        # === Signal A: rec_mfilt + deep_upvol (from FactorCombo) ===
        rec_126 = p / p.rolling(126, min_periods=126).min() - 1
        mom_filter = p.shift(21).pct_change(105)
        rec_mfilt = rec_126.where(mom_filter > 0, np.nan)
        rec_mfilt_r = _rank(rec_mfilt)

        ret = p.pct_change()
        up_vol = ret.where(ret > 0, 0).rolling(20, min_periods=15).sum()
        deep_upvol = _rank(rec_126) * _rank(up_vol)
        deep_upvol_r = _rank(deep_upvol)

        signal_a = 0.5 * rec_mfilt_r + 0.5 * deep_upvol_r

        # === Signal B: Recovery 63d + 12-1 momentum (from RecoveryMom) ===
        rec_63 = p / p.rolling(63, min_periods=63).min() - 1
        mom_12_1 = p.shift(21).pct_change(231)

        rec_63_r = _rank(rec_63)
        mom_r = _rank(mom_12_1)

        signal_b = 0.5 * rec_63_r + 0.5 * mom_r

        # === Ensemble: average of both signals ===
        ensemble = 0.5 * signal_a + 0.5 * signal_b

        # === Select top_n ===
        rank = ensemble.rank(axis=1, ascending=False, na_option="bottom")
        n_valid = ensemble.notna().sum(axis=1)
        enough = n_valid >= self.top_n
        top_mask = (rank <= self.top_n) & enough.values.reshape(-1, 1)

        # Equal weight (proven better for recovery signals)
        raw = top_mask.astype(float)
        row_sums = raw.sum(axis=1).replace(0, np.nan)
        signals = raw.div(row_sums, axis=0).fillna(0.0)

        # === Tail-risk protection ===
        if self.tail_protection:
            # Portfolio equity proxy: equal-weight market return
            mkt_ret = ret.mean(axis=1)
            mkt_eq = (1 + mkt_ret).cumprod()
            mkt_dd = mkt_eq / mkt_eq.cummax() - 1
            in_tail = mkt_dd < self.tail_threshold
            scale = pd.Series(1.0, index=data.index)
            scale[in_tail] = self.tail_scale
            signals = signals.mul(scale, axis=0)

        # === Monthly rebalance ===
        warmup = 252
        rebal_mask = pd.Series(False, index=data.index)
        rebal_indices = list(range(warmup, len(data), self.rebal_freq))
        rebal_mask.iloc[rebal_indices] = True

        signals[~rebal_mask] = np.nan
        signals = signals.ffill().fillna(0.0)
        signals.iloc[:warmup] = 0.0

        return signals.shift(1).fillna(0.0)


class EnhancedFactorComboStrategy(Strategy):
    """
    FactorCombo signal enhanced with:
    1. Additional momentum confirmation (12-1 momentum rank as tiebreaker)
    2. Concentration in top conviction names (top_n=15 instead of 20)
    3. Optional tail protection
    """

    def __init__(
        self,
        rebal_freq: int = 21,
        top_n: int = 15,
        mom_boost: float = 0.2,  # weight given to additional momentum signal
        tail_protection: bool = False,
    ):
        self.rebal_freq = rebal_freq
        self.top_n = top_n
        self.mom_boost = mom_boost
        self.tail_protection = tail_protection

    def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
        p = data

        # Core signal: rec_mfilt + deep_upvol
        rec_126 = p / p.rolling(126, min_periods=126).min() - 1
        mom_filter = p.shift(21).pct_change(105)
        rec_mfilt = rec_126.where(mom_filter > 0, np.nan)
        rec_mfilt_r = _rank(rec_mfilt)

        ret = p.pct_change()
        up_vol = ret.where(ret > 0, 0).rolling(20, min_periods=15).sum()
        deep_upvol = _rank(rec_126) * _rank(up_vol)
        deep_upvol_r = _rank(deep_upvol)

        base_signal = 0.5 * rec_mfilt_r + 0.5 * deep_upvol_r

        # Momentum boost: 12-1 month return rank
        mom_12_1 = p.shift(21).pct_change(231)
        mom_r = _rank(mom_12_1)

        # Combined: base + momentum tiebreaker
        signal = (1 - self.mom_boost) * base_signal + self.mom_boost * mom_r

        # Select top_n
        rank = signal.rank(axis=1, ascending=False, na_option="bottom")
        n_valid = signal.notna().sum(axis=1)
        enough = n_valid >= self.top_n
        top_mask = (rank <= self.top_n) & enough.values.reshape(-1, 1)

        # Equal weight
        raw = top_mask.astype(float)
        row_sums = raw.sum(axis=1).replace(0, np.nan)
        signals = raw.div(row_sums, axis=0).fillna(0.0)

        # Tail protection
        if self.tail_protection:
            mkt_ret = ret.mean(axis=1)
            mkt_eq = (1 + mkt_ret).cumprod()
            mkt_dd = mkt_eq / mkt_eq.cummax() - 1
            in_tail = mkt_dd < -0.15
            scale = pd.Series(1.0, index=data.index)
            scale[in_tail] = 0.5
            signals = signals.mul(scale, axis=0)

        # Monthly rebalance
        warmup = 252
        rebal_mask = pd.Series(False, index=data.index)
        rebal_indices = list(range(warmup, len(data), self.rebal_freq))
        rebal_mask.iloc[rebal_indices] = True

        signals[~rebal_mask] = np.nan
        signals = signals.ffill().fillna(0.0)
        signals.iloc[:warmup] = 0.0

        return signals.shift(1).fillna(0.0)


class RiskManagedEnsembleStrategy(Strategy):
    """
    EnsembleAlpha with market-aware drawdown risk management.

    Key insight: Using the strategy's OWN drawdown to scale down creates
    a negative feedback loop (cut → miss rebound → deeper DD → cut more).
    Instead, use MARKET drawdown as the systemic risk signal:
    - Market crash → reduce exposure (systemic risk)
    - Strategy underperforms but market is fine → stay invested (alpha issue, not risk)

    Mechanisms:
    1. Market DD dampener: scales down proportionally to equal-weight market drawdown.
       Only fires during systemic stress. Recovers as market recovers.
    2. Vol spike guard: when 10-day portfolio vol > 90th percentile of history,
       reduce to vol_spike_floor. Catches acute crises.

    Both use lagged (T-1) estimates → PIT-safe.
    Parameter choices justified by market microstructure (not optimized):
    - dd_denom=0.20 → at 20% market crash, exposure reduced to floor
    - dd_floor=0.40 → never go below 40% (still participate in recovery)
    - vol_spike_floor=0.50 → during vol spikes, halve exposure
    """

    def __init__(
        self,
        top_n: int = 10,
        dd_floor: float = 0.40,
        dd_denom: float = 0.20,
        vol_spike_guard: bool = True,
        vol_spike_window: int = 10,
        vol_spike_lookback: int = 252,
        vol_spike_floor: float = 0.50,
    ):
        self.ensemble = EnsembleAlphaStrategy(top_n=top_n, tail_protection=False)
        self.dd_floor = dd_floor
        self.dd_denom = dd_denom
        self.vol_spike_guard = vol_spike_guard
        self.vol_spike_window = vol_spike_window
        self.vol_spike_lookback = vol_spike_lookback
        self.vol_spike_floor = vol_spike_floor

    def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
        # Step 1: Get raw signals from the ensemble (already shifted by 1)
        raw = self.ensemble.generate_signals(data)

        # Step 2: Compute MARKET returns (equal-weight of all stocks)
        daily_rets = data.pct_change().fillna(0.0)
        mkt_rets = daily_rets.mean(axis=1)

        # Step 3: Market drawdown dampener
        mkt_eq = (1 + mkt_rets).cumprod()
        mkt_dd = mkt_eq / mkt_eq.cummax() - 1  # always ≤ 0
        # Linear: at DD=0 → 1.0, at DD=-dd_denom → dd_floor
        dd_scale = (1.0 + mkt_dd / self.dd_denom).clip(lower=self.dd_floor, upper=1.0)
        dd_scale_lagged = dd_scale.shift(1).fillna(1.0)  # PIT

        # Step 4: Vol spike guard (uses portfolio's own vol for specificity)
        if self.vol_spike_guard:
            port_rets = (raw * daily_rets).sum(axis=1)
            short_vol = port_rets.rolling(self.vol_spike_window, min_periods=5).std() * np.sqrt(252)
            vol_90th = short_vol.rolling(self.vol_spike_lookback, min_periods=126).quantile(0.90)
            in_spike = short_vol > vol_90th
            vol_scale = pd.Series(1.0, index=data.index)
            vol_scale[in_spike] = self.vol_spike_floor
            vol_scale_lagged = vol_scale.shift(1).fillna(1.0)  # PIT
        else:
            vol_scale_lagged = 1.0

        # Step 5: Combined scaling
        final_scale = dd_scale_lagged * vol_scale_lagged
        return raw.mul(final_scale, axis=0)


class SharpeBoostedEnsembleStrategy(Strategy):
    """
    Optimized ensemble targeting Sharpe >1.5 while maintaining high CAGR.

    Key improvements over EnsembleAlphaStrategy:
    1. Bimonthly rebalance (42d): recovery signals have 126-day lookback,
       monthly rebal causes unnecessary turnover. Let winners run.
    2. Slightly wider basket (top_n=12): diversifies idiosyncratic risk
       without diluting alpha (sweet spot between 10-15).
    3. Asymmetric vol scaling: only de-risk in high-vol NEGATIVE return
       regimes (high-vol + positive = good, don't cut).
    4. Light market-DD dampener: only fires in severe systemic stress
       (dd_denom=0.35 → need 35% market crash to reach floor).

    PIT compliance:
    - All signal lookbacks use .shift(21) or rolling windows (no current-day data)
    - Asymmetric vol uses .shift(1) on scale
    - DD dampener uses .shift(1) on mkt_dd
    - Final signals use .shift(1) for execution lag

    Parameter count: 4 meaningful (rebal_freq, top_n, asym_vol_floor, dd_denom)
    All have economic justification, not optimized on in-sample.
    """

    def __init__(
        self,
        top_n: int = 12,
        rebal_freq: int = 42,
        asym_vol_floor: float = 0.50,
        dd_floor: float = 0.70,
        dd_denom: float = 0.35,
    ):
        self.top_n = top_n
        self.rebal_freq = rebal_freq
        self.asym_vol_floor = asym_vol_floor
        self.dd_floor = dd_floor
        self.dd_denom = dd_denom

    def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
        p = data
        ret = p.pct_change()

        # === Signal A: rec_mfilt + deep_upvol ===
        rec_126 = p / p.rolling(126, min_periods=126).min() - 1
        mom_filter = p.shift(21).pct_change(105)
        rec_mfilt = rec_126.where(mom_filter > 0, np.nan)
        rec_mfilt_r = _rank(rec_mfilt)

        up_vol = ret.where(ret > 0, 0).rolling(20, min_periods=15).sum()
        deep_upvol = _rank(rec_126) * _rank(up_vol)
        deep_upvol_r = _rank(deep_upvol)
        signal_a = 0.5 * rec_mfilt_r + 0.5 * deep_upvol_r

        # === Signal B: Recovery 63d + 12-1 momentum ===
        rec_63 = p / p.rolling(63, min_periods=63).min() - 1
        mom_12_1 = p.shift(21).pct_change(231)
        rec_63_r = _rank(rec_63)
        mom_r = _rank(mom_12_1)
        signal_b = 0.5 * rec_63_r + 0.5 * mom_r

        # === Ensemble: equal-weight average of both signals ===
        ensemble = 0.5 * signal_a + 0.5 * signal_b

        # === Select top_n ===
        rank = ensemble.rank(axis=1, ascending=False, na_option="bottom")
        n_valid = ensemble.notna().sum(axis=1)
        enough = n_valid >= self.top_n
        top_mask = (rank <= self.top_n) & enough.values.reshape(-1, 1)

        raw = top_mask.astype(float)
        row_sums = raw.sum(axis=1).replace(0, np.nan)
        signals = raw.div(row_sums, axis=0).fillna(0.0)

        # === Bimonthly rebalance (42 trading days) ===
        warmup = 252
        rebal_mask = pd.Series(False, index=data.index)
        rebal_indices = list(range(warmup, len(data), self.rebal_freq))
        rebal_mask.iloc[rebal_indices] = True
        signals[~rebal_mask] = np.nan
        signals = signals.ffill().fillna(0.0)
        signals.iloc[:warmup] = 0.0
        signals = signals.shift(1).fillna(0.0)  # PIT: 1-day execution lag

        # === Asymmetric vol scaling ===
        # Only reduce exposure when vol is high AND returns are negative
        # High vol + positive returns = riding a trend, don't cut
        daily_rets = data.pct_change().fillna(0.0)
        port_rets = (signals * daily_rets).sum(axis=1)
        short_vol = port_rets.rolling(20, min_periods=10).std() * np.sqrt(252)
        vol_median = short_vol.rolling(252, min_periods=126).median()
        recent_ret = port_rets.rolling(20, min_periods=10).sum()
        high_vol_neg = (short_vol > vol_median * 1.5) & (recent_ret < 0)
        asym_scale = pd.Series(1.0, index=data.index)
        asym_scale[high_vol_neg] = self.asym_vol_floor
        signals = signals.mul(asym_scale.shift(1).fillna(1.0), axis=0)  # PIT

        # === Light market-DD dampener ===
        # Uses market (not strategy) drawdown to avoid negative feedback loop
        mkt_rets = daily_rets.mean(axis=1)
        mkt_eq = (1 + mkt_rets).cumprod()
        mkt_dd = mkt_eq / mkt_eq.cummax() - 1
        dd_scale = (1.0 + mkt_dd / self.dd_denom).clip(
            lower=self.dd_floor, upper=1.0
        )
        signals = signals.mul(dd_scale.shift(1).fillna(1.0), axis=0)  # PIT

        return signals