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Merge pull request 'feat: DATA_GATED 진척도 추적 + 팩터 shadow 자격 평가 + routing_gate 실측 보정 (DAG 67step)' (#45) from feature/enhance-data-gated-tracking into main

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feat: DATA_GATED 진척도 추적 + 팩터 shadow 자격 평가 + routing_gate 실측 보정
This commit is contained in:
김재현
2026-06-14 12:40:07 +09:00
parent 99e0d7d73e ac6437b840
commit 6fc58cfa45
5 changed files with 454 additions and 6 deletions
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spec/13_formula_registry.yaml
+6
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@@ -88,10 +88,13 @@ formula_registry:
- ALGORITHM_GUIDANCE_PROOF_V1
- CANONICAL_ARTIFACT_RESOLVER_V1
- COMPLETION_GAP_V1
- DATA_GATED_PROGRESS_V1
- FACTOR_SHADOW_ELIGIBILITY_V1
- FINAL_EXECUTION_DECISION_V2
- FORMULA_REGISTRY_SYNC_V1
- HORIZON_REBALANCE_PLAN_V1
- PIPELINE_RUNTIME_PROFILE_V1
- STRATEGY_ROUTING_AUDIT_V1
implementation_map:
REGIME_CONDITIONAL_MACRO_FACTOR_V1: tools/build_predictive_alpha_dialectic_engine_v2.py:NF1
REBOUND_CAPTURE_THESIS_FACTOR_V1: tools/build_predictive_alpha_dialectic_engine_v2.py:NF2
@@ -107,10 +110,13 @@ formula_registry:
ALGORITHM_GUIDANCE_PROOF_V1: tools/build_algorithm_guidance_proof_v1.py
CANONICAL_ARTIFACT_RESOLVER_V1: tools/validate_canonical_artifact_resolver_v1.py
COMPLETION_GAP_V1: tools/build_completion_gap_v1.py
DATA_GATED_PROGRESS_V1: tools/build_data_gated_progress_v1.py
FACTOR_SHADOW_ELIGIBILITY_V1: tools/build_factor_shadow_eligibility_v1.py
FINAL_EXECUTION_DECISION_V2: tools/build_final_execution_decision_v2.py
FORMULA_REGISTRY_SYNC_V1: tools/build_formula_registry_sync_v1.py
HORIZON_REBALANCE_PLAN_V1: tools/build_horizon_rebalance_plan_v1.py
PIPELINE_RUNTIME_PROFILE_V1: src/quant_engine/pipeline_runtime_anomaly_lib_v1.py
STRATEGY_ROUTING_AUDIT_V1: tools/build_strategy_routing_audit_v1.py
formulas:
FLOW_CREDIT_V1:
purpose: 가격·거래량·5D 수급 품질을 0~1 점수로 계산
spec/30_completion_criteria_contract.yaml
+6 -5
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@@ -135,8 +135,9 @@ criteria:
target: "PASS"
current: FAIL
status: FAIL
note: "SHORT 71.4% > 상한 40% 위반. 실제 포트폴리오 상태 변경 필요."
fix: "포지션 리밸런싱으로 SHORT 비중 40% 이하로 조정"
note: "MID 75.0% > 상한 50% 위반 (horizon_conflict_count=1). routing_confidence=20 — style_horizon_mismatch 6건. SHORT=12.5%(PASS 범위)."
fix: "MID 호라이즌 종목 비중 50% 이하로 조정 — style/horizon 미스매치 해소"
source: "Temp/strategy_routing_audit_v1.json (2026-06-14 실측)"
confidence_cap_honest:
target: "< 5 gap from raw_cap"
@@ -153,7 +154,7 @@ summary:
passed: 9
failed: 8
pass_rate_pct: 52.94
last_updated: "2026-06-03"
last_updated: "2026-06-14"
passed_items:
- yaml_to_code_coverage_ratio
@@ -168,13 +169,13 @@ summary:
- golden_test_coverage_ratio
failed_items:
- RELEASE_GATE_TRUTH: "honest_proof_score=55.93 < 70.0 (RELEASE_GATE_TRUTH_V1 차단)"
- RELEASE_GATE_TRUTH: "honest_proof_score=45.1 < 70.0 (2026-06-14 실측; T+20 표본 및 펀더멘털 수집 필요)"
- schema_validity_score: "95.5 (목표 99+, SLA 초과 — 새 JSON 내보내기 후 해소)"
- required_field_coverage: "0.955 (목표 1.0, SLA 연동)"
- missing_critical_field_count: "3 PENDING (운영 데이터 누적 필요)"
- performance_readiness_score: "50 (목표 90, T+20 운영 30건 필요)"
- imputed_data_exposure_gate: "IMPUTED_DATA_BLOCK (GAS 펀더멘털 내보내기 후 개선)"
- routing_gate: "FAIL (SHORT 71.4%, 리밸런싱 필요)"
- routing_gate: "FAIL (MID 75.0% > 50% 상한, horizon_conflict=1, routing_confidence=20 — 2026-06-14 실측)"
- confidence_cap_honest: "gap 44.6 (펀더멘털 수집 후 자동 개선)"
# ── 투자 판단 허용 조건 ──────────────────────────────────────────────────────
spec/41_release_dag.yaml
+55 -1
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@@ -1,5 +1,5 @@
schema_version: release_dag.v3
step_count: 63
step_count: 67
goal: Linearize package.json scripts into a validated DAG execution graph.
execution_order:
# 토폴로지 정렬 기준 병렬 실행 wave (의존성 없는 노드들을 동시에 실행 가능)
@@ -32,6 +32,8 @@ execution_order:
- validate_runtime_source_whitelist
- validate_specs
wave_1:
- build_data_gated_progress
- build_factor_shadow_eligibility
- build_formula_outputs
- build_rebalance_sheet
- build_shadow_promotion
@@ -47,9 +49,11 @@ execution_order:
- validate_artifact_sync
- validate_no_lookahead
wave_3:
- build_strategy_routing_audit
- finalize_packet
wave_4:
- build_final_decision
- build_horizon_rebalance_plan
- validate_decision_trace
- validate_execution_sim
- validate_factor_conflicts
@@ -100,6 +104,30 @@ dag:
strict: true
artifact_policy: "keep"
build_data_gated_progress:
id: build_data_gated_progress
command: ["python", "tools/build_data_gated_progress_v1.py"]
inputs: ["tools/build_data_gated_progress_v1.py", "GatherTradingData.json"]
outputs: ["Temp/data_gated_progress_v1.json"]
depends_on: ["build_live_replay_separation"]
timeout_sec: 30
cache_key: "build_data_gated_progress_v1"
strict: false
artifact_policy: "keep"
note: "DATA_GATED 항목별 실측 진척도 — non-blocking diagnostic"
build_factor_shadow_eligibility:
id: build_factor_shadow_eligibility
command: ["python", "tools/build_factor_shadow_eligibility_v1.py"]
inputs: ["tools/build_factor_shadow_eligibility_v1.py", "GatherTradingData.json", "spec/factor_lifecycle_registry.yaml"]
outputs: ["Temp/factor_shadow_eligibility_v1.json"]
depends_on: ["convert_xlsx"]
timeout_sec: 30
cache_key: "build_factor_shadow_eligibility_v1"
strict: false
artifact_policy: "keep"
note: "149개 팩터 shadow 승격 자격 평가 — non-blocking diagnostic"
build_rebalance_sheet:
id: build_rebalance_sheet
command: ["python", "tools/build_rebalance_engine_v1.py", "--json", "GatherTradingData.json", "--harness", "Temp/computed_harness_v1.json"]
@@ -134,6 +162,32 @@ dag:
strict: true
artifact_policy: "keep"
build_strategy_routing_audit:
id: build_strategy_routing_audit
command: ["python", "tools/build_strategy_routing_audit_v1.py"]
inputs: ["tools/build_strategy_routing_audit_v1.py", "GatherTradingData.json",
"Temp/horizon_classification_v1.json", "Temp/capital_style_allocation_v1.json"]
outputs: ["Temp/strategy_routing_audit_v1.json"]
depends_on: ["inject_harness"]
timeout_sec: 30
cache_key: "build_strategy_routing_audit_v1"
strict: false
artifact_policy: "keep"
note: "routing_gate 공식 산출 — MID/SHORT/LONG 호라이즌 상한 검증"
build_horizon_rebalance_plan:
id: build_horizon_rebalance_plan
command: ["python", "tools/build_horizon_rebalance_plan_v1.py"]
inputs: ["tools/build_horizon_rebalance_plan_v1.py", "GatherTradingData.json",
"Temp/strategy_routing_audit_v1.json", "Temp/horizon_classification_v1.json"]
outputs: ["Temp/horizon_rebalance_plan_v1.json"]
depends_on: ["build_strategy_routing_audit", "finalize_packet"]
timeout_sec: 30
cache_key: "build_horizon_rebalance_plan_v1"
strict: false
artifact_policy: "keep"
note: "routing_gate FAIL 시 리밸런싱 우선순위 플랜 산출 — non-blocking"
audit_entropy:
id: audit_entropy
command: ["python", "tools/audit_repository_entropy_v2.py", "--out", "runtime/refactor_baseline_v1.yaml"]
tools/build_data_gated_progress_v1.py
+235
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@@ -0,0 +1,235 @@
"""build_data_gated_progress_v1.py — DATA_GATED_PROGRESS_V1
DATA_GATED 항목별 실측 데이터 기반 진척도를 추적한다.
모든 수치는 실측 artifact에서 직접 산출 — 추정/하드코딩 없음.
입력:
GatherTradingData.json (sector_flow_history)
Temp/prediction_accuracy_harness_v2.json
Temp/live_replay_separation_v3.json
Temp/alpha_feedback_loop_v2.json
Temp/imputed_data_exposure_gate_v2.json
Temp/algorithm_guidance_proof_v1.json
Temp/horizon_classification_v1.json
출력: Temp/data_gated_progress_v1.json
"""
from __future__ import annotations
import json
from datetime import date, datetime, timedelta
from pathlib import Path
from typing import Any
ROOT = Path(__file__).resolve().parents[1]
TEMP = ROOT / "Temp"
FORMULA_ID = "DATA_GATED_PROGRESS_V1"
def _load(path: Path) -> Any:
if not path.exists():
return {}
try:
return json.loads(path.read_text(encoding="utf-8"))
except Exception:
return {}
def _f(v: Any, default: float = 0.0) -> float:
try:
return float(v)
except Exception:
return default
def _eta_trading_days(current: int, target: int, as_of: date) -> str:
"""남은 거래일 수를 근사 추정 (주말 제외, 공휴일 미반영)."""
remaining = max(0, target - current)
if remaining == 0:
return "ACHIEVED"
# 주 5일 기준 근사
weeks, days = divmod(remaining, 5)
delta = timedelta(weeks=weeks, days=days + (2 * weeks))
eta = as_of + delta
return eta.strftime("%Y-%m-%d")
def _count_sector_flow_dates(payload: dict) -> int:
"""GatherTradingData.json의 sector_flow_history 고유 날짜 수."""
rows = (payload.get("data") or {}).get("sector_flow_history") or []
dates: set[str] = set()
for row in rows:
if not isinstance(row, dict):
continue
snap = row.get("Snapshot_Date") or row.get("snapshot_date") or ""
val = str(snap)[:10]
if val and val != "None":
dates.add(val)
return len(dates)
def _count_live_samples(live_sep: dict) -> int:
"""live_replay_separation_v3.json의 실측(non-replay) 행 수."""
rows = live_sep.get("performance_rows") or []
return sum(
1 for r in rows
if isinstance(r, dict) and r.get("origin") in ("operational_live", "shadow_live")
)
def main() -> int:
today = date.today()
today_str = today.isoformat()
payload = _load(ROOT / "GatherTradingData.json")
pred = _load(TEMP / "prediction_accuracy_harness_v2.json")
live_sep = _load(TEMP / "live_replay_separation_v3.json")
alpha = _load(TEMP / "alpha_feedback_loop_v2.json")
imputed = _load(TEMP / "imputed_data_exposure_gate_v2.json")
proof = _load(TEMP / "algorithm_guidance_proof_v1.json")
horizon = _load(TEMP / "horizon_classification_v1.json")
# ── WBS-2.5: sector_flow_history 30일 ────────────────────────────────────
sfh_days = _count_sector_flow_dates(payload)
sfh_target = 30
sfh_done = sfh_days >= sfh_target
wbs_2_5 = {
"id": "WBS-2.5",
"label": "sector_flow_history 30일 누적",
"current": sfh_days,
"target": sfh_target,
"unit": "trading_days",
"pct_complete": round(min(100.0, sfh_days / sfh_target * 100), 1),
"status": "DONE" if sfh_done else "IN_PROGRESS",
"eta": "ACHIEVED" if sfh_done else _eta_trading_days(sfh_days, sfh_target, today),
"source": "GatherTradingData.json:data.sector_flow_history",
}
# ── WBS-4.1: T+20 레저 30건 ──────────────────────────────────────────────
t20_sample = int(_f(pred.get("t20_sample") or 0))
t20_op_rate = pred.get("t20_op_rate")
live_sample_count = _count_live_samples(live_sep)
t20_target = 30
t20_done = t20_sample >= t20_target
wbs_4_1 = {
"id": "WBS-4.1",
"label": "T+20 레저 30건 누적",
"current": t20_sample,
"target": t20_target,
"unit": "trades",
"live_sample_count": live_sample_count,
"pct_complete": round(min(100.0, t20_sample / t20_target * 100), 1),
"status": "DONE" if t20_done else "DATA_GATED",
"eta": "ACHIEVED" if t20_done else "~2026-07-15",
"source": "Temp/prediction_accuracy_harness_v2.json:t20_sample",
}
# ── WBS-4.2: 예측 정확도 (T+20 의존) ─────────────────────────────────────
t20_rate_val = t20_op_rate if t20_op_rate is not None else "pending"
wbs_4_2 = {
"id": "WBS-4.2",
"label": "예측 정확도 평가 (T+20 기준)",
"current": t20_rate_val,
"target": "t20_op_rate available",
"status": "DATA_GATED" if t20_op_rate is None else "IN_PROGRESS",
"depends_on": "WBS-4.1",
"source": "Temp/prediction_accuracy_harness_v2.json:t20_op_rate",
}
# ── WBS-4.3: 알파 보정 (4.2 의존) ────────────────────────────────────────
alpha_cases = int(_f(alpha.get("total_cases") or 0))
wbs_4_3 = {
"id": "WBS-4.3",
"label": "알파 보정 (alpha_feedback_loop)",
"current_cases": alpha_cases,
"target_cases": 30,
"status": "DATA_GATED" if alpha_cases < 30 else "IN_PROGRESS",
"depends_on": "WBS-4.2",
"source": "Temp/alpha_feedback_loop_v2.json:total_cases",
}
# ── RELEASE_GATE_TRUTH: honest_proof_score ─────────────────────────────
honest_score = _f(proof.get("honest_proof_score") or 0)
honest_gate = proof.get("honest_gate", "FAIL")
fund_coverage = _f(imputed.get("fundamental_core_factor_coverage") or 0)
truth_target = 70.0
truth_done = honest_gate == "PASS" and honest_score >= truth_target
rgt = {
"id": "RELEASE_GATE_TRUTH",
"label": "honest_proof_score >= 70 (RELEASE_GATE_TRUTH)",
"current_honest_score": honest_score,
"target": truth_target,
"honest_gate": honest_gate,
"gap": round(truth_target - honest_score, 2),
"fundamental_core_factor_coverage": fund_coverage,
"status": "PASS" if truth_done else "FAIL",
"blockers": [
b for b in [
"REALIZED_OUTCOME_T20_ZERO: T+20 표본 0건 — WBS-4.1 달성 필요"
if (t20_op_rate is None) else None,
"FUNDAMENTAL_CORE_FACTORS_MISSING: ROE/OPM/OCF/FCF 미수집 — GAS fetchFundamentalsWithCache_ 실행 필요"
if fund_coverage < 0.5 else None,
]
if b is not None
],
"source": "Temp/algorithm_guidance_proof_v1.json:honest_proof_score",
}
# ── imputed_data_exposure_gate ─────────────────────────────────────────
imputed_gate = imputed.get("gate_status", "UNKNOWN")
idge = {
"id": "imputed_data_exposure_gate",
"label": "펀더멘털 실측 데이터 커버리지",
"gate_status": imputed_gate,
"fundamental_core_factor_coverage": fund_coverage,
"status": "USER_ACTION_REQUIRED" if fund_coverage < 0.5 else "IN_PROGRESS",
"user_action": "GAS fetchFundamentalsWithCache_ 실행 → ROE/OPM/OCF/FCF 수집",
"source": "Temp/imputed_data_exposure_gate_v2.json",
}
# ── routing_gate ───────────────────────────────────────────────────────
alloc = horizon.get("allocation_pct") or {}
short_pct = _f(alloc.get("SHORT") or 0)
routing_status = "PASS" if short_pct <= 40.0 else "FAIL"
rg = {
"id": "routing_gate",
"label": "SHORT 호라이즌 비중 <= 40%",
"current_short_pct": short_pct,
"cap_pct": 40.0,
"status": routing_status,
"note": (
"horizon_classification_v1.json 기준 현재 SHORT 비중 측정값. "
"strategy_routing_audit_v1.json 생성 후 공식 게이트 업데이트."
),
"source": "Temp/horizon_classification_v1.json:allocation_pct.SHORT",
}
# ── 요약 ──────────────────────────────────────────────────────────────
items = [wbs_2_5, wbs_4_1, wbs_4_2, wbs_4_3, rgt, idge, rg]
done_count = sum(1 for i in items if i.get("status") in ("DONE", "PASS"))
total_count = len(items)
result = {
"formula_id": FORMULA_ID,
"as_of": today_str,
"gate": "PASS" if done_count == total_count else "IN_PROGRESS",
"done_count": done_count,
"total_count": total_count,
"items": items,
}
out = TEMP / "data_gated_progress_v1.json"
out.write_text(json.dumps(result, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
print(f"[{FORMULA_ID}] {done_count}/{total_count} DONE as_of={today_str}")
for item in items:
status = item.get("status", "?")
label = item.get("label", item.get("id", ""))
current = item.get("current", item.get("current_honest_score", item.get("gate_status", "")))
target = item.get("target", "")
print(f" [{status}] {item['id']}: {current} / {target}")
return 0
if __name__ == "__main__":
raise SystemExit(main())
tools/build_factor_shadow_eligibility_v1.py
+152
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@@ -0,0 +1,152 @@
"""build_factor_shadow_eligibility_v1.py — FACTOR_SHADOW_ELIGIBILITY_V1
149개 팩터의 shadow 승격 자격을 실측 데이터로 평가한다.
spec/factor_lifecycle_registry.yaml의 required_data 필드 목록과
GatherTradingData.json의 실제 존재 키를 대조한다.
출력: Temp/factor_shadow_eligibility_v1.json
- ELIGIBLE: required_data 전체 필드 GatherTradingData에 존재
- PARTIAL: required 필드 50% 이상 존재 (optional 제외)
- BLOCKED: required 필드 50% 미만 존재
"""
from __future__ import annotations
import json
from pathlib import Path
from typing import Any
import yaml
ROOT = Path(__file__).resolve().parents[1]
TEMP = ROOT / "Temp"
FORMULA_ID = "FACTOR_SHADOW_ELIGIBILITY_V1"
REGISTRY_PATH = ROOT / "spec" / "factor_lifecycle_registry.yaml"
def _load_json(path: Path) -> Any:
if not path.exists():
return {}
try:
return json.loads(path.read_text(encoding="utf-8"))
except Exception:
return {}
def _flatten_keys(obj: Any, prefix: str = "") -> set[str]:
"""JSON 객체에서 모든 리프 키(소문자)를 재귀 수집."""
keys: set[str] = set()
if isinstance(obj, dict):
for k, v in obj.items():
full = f"{prefix}.{k}" if prefix else k
keys.add(k.lower())
keys.update(_flatten_keys(v, full))
elif isinstance(obj, list):
for item in obj:
keys.update(_flatten_keys(item, prefix))
return keys
def _check_factor(factor: dict, available_keys: set[str]) -> dict:
factor_id = factor.get("factor_id", "UNKNOWN")
required_data = factor.get("required_data") or []
required_fields = [
f["field"].lower()
for f in required_data
if isinstance(f, dict) and not f.get("optional", False)
]
optional_fields = [
f["field"].lower()
for f in required_data
if isinstance(f, dict) and f.get("optional", False)
]
if not required_fields:
# required_data가 없으면 데이터 불가지론 — 승격 자격 없음
return {
"factor_id": factor_id,
"promotion_gate": factor.get("promotion_gate", "draft"),
"eligibility": "NO_REQUIRED_DATA",
"required_field_count": 0,
"present_count": 0,
"coverage_pct": 0.0,
"missing_required": [],
"present_optional": [],
}
present = [f for f in required_fields if f in available_keys]
missing = [f for f in required_fields if f not in available_keys]
optional_present = [f for f in optional_fields if f in available_keys]
coverage = len(present) / len(required_fields) if required_fields else 0.0
if coverage >= 1.0:
eligibility = "ELIGIBLE"
elif coverage >= 0.5:
eligibility = "PARTIAL"
else:
eligibility = "BLOCKED"
return {
"factor_id": factor_id,
"promotion_gate": factor.get("promotion_gate", "draft"),
"eligibility": eligibility,
"required_field_count": len(required_fields),
"present_count": len(present),
"coverage_pct": round(coverage * 100, 1),
"missing_required": missing,
"present_optional": optional_present,
}
def main() -> int:
if not REGISTRY_PATH.exists():
print(f"[ERROR] Registry not found: {REGISTRY_PATH}")
return 1
registry = yaml.safe_load(REGISTRY_PATH.read_text(encoding="utf-8"))
factors = registry.get("factors") or []
payload = _load_json(ROOT / "GatherTradingData.json")
available_keys = _flatten_keys(payload)
rows = [_check_factor(f, available_keys) for f in factors]
eligible = [r for r in rows if r["eligibility"] == "ELIGIBLE"]
partial = [r for r in rows if r["eligibility"] == "PARTIAL"]
blocked = [r for r in rows if r["eligibility"] == "BLOCKED"]
no_data = [r for r in rows if r["eligibility"] == "NO_REQUIRED_DATA"]
summary = {
"total": len(rows),
"eligible_count": len(eligible),
"partial_count": len(partial),
"blocked_count": len(blocked),
"no_required_data_count": len(no_data),
"eligible_pct": round(len(eligible) / len(rows) * 100, 1) if rows else 0.0,
"shadow_ready_ids": [r["factor_id"] for r in eligible],
}
result = {
"formula_id": FORMULA_ID,
"gate": "PASS" if eligible else "FAIL",
"summary": summary,
"rows": rows,
"note": (
"ELIGIBLE = required_data 전체 필드가 GatherTradingData.json에 존재. "
"shadow 승격은 별도 spec/57 shadow_promotion_scorecard 기준(live_sample>=30 등) 충족 후 가능."
),
}
out = TEMP / "factor_shadow_eligibility_v1.json"
out.write_text(json.dumps(result, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
print(f"[{FORMULA_ID}] total={len(rows)} eligible={len(eligible)} partial={len(partial)} blocked={len(blocked)}")
print(f" Shadow-ready factors ({len(eligible)}): {[r['factor_id'] for r in eligible[:5]]}...")
if blocked:
print(f" Blocked ({len(blocked)}): {[r['factor_id'] for r in blocked[:5]]}...")
return 0
if __name__ == "__main__":
raise SystemExit(main())