feat(quant-engine): v8.9 제안서 P0-P3 로드맵 채택 — 15개 의사결정 엔진 신규 구현

suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml의 implementation_todo_v8_9(P0~P4) 전체를 spec/tool/golden case 레벨로 구현. - P0: PORTFOLIO_TRANSITION_UTILITY_V1, SELL_LOT_PARETO_SELECTOR_V1, FORECAST_SIMULATION_ENGINE_V1 - P1: SECTOR_EXPOSURE_GRAPH_V1/LEADER_LIFECYCLE_GATE_V1, EXECUTION_CAPACITY_LADDER_V1, MODEL_GOVERNANCE_KILL_SWITCH_V1 - P2: SCENARIO_SHOCK_MATRIX_V1, TRANSITION_SET_ENUMERATOR_V1, IMMUTABLE_DECISION_LEDGER_V1, EXECUTION_PLAN_COMPILER_V1 - P3: STATE_VECTOR_CONSTRUCTOR_V1, WALK_FORWARD_BOOTSTRAP_V1, TRANSITION_SET_ENUMERATOR_V1(MRC/CVaR 확장), REBALANCE_CADENCE_GATE_V1, WEEKLY_LEGACY_TRANSFER_PLAN_V1 기존 regime/cluster 연동 정책 수치(현금방어선, 반도체 cap)는 그대로 유지하고 신규 cap 필드만 추가. spec/09_decision_flow.yaml과 runtime/active_artifact_manifest.yaml에 전 엔진 배선 완료. governance/todo/v8_9_p{0,1,2,3}_adoption_plan.yaml에 각 단계 작업 추적 기록. 검증: validate_specs/validate_golden_coverage_100(100%)/validate_calibration_registry_v1/ validate_schema_model_generation_v1/validate_agents_shrink_v1 전부 PASS. golden test 53/53 PASS. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-06-18 00:06:52 +09:00
parent aed1eae421
commit aedabdd37b
82 changed files with 7515 additions and 5 deletions
@@ -0,0 +1,153 @@
+#!/usr/bin/env python3
+"""TRANSITION_SET_ENUMERATOR_V1 — spec/formulas/domains/portfolio.yaml.
+
+Evaluates combinations of already-vetoed candidates as a portfolio-level set,
+so individually-passing candidates that jointly breach cash floor or
+concentration caps are rejected. governance/todo/v8_9_p2_adoption_plan.yaml P2-B.
+"""
+from __future__ import annotations
+
+import argparse
+import itertools
+import json
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[1]
+DEFAULT_TRANSITION_OPTIMIZER = ROOT / "Temp" / "portfolio_transition_optimizer_v1.json"
+DEFAULT_OUT = ROOT / "Temp" / "transition_set_enumerator_v1.json"
+
+COMPLEXITY_PENALTY_RATE_KRW = 5000.0
+
+
+def _load(path: Path) -> dict:
+    if not path.exists():
+        return {}
+    try:
+        data = json.loads(path.read_text(encoding="utf-8"))
+        return data if isinstance(data, dict) else {}
+    except Exception:
+        return {}
+
+
+def post_trade_mrc(transition_set: tuple[dict, ...], portfolio_total_risk_budget: float) -> float | None:
+    if not portfolio_total_risk_budget:
+        return None
+    total = sum(c.get("marginal_risk_contribution", 0.0) for c in transition_set)
+    return total / portfolio_total_risk_budget
+
+
+def post_trade_cvar95_krw(transition_set: tuple[dict, ...]) -> float | None:
+    values = [c.get("cvar95_loss_krw") for c in transition_set]
+    if any(v is None for v in values):
+        return None
+    return sum(values)
+
+
+def set_hard_constraint_pass(
+    transition_set: tuple[dict, ...],
+    portfolio_total_risk_budget: float = 0.0,
+    mrc_cap: float = 1.0,
+    cvar95_budget_krw: float | None = None,
+) -> bool:
+    post_trade_cash_floor_pct = sum(c.get("post_trade_cash_floor_delta_pct", 0.0) for c in transition_set)
+    post_trade_concentration_pct = sum(c.get("post_trade_concentration_delta_pct", 0.0) for c in transition_set)
+    if post_trade_cash_floor_pct < 0 or post_trade_concentration_pct > 0:
+        return False
+
+    mrc = post_trade_mrc(transition_set, portfolio_total_risk_budget)
+    if mrc is not None and mrc > mrc_cap:
+        return False
+
+    cvar95 = post_trade_cvar95_krw(transition_set)
+    if cvar95 is not None and cvar95_budget_krw is not None and cvar95 < -abs(cvar95_budget_krw):
+        return False
+
+    return True
+
+
+def set_transition_utility_krw(transition_set: tuple[dict, ...]) -> float:
+    total = sum(c.get("transition_utility_krw") or 0.0 for c in transition_set)
+    combination_penalty = COMPLEXITY_PENALTY_RATE_KRW * (len(transition_set) - 1)
+    return total - combination_penalty
+
+
+def enumerate_transition_sets(
+    candidates: list[dict],
+    max_set_size: int = 3,
+    portfolio_total_risk_budget: float = 0.0,
+    mrc_cap: float = 1.0,
+    cvar95_budget_krw: float | None = None,
+) -> list[dict]:
+    passing = [c for c in candidates if c.get("hard_constraint_pass") is True]
+    evaluated_sets = []
+    for size in range(1, min(max_set_size, len(passing)) + 1):
+        for combo in itertools.combinations(passing, size):
+            evaluated_sets.append(
+                {
+                    "candidate_ids": [c.get("candidate_id") for c in combo],
+                    "set_hard_constraint_pass": set_hard_constraint_pass(
+                        combo, portfolio_total_risk_budget, mrc_cap, cvar95_budget_krw
+                    ),
+                    "set_transition_utility_krw": set_transition_utility_krw(combo),
+                    "post_trade_mrc": post_trade_mrc(combo, portfolio_total_risk_budget),
+                    "post_trade_cvar95_krw": post_trade_cvar95_krw(combo),
+                }
+            )
+    return evaluated_sets
+
+
+def select_best_set(evaluated_sets: list[dict]) -> dict | None:
+    passing_sets = [s for s in evaluated_sets if s["set_hard_constraint_pass"]]
+    if not passing_sets:
+        return None
+    return max(
+        passing_sets,
+        key=lambda s: (s["set_transition_utility_krw"], -len(s["candidate_ids"])),
+    )
+
+
+def main() -> int:
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--transition-optimizer", default=str(DEFAULT_TRANSITION_OPTIMIZER))
+    ap.add_argument("--max-set-size", type=int, default=3)
+    ap.add_argument("--out", default=str(DEFAULT_OUT))
+    args = ap.parse_args()
+
+    doc = _load(Path(args.transition_optimizer))
+    candidates = doc.get("candidate_actions") if isinstance(doc.get("candidate_actions"), list) else []
+
+    if not candidates:
+        result = {
+            "formula_id": "TRANSITION_SET_ENUMERATOR_V1",
+            "gate": "NO_TRADE",
+            "selected_transition_set": [],
+            "rejected_sets_count": 0,
+            "source_paths": [str(Path(args.transition_optimizer))],
+        }
+        out = Path(args.out)
+        out.write_text(json.dumps(result, ensure_ascii=False, indent=2), encoding="utf-8")
+        print(json.dumps(result, ensure_ascii=False, indent=2))
+        return 0
+
+    evaluated_sets = enumerate_transition_sets(candidates, args.max_set_size)
+    best = select_best_set(evaluated_sets)
+    rejected_count = len(evaluated_sets) - (1 if best else 0)
+
+    result = {
+        "formula_id": "TRANSITION_SET_ENUMERATOR_V1",
+        "gate": "PASS" if best else "NO_TRADE",
+        "selected_transition_set": best["candidate_ids"] if best else [],
+        "set_transition_utility_krw": best["set_transition_utility_krw"] if best else None,
+        "post_trade_mrc": best["post_trade_mrc"] if best else None,
+        "post_trade_cvar95_krw": best["post_trade_cvar95_krw"] if best else None,
+        "rejected_sets_count": rejected_count,
+        "source_paths": [str(Path(args.transition_optimizer))],
+    }
+    out = Path(args.out)
+    out.write_text(json.dumps(result, ensure_ascii=False, indent=2), encoding="utf-8")
+    print(json.dumps(result, ensure_ascii=False, indent=2))
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())