 kjh2064
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0587a3f0a0
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feat: Shadow Run Design Phase — 252+ trading-day validation framework
ci / backend (push) Failing after 1s
ci / static (push) Failing after 5s
ci / frontend (push) Failing after 41s
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>
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2026-08-02 07:55:35 +09:00 |
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