"""04 | 动量轮动策略
目标：从"单票择时"升级到"多标的轮动"。
策略：每月末看过去 N 日涨幅，持有最强的一只。
"""
import pandas as pd, numpy as np
from lib_quant import get_daily, net_value, stats

POOL = {"600519": "贵州茅台", "000001": "平安银行", "300750": "宁德时代",
        "601318": "中国平安", "000858": "五粮液"}
LOOKBACK, FREQ = 20, 20   # 回看20日，每20个交易日调仓

px = {}
for c in POOL:
    d = get_daily(c, "20200101", "20241231")[["日期", "收盘"]].set_index("日期")
    px[c] = d["收盘"]
prices = pd.DataFrame(px).dropna()
mom = prices.pct_change(LOOKBACK)

rets = []
cur = None
for i in range(LOOKBACK, len(prices) - 1):
    if (i - LOOKBACK) % FREQ == 0:                 # 调仓日
        cur = mom.iloc[i].idxmax()                 # 动量最强
    if cur is not None:
        r = prices[cur].iloc[i + 1] / prices[cur].iloc[i] - 1
        rets.append(r)
    else:
        rets.append(0.0)

s = pd.Series(rets)
print("== 动量轮动 ==", stats(s))
print("== 等权买入持有 ==", stats(prices.pct_change().mean(axis=1).iloc[LOOKBACK:]))

# 思考题：
# 1) 换 LOOKBACK (10/60/120) 看结果——动量在A股有效吗？
# 2) 为什么不持有全部、按动量加权？(提示: 集中 vs 分散)