Merge pull request 'feat: Sprint-3 (펀더멘털 피드 완성, MDD 모니터링 구축, Gitea CI/CD 파이프라인 추가)' (#11) from feature/wbs-sprint-3 into main

Reviewed-on: http://192.168.123.100:8418/KimJaeHyun/myfinance/pulls/11

.gitea/workflows/ci.yml

@@ -0,0 +1,48 @@
+name: Quant Engine CI/CD Pipeline
+
+on:
+  push:
+    branches: [ main ]
+  pull_request:
+    branches: [ main ]
+
+jobs:
+  validate-and-build:
+    runs-on: ubuntu-latest
+
+    steps:
+    - name: Checkout Code
+      uses: actions/checkout@v3
+
+    - name: Set up Python
+      uses: actions/setup-python@v4
+      with:
+        python-version: '3.10'
+
+    - name: Set up Node.js
+      uses: actions/setup-node@v3
+      with:
+        node-version: '18'
+
+    - name: Install Python Dependencies
+      run: |
+        python -m pip install --upgrade pip
+        pip install yfinance pandas openpyxl pyyaml
+
+    - name: Install Node Dependencies
+      run: npm install
+
+    - name: Validate Specs
+      run: python tools/validate_specs.py
+
+    - name: Validate Formula Registry
+      run: python tools/validate_formula_registry.py
+
+    - name: Validate Golden Case Coverage
+      run: python tools/validate_golden_coverage_100.py
+
+    - name: Run Full Integration Gate
+      run: python tools/run_release_dag_v3.py --mode release --strict
+
+    - name: Build Operational Bundle
+      run: python tools/build_bundle.py

docs/ROADMAP_WBS.md

@@ -598,10 +598,10 @@ CI 게이트:
 ### Sprint-3 (4주): 펀더멘털 + 성과 기반 구축
 
 ```
-[ ] WBS-2.1: DART 재무데이터 수집 파이프라인 구현
+[x] WBS-2.1: DART 재무데이터 수집 파이프라인 구현
-[ ] WBS-3.4: MDD 일별 기록 테이블 생성 시작
+[x] WBS-3.4: MDD 일별 기록 테이블 생성 시작
 [ ] WBS-4.1: T+20 레저 첫 30건 달성 (2026-07-15)
-[ ] WBS-5.1: Gitea CI/CD 기본 파이프라인 구축
+[x] WBS-5.1: Gitea CI/CD 기본 파이프라인 구축
 ```
 
 ---

src/gas_adapter_parts/gdc_01_fetch_fundamentals.gs

@@ -2556,9 +2556,82 @@ function runDataFeed() {
   // F4: account_snapshot trailing stop 일괄 갱신
   applyTrailingStopUpdates_();
 
+  // [WBS-3.4] 일별 자산 총액 및 고점, MDD를 기록
+  logDailyAssetHistory_(totalAssetKrw_, today);
+
   // 개별 실행에서는 기존 연쇄를 유지하고, run_all() 모드에서는 상위 오케스트레이터가 다음 단계를 수행한다.
   if (!isRunAllOrchestrated_()) {
     runSectorFlow();
   }
 }
 
+/**
+ * [WBS-3.4] 일별 자산 총액 및 고점, MDD를 기록한다.
+ */
+function logDailyAssetHistory_(totalAsset, todayStr) {
+  try {
+    if (!Number.isFinite(totalAsset) || totalAsset <= 0) {
+      Logger.log("[MDD_GUARD] totalAsset이 유효하지 않아 일별 기록을 건너뜁니다.");
+      return;
+    }
+    
+    // daily_history 시트 획득 또는 생성
+    var ss = SpreadsheetApp.getActiveSpreadsheet();
+    var sheet = ss.getSheetByName("daily_history");
+    if (!sheet) {
+      sheet = ss.insertSheet("daily_history");
+      // 헤더 작성
+      sheet.appendRow(["Date", "Total_Asset_KRW", "Peak_Asset_KRW", "MDD_Pct"]);
+      Logger.log("[MDD_GUARD] daily_history 시트를 신규 생성하고 헤더를 작성했습니다.");
+    }
+    
+    // 기존 데이터 읽기
+    var data = sheet.getDataRange().getValues();
+    
+    // 오늘 날짜가 이미 존재하는지 체크 (중복 기록 방지)
+    var todayIndex = -1;
+    for (var i = 1; i < data.length; i++) {
+      var dateVal = data[i][0];
+      var dateStr = "";
+      if (dateVal instanceof Date) {
+        dateStr = Utilities.formatDate(dateVal, "Asia/Seoul", "yyyy-MM-dd");
+      } else {
+        dateStr = String(dateVal).trim();
+      }
+      if (dateStr === todayStr) {
+        todayIndex = i + 1; // 1-based index
+        break;
+      }
+    }
+    
+    // 역사적 고점(Peak) 계산
+    var peakAsset = totalAsset;
+    for (var i = 1; i < data.length; i++) {
+      if (i + 1 === todayIndex) continue;
+      var assetVal = parseFloat(data[i][1]);
+      if (Number.isFinite(assetVal) && assetVal > peakAsset) {
+        peakAsset = assetVal;
+      }
+    }
+    
+    // MDD 계산
+    var mddPct = 0.0;
+    if (peakAsset > 0) {
+      mddPct = parseFloat(((peakAsset - totalAsset) / peakAsset * 100).toFixed(2));
+    }
+    
+    if (todayIndex > 0) {
+      // 이미 오늘 날짜가 있으면 해당 행 업데이트
+      sheet.getRange(todayIndex, 1, 1, 4).setValues([[todayStr, totalAsset, peakAsset, mddPct]]);
+      Logger.log("[MDD_GUARD] 오늘(" + todayStr + ") 자산 기록을 업데이트했습니다: Asset=" + totalAsset + ", Peak=" + peakAsset + ", MDD=" + mddPct + "%");
+    } else {
+      // 없으면 새 행 추가
+      sheet.appendRow([todayStr, totalAsset, peakAsset, mddPct]);
+      Logger.log("[MDD_GUARD] 오늘(" + todayStr + ") 자산 기록을 추가했습니다: Asset=" + totalAsset + ", Peak=" + peakAsset + ", MDD=" + mddPct + "%");
+    }
+  } catch(e) {
+    Logger.log("[MDD_GUARD] daily_history 기록 실패: " + e.message);
+  }
+}
+
+

tools/build_realized_performance_v1.py

@@ -231,7 +231,18 @@ def main() -> int:
     t20_stats = _stats_block(t20_replay_returns, 20, "T+20_replay",
                              estimated=True, source="REPLAY_FROM_KRX_EOD (estimated=true)")
 
-    # ── 현재 포트폴리오 MDD 시나리오 ─────────────────────────────────────────
+    # ── 현재 포트폴리오 MDD 시나리오 및 daily_history 기반 실현 MDD 산출 ───────
+    daily_hist = payload.get("data", {}).get("daily_history") or []
+    realized_max_mdd = None
+    if daily_hist:
+        mdd_values = [
+            _f(r.get("MDD_Pct") or r.get("mdd_pct"))
+            for r in daily_hist
+            if _f(r.get("MDD_Pct") or r.get("mdd_pct")) is not None
+        ]
+        if mdd_values:
+            realized_max_mdd = round(max(mdd_values), 2)
+
     peak = _f(harness.get("portfolio_peak_krw"))
     total = _f(harness.get("total_asset_krw"))
     current_dd = {
@@ -241,6 +252,7 @@ def main() -> int:
             round((peak - total) / peak * 100, 2) if peak and total and peak > 0
             else 0.0
         ),
+        "realized_max_drawdown_pct": realized_max_mdd if realized_max_mdd is not None else INSUF,
         "worst_case_scenario": _worst_case_mdd(harness),
     }
 
@@ -248,11 +260,12 @@ def main() -> int:
     insufficient = {
         "CAGR_realized_1y": INSUF,
         "sharpe_realized_1y": INSUF,
-        "MDD_realized": INSUF,
+        "MDD_realized": realized_max_mdd if realized_max_mdd is not None else INSUF,
         "win_rate_realized_closed_trades": INSUF,
         "profit_factor": INSUF,
         "slippage_impact": INSUF,
         "transaction_cost_impact": INSUF,
+
         "in_sample_vs_oos_gap": INSUF,
         "reason": "1년 이상 청산 완료 거래 이력 없음 — backdata MAE/MFE/pnl 전 행 공란",
     }

tools/ingest_fundamental_raw.py

@@ -33,85 +33,104 @@ import urllib.request
 from datetime import date
 from pathlib import Path
 from typing import Any
+import yfinance as yf
 
 ROOT = Path(__file__).resolve().parents[1]
 DEFAULT_JSON = ROOT / "GatherTradingData.json"
 DEFAULT_OUT = ROOT / "Temp" / "fundamental_raw_v1.json"
 
-# ── Yahoo Finance crumb 세션 (모듈 수준 공유) ────────────────────────────────
+def _yahoo_fundamentals_yf(ticker: str) -> dict[str, float]:
-_yahoo_cj = http.cookiejar.CookieJar()
+    """yfinance 라이브러리를 사용하여 ROE/OPM/beta/revenue/OCF/FCF/NetDebt를 가져온다."""
-_yahoo_op = urllib.request.build_opener(urllib.request.HTTPCookieProcessor(_yahoo_cj))
+    result: dict[str, float] = {}
-_yahoo_op.addheaders = [("User-Agent", "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36")]
-_yahoo_crumb: str | None = None
-
-
-def _yahoo_get_crumb() -> str | None:
-    """야후 Finance crumb 획득. 실패 시 None."""
-    global _yahoo_crumb
-    if _yahoo_crumb:
-        return _yahoo_crumb
-    try:
-        _yahoo_op.open("https://fc.yahoo.com", timeout=8)
-        _yahoo_op.open("https://finance.yahoo.com/quote/005930.KS", timeout=8)
-        with _yahoo_op.open("https://query1.finance.yahoo.com/v1/test/getcrumb", timeout=8) as r:
-            _yahoo_crumb = r.read().decode("utf-8", errors="replace").strip()
-        return _yahoo_crumb
-    except Exception:
-        return None
-
-
-def _yahoo_fundamentals(ticker: str) -> dict[str, float]:
-    """야후 v10 quoteSummary에서 ROE/OPM/beta/revenue를 가져온다.
-    PE/PBR/EPS는 한국주식에서 야후가 미제공 → Naver/data_feed가 우선.
-    """
-    crumb = _yahoo_get_crumb()
-    if not crumb:
-        return {}
-    sym = f"{ticker}.KS" if not ticker.startswith("0") or len(ticker) != 6 else f"{ticker}.KS"
-    # ETF-style ticker skip (0xxxX0 pattern)
     if re.match(r"^\d{4}[A-Z]\d$", ticker):
-        return {}
-    modules = "defaultKeyStatistics,financialData,summaryDetail"
-    url = (
-        f"https://query1.finance.yahoo.com/v10/finance/quoteSummary/"
-        f"{urllib.parse.quote(sym)}?modules={modules}&crumb={urllib.parse.quote(crumb)}"
-    )
-    try:
-        with _yahoo_op.open(url, timeout=10) as r:
-            if r.status != 200:
-                return {}
-            d = json.loads(r.read().decode("utf-8", errors="replace"))
-        res = (d.get("quoteSummary") or {}).get("result") or [{}]
-        obj = res[0] if res else {}
-        fd = obj.get("financialData") or {}
-        ks = obj.get("defaultKeyStatistics") or {}
-        sd = obj.get("summaryDetail") or {}
-
-        def rv(o: dict, k: str) -> float | None:
-            v = o.get(k)
-            raw = v.get("raw") if isinstance(v, dict) else v
-            return float(raw) if raw is not None else None
-
-        result: dict[str, float] = {}
-        if rv(fd, "returnOnEquity") is not None:
-            result["roe_pct"] = round(rv(fd, "returnOnEquity") * 100, 2)
-        if rv(fd, "operatingMargins") is not None:
-            result["opm_pct"] = round(rv(fd, "operatingMargins") * 100, 2)
-        if rv(ks, "trailingEps") is not None:
-            result["eps_krw"] = rv(ks, "trailingEps")
-        if rv(sd, "trailingPE") is not None:
-            result["per"] = rv(sd, "trailingPE")
-        if rv(ks, "priceToBook") is not None:
-            result["pbr"] = rv(ks, "priceToBook")
-        if rv(fd, "totalRevenue") is not None:
-            result["revenue_krw"] = rv(fd, "totalRevenue")
-        if rv(fd, "operatingCashflow") is not None:
-            result["ocf_krw"] = rv(fd, "operatingCashflow")
-        if rv(fd, "freeCashflow") is not None:
-            result["fcf_krw"] = rv(fd, "freeCashflow")
         return result
-    except Exception:
+
-        return {}
+    # 1. Ticker 객체 획득 (KOSPI/KOSDAQ 자동 Fallback)
+    t = None
+    if not ticker.isdigit():
+        t = yf.Ticker(ticker)
+    else:
+        for suffix in [".KS", ".KQ"]:
+            temp_t = yf.Ticker(f"{ticker}{suffix}")
+            try:
+                info = temp_t.info
+                if info and (info.get("longName") or info.get("shortName")):
+                    t = temp_t
+                    break
+            except Exception:
+                continue
+
+    if not t:
+        return result
+
+    try:
+        info = t.info
+
+        def safe_float(v):
+            if v is None:
+                return None
+            try:
+                return float(v)
+            except (ValueError, TypeError):
+                return None
+
+        # Info metrics
+        roe = safe_float(info.get("returnOnEquity"))
+        if roe is not None:
+            result["roe_pct"] = round(roe * 100, 2)
+
+        opm = safe_float(info.get("operatingMargins"))
+        if opm is not None:
+            result["opm_pct"] = round(opm * 100, 2)
+
+        eps = safe_float(info.get("trailingEps")) or safe_float(info.get("forwardEps"))
+        if eps is not None:
+            result["eps_krw"] = eps
+
+        pe = safe_float(info.get("forwardPE")) or safe_float(info.get("trailingPE"))
+        if pe is not None:
+            result["per"] = pe
+
+        pbr = safe_float(info.get("priceToBook"))
+        if pbr is not None:
+            result["pbr"] = pbr
+
+        rev = safe_float(info.get("totalRevenue"))
+        if rev is not None:
+            result["revenue_krw"] = rev
+
+        net_debt = safe_float(info.get("netDebt"))
+        if net_debt is None:
+            tot_debt = safe_float(info.get("totalDebt"))
+            tot_cash = safe_float(info.get("totalCash"))
+            if tot_debt is not None and tot_cash is not None:
+                net_debt = tot_debt - tot_cash
+        if net_debt is not None:
+            result["net_debt_krw"] = net_debt
+
+
+        # Cashflow metrics
+        try:
+            cf = t.cashflow
+            if cf is not None and not cf.empty:
+                fcf_idx = [idx for idx in cf.index if "Free Cash Flow" in str(idx)]
+                if fcf_idx:
+                    fcf_val = safe_float(cf.loc[fcf_idx[0]].iloc[0])
+                    if fcf_val is not None:
+                        result["fcf_krw"] = fcf_val
+
+                ocf_idx = [idx for idx in cf.index if "Operating Cash Flow" in str(idx)]
+                if ocf_idx:
+                    ocf_val = safe_float(cf.loc[ocf_idx[0]].iloc[0])
+                    if ocf_val is not None:
+                        result["ocf_krw"] = ocf_val
+        except Exception:
+            pass
+
+    except Exception as e:
+        print(f"Error fetching yfinance details for {ticker}: {e}")
+
+    return result
 
 # ETF 식별자 패턴 (이름 포함)
 _ETF_NAME_PATTERNS = ["KODEX", "TIGER", "KINDEX", "KOSEF", "ARIRANG", "TIMEFOLIO", "HANARO"]
@@ -285,7 +304,7 @@ def _collect_ticker(
     )
     if use_yahoo and needs_yahoo and not row["is_etf"]:
         try:
-            yahoo = _yahoo_fundamentals(ticker)
+            yahoo = _yahoo_fundamentals_yf(ticker)
             if yahoo:
                 for k, v in yahoo.items():
                     if row.get(k) is None and v is not None: