#!/usr/bin/env python3 """ Build ``vrp_fund_pitch_multi_sleeve_data.js`` from multi-sleeve merge outputs so ``vrp_fund_pitch.html`` can show real CAGR / Sharpe / max DD, equity curve points, and per-sleeve trade rows (entry/exit, raw vs scaled PnL, risk model, optional full ``src_json`` payload). Inputs (defaults): ``RenTech/data/logs/multi_sleeve_default_equity_daily.csv`` and ``RenTech/data/logs/multi_sleeve_default_ALL_SLEEVES_trade_log.csv``. Re-run after: ``run_multi_sleeve_portfolio.py``. """ from __future__ import annotations import argparse import csv import json import math import sys from pathlib import Path _REPO = Path(__file__).resolve().parents[2] if str(_REPO) not in sys.path: sys.path.insert(0, str(_REPO)) import pandas as pd from RenTech.strategy_stack.portfolio_vrp_plus_vxx import _metrics_block def _str_or(row: dict[str, str], key: str, default: str = "") -> str: return (row.get(key) or "").strip() or default def _float_or_none(row: dict[str, str], key: str) -> float | None: v = row.get(key, "") if not v: return None try: f = float(v) return f if math.isfinite(f) else None except (TypeError, ValueError): return None def _decimal_year(ts: pd.Timestamp) -> float: y = int(ts.year) start = pd.Timestamp(year=y, month=1, day=1) next_y = pd.Timestamp(year=y + 1, month=1, day=1) return y + float((ts - start) / (next_y - start)) def main() -> None: ap = argparse.ArgumentParser(description=__doc__.split("\n\n")[0]) ap.add_argument( "--equity-csv", type=Path, default=_REPO / "RenTech/data/logs/multi_sleeve_default_equity_daily.csv", ) ap.add_argument( "--trades-csv", type=Path, default=_REPO / "RenTech/data/logs/multi_sleeve_default_ALL_SLEEVES_trade_log.csv", ) ap.add_argument( "--out-js", type=Path, default=_REPO / "vrp_fund_pitch_multi_sleeve_data.js", ) ap.add_argument( "--max-src-json-chars", type=int, default=4000, help="Truncate src_json in embedded trade rows (0 = no truncate)", ) args = ap.parse_args() eq_path = args.equity_csv.expanduser().resolve() tr_path = args.trades_csv.expanduser().resolve() out_js = args.out_js.expanduser().resolve() if not eq_path.is_file(): raise SystemExit(f"Missing equity CSV: {eq_path}") if not tr_path.is_file(): raise SystemExit(f"Missing trades CSV: {tr_path}") df = pd.read_csv(eq_path, index_col=0, parse_dates=True) if "eq_full" not in df.columns: raise SystemExit("equity CSV missing eq_full column") eq = df["eq_full"].astype(float) m = _metrics_block(eq, "multi_sleeve") chart = [ {"x": round(_decimal_year(pd.Timestamp(t)), 5), "y": float(eq.loc[t])} for t in eq.index if pd.notna(t) ] trades: list[dict] = [] max_src = int(args.max_src_json_chars) with tr_path.open(encoding="utf-8") as f: rdr = csv.DictReader(f) for row in rdr: sj = row.get("src_json") or "" if max_src > 0 and len(sj) > max_src: sj = sj[: max_src - 3] + "..." trades.append( { "sleeve_id": _str_or(row, "sleeve_id"), "entry_date": _str_or(row, "entry_date"), "exit_date": _str_or(row, "exit_date"), # brokerage-statement columns "legs_display": _str_or(row, "legs_display"), "broker_risk_usd_logged": _float_or_none(row, "broker_risk_usd_logged"), "contracts_qty_logged": _str_or(row, "contracts_qty_logged"), # PnL "pnl_usd_raw_in_log": float(row.get("pnl_usd_raw_in_log") or 0), # merge-scaling fields (kept in CSV for reproducibility; not shown in main table) "pnl_usd_scaled": float(row.get("pnl_usd_scaled") or 0), "sleeve_scale_factor": float(row.get("sleeve_scale_factor") or 0), "sleeve_risk_ref_usd": float(row.get("sleeve_risk_ref_usd") or 0), "sleeve_capital_usd": float(row.get("sleeve_capital_usd") or 0), "risk_model": _str_or(row, "risk_model"), "source_jsonl": _str_or(row, "source_jsonl"), "src_json": sj, } ) sleeve_ids = sorted({t["sleeve_id"] for t in trades if t.get("sleeve_id")}) meta = { "equity_csv": str(eq_path.relative_to(_REPO)) if str(eq_path).startswith(str(_REPO)) else str(eq_path), "trades_csv": str(tr_path.relative_to(_REPO)) if str(tr_path).startswith(str(_REPO)) else str(tr_path), "calendar_start": str(eq.index.min().date()) if len(eq) else "", "calendar_end": str(eq.index.max().date()) if len(eq) else "", "n_equity_days": int(len(eq)), "n_trades": len(trades), "sleeve_ids": sleeve_ids, "return_pct": float(m["return_pct"]) if math.isfinite(float(m["return_pct"])) else None, "cagr_pct": float(m["cagr_pct"]) if math.isfinite(float(m["cagr_pct"])) else None, "sharpe": float(m["sharpe"]) if math.isfinite(float(m["sharpe"])) else None, "max_dd_pct": float(m["max_dd_pct"]) if math.isfinite(float(m["max_dd_pct"])) else None, "end_equity": float(m["end_equity"]) if math.isfinite(float(m["end_equity"])) else None, "start_capital": float(m["start_capital"]), "years": float(m["years"]) if math.isfinite(float(m["years"])) else None, } payload = { "MULTI_SLEEVE_META": meta, "MULTI_SLEEVE_EQUITY_CHART": chart, "MULTI_SLEEVE_TRADES": trades, } out_js.parent.mkdir(parents=True, exist_ok=True) # Single assignment so ``file://`` pages can load without CORS fetch. body = ( "// AUTO-GENERATED by RenTech/strategy_stack/generate_vrp_fund_pitch_multi_sleeve_assets.py\n" "// Do not edit by hand; re-run the generator after refreshing merge CSVs.\n" "window.MULTI_SLEEVE_BUNDLE = " + json.dumps(payload, separators=(",", ":")) + ";\n" "window.MULTI_SLEEVE_META = window.MULTI_SLEEVE_BUNDLE.MULTI_SLEEVE_META;\n" "window.MULTI_SLEEVE_EQUITY_CHART = window.MULTI_SLEEVE_BUNDLE.MULTI_SLEEVE_EQUITY_CHART;\n" "window.MULTI_SLEEVE_TRADES = window.MULTI_SLEEVE_BUNDLE.MULTI_SLEEVE_TRADES;\n" ) out_js.write_text(body, encoding="utf-8") print(f"Wrote {out_js} ({len(body) // 1024} KB)") if __name__ == "__main__": main()