
# ============================================================
# 中文名称: GTJA Alpha #190
# 简要说明: 国泰君安191短周期交易型alpha因子第190号，详见公式定义。
# 典型用途: 在A股市场经中性化处理后用于选股或股指期货日内交易。
# ============================================================
"""GTJA Alpha 190 (国泰君安 191 短周期交易型 alpha 因子, 2014).

Formula (verbatim from the report):
    LOG((COUNT(CLOSE/DELAY(CLOSE,1)-1>(CLOSE/DELAY(CLOSE,19))^(1/20)-1,20) - 1) * SUMIF((CLOSE/DELAY(CLOSE,1)-1-(CLOSE/DELAY(CLOSE,19))^(1/20)-1)^2, ..., 20) / ((COUNT(...) ) * SUMIF(..., ..., 20)))

Notes: Complex log of ratio of conditional squared deviations.
"""
from __future__ import annotations

import numpy as np
import pandas as pd

from src.factors.base import (
    decay_linear,
    delta,
    rank,
    safe_div,
    scale,
    signed_power,
    ts_argmax,
    ts_argmin,
    ts_corr,
    ts_cov,
    ts_max,
    ts_mean,
    ts_min,
    ts_rank,
    ts_std,
)

ALPHA_ID = "gtja191_190"

__alpha_meta__ = {
    'id': 'gtja191_190',
    'theme': ['momentum'],
    'formula_latex': 'see body',
    'columns_required': ['close'],
    'extras_required': [],
    'universe': ['equity_cn'],
    'frequency': ['1d'],
    'decay_horizon': 20,
    'min_warmup_bars': 39,
    'notes': 'Complex log of ratio of conditional squared deviations.',
}


def compute(panel):
    """Compute gtja191_190.

    Args:
        panel: dict[str, pd.DataFrame] with at least the required columns.

    Returns:
        pd.DataFrame with index = panel["close"].index, columns = panel["close"].columns.
    """
    c = panel["close"]
    ret = safe_div(c, c.shift(1)) - 1.0
    geo = signed_power(safe_div(c, c.shift(19)), 1.0 / 20.0) - 1.0
    cond_up = (ret > geo).astype("float64")
    cond_dn = (ret < geo).astype("float64")
    cnt_up = cond_up.rolling(20).sum() - 1.0
    cnt_dn = cond_dn.rolling(20).sum()
    sumif_dn = (((ret - geo) ** 2) * cond_dn).rolling(20).sum()
    sumif_up = (((ret - geo) ** 2) * cond_up).rolling(20).sum()
    out = np.log(safe_div(cnt_up * sumif_dn, cnt_dn * sumif_up).replace([0, np.inf, -np.inf], np.nan))
    return out
