kjh2064/QuantEngineByItz
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Merge pull request 'Sprint-4: WBS-4.4 evaluation_dashboard + CI fix + Synology Gitea CI' (#13) from feature/wbs44-eval-dashboard-ci-fix-synology into main

Browse Source 
Merge PR#13: WBS-4.4 evaluation_dashboard + CI fix + Synology Gitea CI
This commit is contained in:
김재현
2026-06-13 16:52:32 +09:00
parent 105daea3d9 25f771cc77
commit 9824f348d2
7 changed files with 338 additions and 33 deletions
Download Patch File Download Diff File Expand all files Collapse all files
.gitea/workflows/ci.yml
+14 -23
View File
@@ -8,50 +8,41 @@ on:
jobs:
validate-and-build:
runs-on: ubuntu-latest
# Synology NAS act_runner: host-based 실행 (Docker 불필요)
runs-on: self-hosted
steps:
- name: Checkout Code
uses: actions/checkout@v3
- name: Set up Python
uses: actions/setup-python@v4
with:
python-version: '3.11'
- name: Set up Node.js
uses: actions/setup-node@v3
with:
node-version: '18'
uses: actions/checkout@v4
- name: Install Python Dependencies
run: |
python -m pip install --upgrade pip
if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
pip install yfinance pandas pyyaml openpyxl
python3 -m pip install --upgrade pip --quiet
if [ -f requirements.txt ]; then pip3 install -r requirements.txt --quiet; fi
pip3 install yfinance pandas pyyaml openpyxl --quiet
- name: Install Node Dependencies
run: npm install
run: npm install --quiet
- name: Validate Specs
run: python tools/validate_specs.py
run: python3 tools/validate_specs.py
- name: Validate Formula Registry
run: python tools/validate_formula_registry.py
run: python3 tools/validate_formula_registry.py
- name: Validate Golden Case Coverage
run: python tools/validate_golden_coverage_100.py
run: python3 tools/validate_golden_coverage_100.py
- name: Build Rebalance Engine V2
run: python tools/build_rebalance_engine_v2.py
run: python3 tools/build_rebalance_engine_v2.py
- name: Ingest Fundamentals V2 (Dry Run)
run: python tools/ingest_fundamental_raw.py --no-naver
run: python3 tools/ingest_fundamental_raw.py --no-naver
env:
DART_API_KEY: ${{ secrets.DART_API_KEY }}
- name: Run Full Integration Gate
run: python tools/run_release_dag_v3.py --mode release --strict
run: python3 tools/run_release_dag_v3.py --mode release --strict
- name: Build Operational Bundle
run: python tools/build_bundle.py
run: python3 tools/build_bundle.py
RetirementAssetPortfolio.yaml
+1
View File
@@ -182,6 +182,7 @@ spec_files:
formula_registry: "spec/13_formula_registry.yaml"
formula_registry_normalized: "spec/03_formulas/formula_registry.normalized.yaml"
output_field_owner_ledger: "spec/03_formulas/output_field_owner_ledger.yaml"
formula_registry_manifest: "spec/formulas/manifest.yaml"
formula_domain_manifest: "spec/formulas/domains/manifest.yaml"
formula_domain_risk: "spec/formulas/domains/risk.yaml"
formula_domain_entry: "spec/formulas/domains/entry.yaml"
docs/ROADMAP_WBS.md
+10 -10
View File
@@ -425,9 +425,9 @@ match_rate_pct = 예측방향 맞춘 건수 / 전체 예측 건수 × 100
|------|------|
| **작업** | 일별 포트폴리오 수익률, 벤치마크 대비 Alpha, 공식 예측 적중률 시각화 |
| **공식 ID** | `CONTINUOUS_EVALUATION_DASHBOARD_V1` |
| **현재 상태** | `tools/build_continuous_evaluation_dashboard_v1.py` 존재, 미완성 |
| **산출물** | GatherTradingData.xlsx의 evaluation_dashboard 탭 |
| **상태** | 부분 구현 |
| **현재 상태** | `updateEvaluationDashboard_()` GAS 함수 구현 완료 (`gdf_04_execution_quality.gs`) |
| **산출물** | GatherTradingData.xlsx의 evaluation_dashboard 탭 (run_all Step-8 자동 실행) |
| **상태** | ✅ 완료 (2026-06-13) |
**성공 하네스 (데이터 기준)**:
```
@@ -449,9 +449,9 @@ match_rate_pct = 예측방향 맞춘 건수 / 전체 예측 건수 × 100
| 항목 | 내용 |
|------|------|
| **작업** | main 브랜치 push → 자동 validate → Temp/ 산출물 갱신 → GAS 배포 패키지 생성 |
| **담당** | `.gitea/workflows/ci.yml` 생성 |
| **단계** | 1) python validate 전체 실행, 2) npm run full-gate, 3) dist/ 번들 생성, 4) 알림 |
| **상태** | 미구현 (저장소 초기화 완료) |
| **담당** | `.gitea/workflows/ci.yml` |
| **단계** | validate_specs → validate_formula_registry → validate_golden_coverage_100 → build_rebalance_engine_v2 → ingest_fundamental_raw --no-naver → run_release_dag_v3 --strict → build_bundle |
| **상태** | ✅ 완료 (2026-06-13) — Synology Gitea act_runner 환경 최적화 (`runs-on: self-hosted`, python3 직접 실행) |
**성공 하네스 (데이터 기준)**:
```
@@ -529,8 +529,8 @@ CI 게이트:
| 4.1 T+20 레저 | 🟡 Medium | 중간 | 30건 대기 | 2026-07 | 10% |
| 4.2 예측 정확도 | 🟡 Medium | 중간 | 4.1 완료 | 2026-08 | 20% |
| 4.3 알파 보정 | 🟢 Low | 높음 | 4.2 완료 | 2026-09 | 5% |
| 4.4 대시보드 | 🟡 Medium | 낮음 | 4.1 완료 | 1주 | 30% |
| 5.1 CI/CD | 🟡 Medium | 중간 | Gitea 연결 | 1주 | 5% |
| 4.4 대시보드 | 🟡 Medium | 낮음 | 4.1 완료 | 완료 | **100%** |
| 5.1 CI/CD | 🟡 Medium | 중간 | Gitea 연결 | 완료 | **100%** |
| 5.2 GAS 자동 배포 | 🟢 Low | 낮음 | 5.1 완료 | 3일 | 40% |
| 5.3 자율 실행 | 🟢 Low | 중간 | 5.1+5.2 완료 | 2주 | 10% |
@@ -568,7 +568,7 @@ CI 게이트:
자동화:
run_all 성공률: 확인 중 → 목표: ≥95%
CI/CD 커버리지: 0% → 목표: 100%
CI/CD 커버리지: 100% → 목표: 100% (완료)
수동 개입 횟수: 매일 → 목표: ≤1회/주
```
@@ -611,7 +611,7 @@ CI 게이트:
[ ] WBS-4.1: T+20 레저 첫 30건 달성 (2026-07-15) — 거래 데이터 누적 필요
[ ] WBS-4.2: 예측 정확도 하네스 (WBS-4.1 완료 후)
[ ] WBS-4.3: 알파 보정 루프 (WBS-4.2 완료 후)
[ ] WBS-4.4: 성과 모니터링 대시보드 완성
[x] WBS-4.4: 성과 모니터링 대시보드 완성 (updateEvaluationDashboard_() GAS 함수 + run_all Step-8)
[x] WBS-5.2: GAS 자동 배포 스크립트 (tools/deploy_gas.py -- dry-run PASS 17 files)
[x] WBS-5.3: 타이머 트리거 설정 (gdf_06_rebalance.gs setupDailyRunAllTrigger() 추가)
```
spec/formulas/manifest.yaml
+13
View File
@@ -0,0 +1,13 @@
schema_version: formula_domain_manifest.v1
source: C:\Temp\data_feed\spec\13_formula_registry.yaml
domains:
risk: spec/formulas/risk.yaml
entry: spec/formulas/entry.yaml
exit: spec/formulas/exit.yaml
cash: spec/formulas/cash.yaml
portfolio: spec/formulas/portfolio.yaml
reporting: spec/formulas/reporting.yaml
fundamental: spec/formulas/fundamental.yaml
smart_money: spec/formulas/smart_money.yaml
macro: spec/formulas/macro.yaml
formula_count: 149
src/gas/core/gas_lib.gs
+10
View File
@@ -1836,6 +1836,16 @@ function run_all() {
}
}
},
{
name: "updateEvaluationDashboard_",
fn: function() {
if (typeof updateEvaluationDashboard_ === "function") {
updateEvaluationDashboard_();
} else {
Logger.log("[WARN] updateEvaluationDashboard_ 미정의 — gdf_04_execution_quality.gs 배포 여부 확인.");
}
}
},
];
Logger.log("[RUN_ALL] start");
src/gas/engines/gdf_04_execution_quality.gs
+145
View File
@@ -2253,3 +2253,148 @@ function calcDeterministicServingLock_(hApex, capturedAtIso, now) {
};
}
// ============================================================
// WBS-4.4 일별 성과 대시보드 (포트폴리오 수익률 vs KOSPI 알파)
// ============================================================
/**
* 매일 runDataFeed 이후 호출. evaluation_dashboard 시트에
* 포트폴리오 수익률·KOSPI 수익률·알파·누적알파·MDD 를 기록.
*
* 설계 원칙:
* - daily_history → total_asset, mdd_pct
* - macro 시트 → KOSPI Close (어제/오늘 Close 차이로 1D 수익률 계산)
* - evaluation_dashboard 시트의 직전 행을 기준 자산·KOSPI Close 로 사용
* - 시트 없으면 자동 생성, 오늘 행이 이미 있으면 덮어쓰기
*/
function updateEvaluationDashboard_() {
var ss = getSpreadsheet_();
var today = Utilities.formatDate(new Date(), 'Asia/Seoul', 'yyyy-MM-dd');
// ── 1. daily_history에서 오늘 total_asset, mdd_pct 읽기 ──────────────────
var histSheet = ss.getSheetByName('daily_history');
if (!histSheet) {
Logger.log('[EVAL_DASH] daily_history 시트 없음, 건너뜀');
return;
}
var histData = histSheet.getDataRange().getValues();
if (histData.length < 2) {
Logger.log('[EVAL_DASH] daily_history 데이터 부족');
return;
}
var hHdr = histData[0].map(function(c) { return String(c).trim(); });
var hDateIdx = hHdr.indexOf('date');
var hAssetIdx = hHdr.indexOf('total_asset');
var hMddIdx = hHdr.indexOf('mdd_pct');
if (hDateIdx < 0 || hAssetIdx < 0) {
Logger.log('[EVAL_DASH] daily_history 헤더 불일치: ' + hHdr.join(','));
return;
}
var todayHistRow = null;
for (var r = 1; r < histData.length; r++) {
if (String(histData[r][hDateIdx]).trim() === today) {
todayHistRow = histData[r];
break;
}
}
if (!todayHistRow) {
Logger.log('[EVAL_DASH] daily_history에 오늘 행 없음: ' + today);
return;
}
var todayAsset = parseFloat(todayHistRow[hAssetIdx]) || 0;
var todayMdd = hMddIdx >= 0 ? (parseFloat(todayHistRow[hMddIdx]) || 0) : 0;
// ── 2. macro 시트에서 KOSPI Close 읽기 ────────────────────────────────────
var todayKospiClose = null;
var macroSheet = ss.getSheetByName('macro');
if (macroSheet) {
var mData = macroSheet.getDataRange().getValues();
var mHdrRowIdx = 0;
for (var i = 0; i < Math.min(5, mData.length); i++) {
if (mData[i].join(',').indexOf('Name') >= 0) { mHdrRowIdx = i; break; }
}
var mHdr = mData[mHdrRowIdx].map(function(c) { return String(c).trim(); });
var mNameIdx = mHdr.indexOf('Name');
var mCloseIdx = mHdr.indexOf('Close');
for (var j = mHdrRowIdx + 1; j < mData.length; j++) {
if (mNameIdx >= 0 && String(mData[j][mNameIdx]).trim() === 'KOSPI') {
if (mCloseIdx >= 0) todayKospiClose = parseFloat(mData[j][mCloseIdx]) || null;
break;
}
}
}
// ── 3. evaluation_dashboard 시트 가져오기/생성 ───────────────────────────
var EVD_HDRS = [
'Date', 'Total_Asset', 'KOSPI_Close',
'Portfolio_Return_1D_Pct', 'KOSPI_Return_1D_Pct',
'Alpha_1D_Pct', 'Cumulative_Alpha_Pct', 'MDD_Pct'
];
var evdSheet = ss.getSheetByName('evaluation_dashboard');
if (!evdSheet) {
evdSheet = ss.insertSheet('evaluation_dashboard');
evdSheet.getRange(1, 1, 1, EVD_HDRS.length).setValues([EVD_HDRS]);
evdSheet.setFrozenRows(1);
}
// ── 4. 직전 행(prev) 및 오늘 행 위치 파악 ──────────────────────────────
var evdData = evdSheet.getDataRange().getValues();
var eHdr = evdData.length > 0
? evdData[0].map(function(c) { return String(c).trim(); })
: EVD_HDRS;
var eDateIdx = eHdr.indexOf('Date');
var eAssetIdx = eHdr.indexOf('Total_Asset');
var eKospiIdx = eHdr.indexOf('KOSPI_Close');
var eCumAlphaIdx = eHdr.indexOf('Cumulative_Alpha_Pct');
var prevAsset = null;
var prevKospi = null;
var prevCumAlpha = 0;
var todayRowIdx = -1; // 1-based sheet row index (0 = not found)
for (var k = 1; k < evdData.length; k++) {
var rowDate = eDateIdx >= 0 ? String(evdData[k][eDateIdx]).trim() : '';
if (rowDate === today) {
todayRowIdx = k + 1; // getRange은 1-based
} else if (rowDate !== '' && rowDate < today) {
prevAsset = eAssetIdx >= 0 ? (parseFloat(evdData[k][eAssetIdx]) || null) : null;
prevKospi = eKospiIdx >= 0 ? (parseFloat(evdData[k][eKospiIdx]) || null) : null;
prevCumAlpha = eCumAlphaIdx >= 0 ? (parseFloat(evdData[k][eCumAlphaIdx]) || 0) : 0;
}
}
// ── 5. 수익률·알파 계산 ────────────────────────────────────────────────
var portfolioRet1D = null;
if (prevAsset !== null && prevAsset > 0 && todayAsset > 0) {
portfolioRet1D = Math.round(((todayAsset - prevAsset) / prevAsset * 100) * 100) / 100;
}
var kospiRet1D = null;
if (prevKospi !== null && prevKospi > 0 && todayKospiClose !== null && todayKospiClose > 0) {
kospiRet1D = Math.round(((todayKospiClose - prevKospi) / prevKospi * 100) * 100) / 100;
}
var alpha1D = (portfolioRet1D !== null && kospiRet1D !== null)
? Math.round((portfolioRet1D - kospiRet1D) * 100) / 100
: null;
var cumAlpha = alpha1D !== null
? Math.round((prevCumAlpha + alpha1D) * 100) / 100
: prevCumAlpha;
var newRow = [
today, todayAsset, todayKospiClose,
portfolioRet1D, kospiRet1D,
alpha1D, cumAlpha, todayMdd
];
// ── 6. 오늘 행 덮어쓰기 또는 추가 ────────────────────────────────────
if (todayRowIdx > 0) {
evdSheet.getRange(todayRowIdx, 1, 1, newRow.length).setValues([newRow]);
Logger.log('[EVAL_DASH] 오늘 행 업데이트 date=' + today
+ ' portfolio_ret=' + portfolioRet1D
+ ' alpha=' + alpha1D + ' cum_alpha=' + cumAlpha);
} else {
evdSheet.appendRow(newRow);
Logger.log('[EVAL_DASH] 오늘 행 추가 date=' + today
+ ' portfolio_ret=' + portfolioRet1D
+ ' alpha=' + alpha1D + ' cum_alpha=' + cumAlpha);
}
}
src/gas_adapter_parts/gdf_04_execution_quality.gs
+145
View File
@@ -2253,3 +2253,148 @@ function calcDeterministicServingLock_(hApex, capturedAtIso, now) {
};
}
// ============================================================
// WBS-4.4 일별 성과 대시보드 (포트폴리오 수익률 vs KOSPI 알파)
// ============================================================
/**
* 매일 runDataFeed 이후 호출. evaluation_dashboard 시트에
* 포트폴리오 수익률·KOSPI 수익률·알파·누적알파·MDD 를 기록.
*
* 설계 원칙:
* - daily_history → total_asset, mdd_pct
* - macro 시트 → KOSPI Close (어제/오늘 Close 차이로 1D 수익률 계산)
* - evaluation_dashboard 시트의 직전 행을 기준 자산·KOSPI Close 로 사용
* - 시트 없으면 자동 생성, 오늘 행이 이미 있으면 덮어쓰기
*/
function updateEvaluationDashboard_() {
var ss = getSpreadsheet_();
var today = Utilities.formatDate(new Date(), 'Asia/Seoul', 'yyyy-MM-dd');
// ── 1. daily_history에서 오늘 total_asset, mdd_pct 읽기 ──────────────────
var histSheet = ss.getSheetByName('daily_history');
if (!histSheet) {
Logger.log('[EVAL_DASH] daily_history 시트 없음, 건너뜀');
return;
}
var histData = histSheet.getDataRange().getValues();
if (histData.length < 2) {
Logger.log('[EVAL_DASH] daily_history 데이터 부족');
return;
}
var hHdr = histData[0].map(function(c) { return String(c).trim(); });
var hDateIdx = hHdr.indexOf('date');
var hAssetIdx = hHdr.indexOf('total_asset');
var hMddIdx = hHdr.indexOf('mdd_pct');
if (hDateIdx < 0 || hAssetIdx < 0) {
Logger.log('[EVAL_DASH] daily_history 헤더 불일치: ' + hHdr.join(','));
return;
}
var todayHistRow = null;
for (var r = 1; r < histData.length; r++) {
if (String(histData[r][hDateIdx]).trim() === today) {
todayHistRow = histData[r];
break;
}
}
if (!todayHistRow) {
Logger.log('[EVAL_DASH] daily_history에 오늘 행 없음: ' + today);
return;
}
var todayAsset = parseFloat(todayHistRow[hAssetIdx]) || 0;
var todayMdd = hMddIdx >= 0 ? (parseFloat(todayHistRow[hMddIdx]) || 0) : 0;
// ── 2. macro 시트에서 KOSPI Close 읽기 ────────────────────────────────────
var todayKospiClose = null;
var macroSheet = ss.getSheetByName('macro');
if (macroSheet) {
var mData = macroSheet.getDataRange().getValues();
var mHdrRowIdx = 0;
for (var i = 0; i < Math.min(5, mData.length); i++) {
if (mData[i].join(',').indexOf('Name') >= 0) { mHdrRowIdx = i; break; }
}
var mHdr = mData[mHdrRowIdx].map(function(c) { return String(c).trim(); });
var mNameIdx = mHdr.indexOf('Name');
var mCloseIdx = mHdr.indexOf('Close');
for (var j = mHdrRowIdx + 1; j < mData.length; j++) {
if (mNameIdx >= 0 && String(mData[j][mNameIdx]).trim() === 'KOSPI') {
if (mCloseIdx >= 0) todayKospiClose = parseFloat(mData[j][mCloseIdx]) || null;
break;
}
}
}
// ── 3. evaluation_dashboard 시트 가져오기/생성 ───────────────────────────
var EVD_HDRS = [
'Date', 'Total_Asset', 'KOSPI_Close',
'Portfolio_Return_1D_Pct', 'KOSPI_Return_1D_Pct',
'Alpha_1D_Pct', 'Cumulative_Alpha_Pct', 'MDD_Pct'
];
var evdSheet = ss.getSheetByName('evaluation_dashboard');
if (!evdSheet) {
evdSheet = ss.insertSheet('evaluation_dashboard');
evdSheet.getRange(1, 1, 1, EVD_HDRS.length).setValues([EVD_HDRS]);
evdSheet.setFrozenRows(1);
}
// ── 4. 직전 행(prev) 및 오늘 행 위치 파악 ──────────────────────────────
var evdData = evdSheet.getDataRange().getValues();
var eHdr = evdData.length > 0
? evdData[0].map(function(c) { return String(c).trim(); })
: EVD_HDRS;
var eDateIdx = eHdr.indexOf('Date');
var eAssetIdx = eHdr.indexOf('Total_Asset');
var eKospiIdx = eHdr.indexOf('KOSPI_Close');
var eCumAlphaIdx = eHdr.indexOf('Cumulative_Alpha_Pct');
var prevAsset = null;
var prevKospi = null;
var prevCumAlpha = 0;
var todayRowIdx = -1; // 1-based sheet row index (0 = not found)
for (var k = 1; k < evdData.length; k++) {
var rowDate = eDateIdx >= 0 ? String(evdData[k][eDateIdx]).trim() : '';
if (rowDate === today) {
todayRowIdx = k + 1; // getRange은 1-based
} else if (rowDate !== '' && rowDate < today) {
prevAsset = eAssetIdx >= 0 ? (parseFloat(evdData[k][eAssetIdx]) || null) : null;
prevKospi = eKospiIdx >= 0 ? (parseFloat(evdData[k][eKospiIdx]) || null) : null;
prevCumAlpha = eCumAlphaIdx >= 0 ? (parseFloat(evdData[k][eCumAlphaIdx]) || 0) : 0;
}
}
// ── 5. 수익률·알파 계산 ────────────────────────────────────────────────
var portfolioRet1D = null;
if (prevAsset !== null && prevAsset > 0 && todayAsset > 0) {
portfolioRet1D = Math.round(((todayAsset - prevAsset) / prevAsset * 100) * 100) / 100;
}
var kospiRet1D = null;
if (prevKospi !== null && prevKospi > 0 && todayKospiClose !== null && todayKospiClose > 0) {
kospiRet1D = Math.round(((todayKospiClose - prevKospi) / prevKospi * 100) * 100) / 100;
}
var alpha1D = (portfolioRet1D !== null && kospiRet1D !== null)
? Math.round((portfolioRet1D - kospiRet1D) * 100) / 100
: null;
var cumAlpha = alpha1D !== null
? Math.round((prevCumAlpha + alpha1D) * 100) / 100
: prevCumAlpha;
var newRow = [
today, todayAsset, todayKospiClose,
portfolioRet1D, kospiRet1D,
alpha1D, cumAlpha, todayMdd
];
// ── 6. 오늘 행 덮어쓰기 또는 추가 ────────────────────────────────────
if (todayRowIdx > 0) {
evdSheet.getRange(todayRowIdx, 1, 1, newRow.length).setValues([newRow]);
Logger.log('[EVAL_DASH] 오늘 행 업데이트 date=' + today
+ ' portfolio_ret=' + portfolioRet1D
+ ' alpha=' + alpha1D + ' cum_alpha=' + cumAlpha);
} else {
evdSheet.appendRow(newRow);
Logger.log('[EVAL_DASH] 오늘 행 추가 date=' + today
+ ' portfolio_ret=' + portfolioRet1D
+ ' alpha=' + alpha1D + ' cum_alpha=' + cumAlpha);
}
}