executor/strategies/services/report.py

import logging
import os

import matplotlib
matplotlib.use('Agg')
import matplotlib.pyplot as plt
from matplotlib.backends.backend_pdf import PdfPages

from django.conf import settings

logger = logging.getLogger(__name__)


def generate_backtest_report(result, execution_id):
    """백테스트 결과를 PDF 리포트로 생성

    Args:
        result: run_backtest()가 반환한 결과 딕셔너리
        execution_id: StrategyExecution ID

    Returns:
        MEDIA_ROOT 기준 상대 경로 (예: 'reports/backtest_1.pdf')
    """
    reports_dir = os.path.join(settings.MEDIA_ROOT, 'reports')
    os.makedirs(reports_dir, exist_ok=True)

    relative_path = f'reports/backtest_{execution_id}.pdf'
    file_path = os.path.join(settings.MEDIA_ROOT, relative_path)

    with PdfPages(file_path) as pdf:
        _draw_summary_page(pdf, result)
        _draw_equity_curve_page(pdf, result)

    logger.info(f'PDF report generated: {file_path}')
    return relative_path


def _draw_summary_page(pdf, result):
    """페이지 1: 입력 파라미터 + 성과 지표"""
    fig, (ax_params, ax_metrics) = plt.subplots(2, 1, figsize=(8.27, 11.69))
    fig.suptitle(f"Backtest Report: {result.get('strategy', 'N/A')}", fontsize=16, fontweight='bold', y=0.97)

    # 입력 파라미터 테이블
    ax_params.set_title('Input Parameters', fontsize=13, fontweight='bold', loc='left', pad=12)
    ax_params.axis('off')

    variant = result.get('variant', '')
    param_data = [
        ['Strategy', result.get('strategy', 'N/A')],
        ['Variant', variant if variant else 'N/A'],
        ['Period', f"{result.get('backtest_start_date', '')} ~ {result.get('backtest_end_date', '')}"],
        ['Initial Capital', f"${result.get('initial_capital', 0):,.0f}"],
        ['Final Capital', f"${result.get('final_capital', 0):,.0f}"],
    ]

    param_table = ax_params.table(
        cellText=param_data,
        colLabels=['Parameter', 'Value'],
        colWidths=[0.35, 0.55],
        loc='center',
        cellLoc='left',
    )
    param_table.auto_set_font_size(False)
    param_table.set_fontsize(10)
    param_table.scale(1, 1.6)
    for (row, col), cell in param_table.get_celld().items():
        if row == 0:
            cell.set_facecolor('#4472C4')
            cell.set_text_props(color='white', fontweight='bold')
        else:
            cell.set_facecolor('#F2F2F2' if row % 2 == 0 else 'white')

    # 성과 지표 테이블
    ax_metrics.set_title('Performance Metrics', fontsize=13, fontweight='bold', loc='left', pad=12)
    ax_metrics.axis('off')

    metrics = result.get('metrics', {})
    metrics_data = [
        ['CAGR', f"{metrics.get('cagr', 0):.2f}%"],
        ['Total Return', f"{metrics.get('total_return', 0):.2f}%"],
        ['Annual Volatility', f"{metrics.get('annual_volatility', 0):.2f}%"],
        ['Max Drawdown', f"{metrics.get('max_drawdown', 0):.2f}%"],
        ['Sharpe Ratio', f"{metrics.get('sharpe_ratio', 0):.2f}"],
        ['Sortino Ratio', f"{metrics.get('sortino_ratio', 0):.2f}"],
        ['Calmar Ratio', f"{metrics.get('calmar_ratio', 0):.2f}"],
        ['Win Rate (Monthly)', f"{metrics.get('win_rate', 0):.2f}%"],
        ['Best Month', f"{metrics.get('best_month', 0):.2f}%"],
        ['Worst Month', f"{metrics.get('worst_month', 0):.2f}%"],
    ]

    metrics_table = ax_metrics.table(
        cellText=metrics_data,
        colLabels=['Metric', 'Value'],
        colWidths=[0.35, 0.55],
        loc='center',
        cellLoc='left',
    )
    metrics_table.auto_set_font_size(False)
    metrics_table.set_fontsize(10)
    metrics_table.scale(1, 1.6)
    for (row, col), cell in metrics_table.get_celld().items():
        if row == 0:
            cell.set_facecolor('#4472C4')
            cell.set_text_props(color='white', fontweight='bold')
        else:
            cell.set_facecolor('#F2F2F2' if row % 2 == 0 else 'white')

    fig.tight_layout(rect=[0, 0, 1, 0.95])
    pdf.savefig(fig)
    plt.close(fig)


def _draw_equity_curve_page(pdf, result):
    """페이지 2: 에쿼티 커브 차트"""
    equity_curve = result.get('daily_equity_curve', [])
    if not equity_curve:
        return

    dates = [entry['date'] for entry in equity_curve]
    values = [entry['value'] for entry in equity_curve]

    fig, ax = plt.subplots(figsize=(8.27, 11.69 / 2))
    fig.suptitle('Equity Curve', fontsize=14, fontweight='bold')

    ax.plot(range(len(values)), values, color='#4472C4', linewidth=1.2)
    ax.fill_between(range(len(values)), values, alpha=0.1, color='#4472C4')
    ax.set_ylabel('Portfolio Value ($)')
    ax.set_xlabel('Date')
    ax.grid(True, alpha=0.3)
    ax.yaxis.set_major_formatter(plt.FuncFormatter(lambda x, p: f'${x:,.0f}'))

    # x축 레이블: 적당한 간격으로 날짜 표시
    num_labels = min(8, len(dates))
    if num_labels > 0:
        step = max(1, len(dates) // num_labels)
        tick_positions = list(range(0, len(dates), step))
        tick_labels = [dates[i] for i in tick_positions]
        ax.set_xticks(tick_positions)
        ax.set_xticklabels(tick_labels, rotation=45, ha='right', fontsize=8)

    # Drawdown subplot
    drawdown_series = result.get('drawdown_series', [])
    if drawdown_series:
        ax2 = fig.add_axes([0.125, 0.08, 0.775, 0.2])
        dd_values = [d['drawdown'] for d in drawdown_series]
        ax2.fill_between(range(len(dd_values)), dd_values, color='#C0504D', alpha=0.4)
        ax2.plot(range(len(dd_values)), dd_values, color='#C0504D', linewidth=0.8)
        ax2.set_ylabel('Drawdown (%)')
        ax2.grid(True, alpha=0.3)
        ax2.set_xlim(ax.get_xlim())
        ax2.set_xticklabels([])

        # 메인 차트 여백 조정
        ax.set_position([0.125, 0.35, 0.775, 0.55])

    fig.tight_layout(rect=[0, 0.05, 1, 0.95])
    pdf.savefig(fig)
    plt.close(fig)