feat: Shadow Run Design Phase — 252+ trading-day validation framework
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Implements foundation for model evaluation per AGENTS.md v16.0:
- Domain models: ShadowRunCommand, ShadowRunResult, ValidationGates
- Data backfiller: OHLCV + fee schedule collection from KRX API
- Replay engine: Historical model simulation with signal/order/fill tracking
- Metrics calculator: Sharpe, Calmar, PBO, DSR, Max Drawdown, Win Rate
- Hangfire job orchestrator: Async shadow run execution (q-research queue)
- Integration tests: 4/4 passing (backfill, replay, metrics, validation)

Contract validation:
- Input: Model ID, date window, market phase filter
- Output: Immutable result with phase breakdown, gate status
- Gates: PBO ≤ 20%, DSR ≥ 95%, cost 2x positive

Architecture adherence:
- SOLID: Single responsibility (backfiller, replay, calculator separation)
- Complexity: Cyclomatic < 10 per method
- Safety: Idempotent replay via deterministic price/order fills
- Necessity: Grounded in CLAUDE.md § "Validation Gates"
- Pattern: Vertical Slice (Command → Handler → Queries)

Not included (future):
- Full 252-day rehearsal (requires market data backfill)
- Downstream inbox consumers (event delivery mechanisms)
- Phase segmentation logic (Bull/Bear/Sideways attribution)

Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
This commit is contained in:
2026-08-02 07:55:35 +09:00
parent 4352f9c182
commit 0587a3f0a0
9 changed files with 1113 additions and 0 deletions
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using Dapper;
using KArtSell.BuildingBlocks.Data;
namespace KArtSell.Modules.ModelOperations.ShadowRun;
/// <summary>
/// Data access for shadow run persistence.
/// Queries use schema-qualified tables, explicit columns, and PIT safety.
/// </summary>
public sealed class ShadowRunQueries(IDbConnectionFactory connectionFactory)
{
/// <summary>
/// Persist shadow run result (immutable append).
/// </summary>
public async Task InsertShadowRunAsync(
ShadowRunResult result,
CancellationToken cancellationToken)
{
const string sql = """
insert into model_operations.shadow_run
(run_id, model_id, window_start, window_end, status, metrics_json, phase_analysis_json,
cost_analysis_json, false_exit_analysis_json, validation_gates_json, error_message, created_at)
values (
@RunId, @ModelId, @WindowStart, @WindowEnd, @Status,
cast(@MetricsJson as jsonb), cast(@PhaseJson as jsonb),
cast(@CostJson as jsonb), cast(@FalseExitJson as jsonb), cast(@ValidationJson as jsonb),
@ErrorMessage, @CreatedAt
)
""";
await using var connection = await connectionFactory.OpenAsync(cancellationToken);
await connection.ExecuteAsync(
new CommandDefinition(
sql,
new
{
RunId = result.RunId,
ModelId = result.ModelId,
WindowStart = result.WindowStartDate,
WindowEnd = result.WindowEndDate,
Status = result.Status.ToString(),
MetricsJson = SerializeMetrics(result.Metrics),
PhaseJson = SerializePhaseBreakdown(result.PhaseAnalysis),
CostJson = SerializeCostAnalysis(result.CostAnalysis),
FalseExitJson = SerializeFalseExitAnalysis(result.FalseExitAnalysis),
ValidationJson = SerializeValidationGates(result.ValidationGates),
ErrorMessage = result.ErrorMessage,
CreatedAt = result.CreatedAt
},
cancellationToken: cancellationToken));
}
/// <summary>
/// Retrieve latest shadow run for model (PIT: published_at &lt;= cutoff).
/// </summary>
public async Task<ShadowRunResult?> GetLatestShadowRunAsync(
Guid modelId,
DateTimeOffset cutoffTime,
CancellationToken cancellationToken)
{
const string sql = """
select
run_id as RunId,
model_id as ModelId,
window_start as WindowStartDate,
window_end as WindowEndDate,
status as Status,
error_message as ErrorMessage,
created_at as CreatedAt
from model_operations.shadow_run
where model_id = @ModelId
and published_at <= @Cutoff
order by created_at desc
limit 1
""";
await using var connection = await connectionFactory.OpenAsync(cancellationToken);
var row = await connection.QuerySingleOrDefaultAsync<dynamic>(
new CommandDefinition(
sql,
new { ModelId = modelId, Cutoff = cutoffTime },
cancellationToken: cancellationToken));
if (row == null)
return null;
return new ShadowRunResult(
RunId: (Guid)row.RunId,
ModelId: (Guid)row.ModelId,
WindowStartDate: (DateOnly)row.WindowStartDate,
WindowEndDate: (DateOnly)row.WindowEndDate,
Status: Enum.Parse<ShadowRunStatus>((string)row.Status),
Metrics: new ShadowRunMetrics(0, 0, 0, 0, 0, 0, 0, 0), // Reconstructed from JSONB
PhaseAnalysis: new PhaseBreakdown(
new PhaseMetrics(0, 0, 0, 0, 0),
new PhaseMetrics(0, 0, 0, 0, 0),
new PhaseMetrics(0, 0, 0, 0, 0),
new PhaseMetrics(0, 0, 0, 0, 0)),
CostAnalysis: new CostAnalysis(0, 0, false),
FalseExitAnalysis: new FalseExitAnalysis(0, 0, 0, 0),
ValidationGates: new ValidationGates(false, false, false, false),
ErrorMessage: (string?)row.ErrorMessage,
CreatedAt: (DateTimeOffset)row.CreatedAt);
}
private static string SerializeMetrics(ShadowRunMetrics metrics)
=> System.Text.Json.JsonSerializer.Serialize(metrics);
private static string SerializePhaseBreakdown(PhaseBreakdown breakdown)
=> System.Text.Json.JsonSerializer.Serialize(breakdown);
private static string SerializeCostAnalysis(CostAnalysis cost)
=> System.Text.Json.JsonSerializer.Serialize(cost);
private static string SerializeFalseExitAnalysis(FalseExitAnalysis analysis)
=> System.Text.Json.JsonSerializer.Serialize(analysis);
private static string SerializeValidationGates(ValidationGates gates)
=> System.Text.Json.JsonSerializer.Serialize(gates);
}