비기계적 매도전략(가치보존) + 위성종목 추천 엔진 추가

매크로·실적·펀더멘털·공매도수급·호가미시구조·대내외 변수 5개 독립 팩터군의 confluence(최소 3/5 합의) 없이는 매도 트리거를 금지하는 정성적 매도판단 엔진과, 보유종목 제외 위성후보 추천 로직을 추가한다. - 단일 팩터 임계값 돌파만으로는 매도 신호를 생성하지 않음 (mechanical_sell_prohibited=true) - 데이터 결측 시 항상 DATA_MISSING/INSUFFICIENT_DATA_NO_ACTION — 추정값으로 채우지 않음 - KIS 호가10단계·공매도거래비중 + Naver 시세/수급 스크래핑 입력 연동 - SQLite 시계열 저장 + 사후 적중률 자체평가 (evaluate_qualitative_sell_strategy_accuracy_v1) - Gitea 일일 스케줄(장마감 후) + 파이프라인 계약 검증 게이트
2026-06-21 20:05:55 +09:00
parent 4cb206a269
commit da0e1b0f7e
15 changed files with 2321 additions and 0 deletions
@@ -0,0 +1,81 @@
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[2]
+if str(ROOT) not in sys.path:
+    sys.path.insert(0, str(ROOT))
+
+from tools.evaluate_qualitative_sell_strategy_accuracy_v1 import (
+    _scoreable_direction,
+    build_accuracy_report,
+    evaluate_decision,
+)
+from src.quant_engine.qualitative_sell_strategy_store_v1 import insert_sell_strategy_result
+
+
+def test_scoreable_direction():
+    assert _scoreable_direction("EXIT_REVIEW_FULL") == -1
+    assert _scoreable_direction("TRIM_REVIEW_PARTIAL") == -1
+    assert _scoreable_direction("HOLD_ADD_CONVICTION") == 1
+    assert _scoreable_direction("HOLD_NO_CONFLUENCE") is None
+    assert _scoreable_direction("INSUFFICIENT_DATA_NO_ACTION") is None
+
+
+def test_evaluate_decision_sell_success_when_price_drops():
+    decision = {"action": "EXIT_REVIEW_FULL"}
+    result = evaluate_decision(decision, price_at_decision=100.0, price_after=90.0)
+    assert result["success"] is True
+    assert result["realized_return_pct"] == -10.0
+
+
+def test_evaluate_decision_sell_failure_when_price_rises():
+    decision = {"action": "TRIM_REVIEW_PARTIAL"}
+    result = evaluate_decision(decision, price_at_decision=100.0, price_after=110.0)
+    assert result["success"] is False
+
+
+def test_evaluate_decision_hold_add_success_when_price_rises():
+    decision = {"action": "HOLD_ADD_CONVICTION"}
+    result = evaluate_decision(decision, price_at_decision=100.0, price_after=105.0)
+    assert result["success"] is True
+
+
+def test_evaluate_decision_returns_none_for_non_directional_action():
+    assert evaluate_decision({"action": "HOLD_NO_CONFLUENCE"}, 100.0, 105.0) is None
+
+
+def test_build_accuracy_report_data_gated_when_sample_too_small(tmp_path):
+    db_path = tmp_path / "test.db"
+    insert_sell_strategy_result(db_path, {
+        "code": "005930", "generated_at": "2026-06-01T12:00:00",
+        "decision": {"action": "EXIT_REVIEW_FULL"},
+    })
+    report = build_accuracy_report(db_path, price_lookup={
+        "005930": {"2026-06-01": 100.0, "2026-06-06": 90.0},
+    })
+    assert report["status"] == "DATA_GATED"
+    assert report["scored_sample_count"] == 1
+
+
+def test_build_accuracy_report_ok_with_enough_samples(tmp_path):
+    db_path = tmp_path / "test.db"
+    price_lookup: dict = {}
+    for i in range(12):
+        code = f"00000{i % 3}"
+        gen_at = f"2026-05-{(i % 20) + 1:02d}T12:00:00"
+        insert_sell_strategy_result(db_path, {
+            "code": code, "generated_at": gen_at,
+            "decision": {"action": "EXIT_REVIEW_FULL"},
+        })
+        date_key = gen_at[:10]
+        future_key = (
+            __import__("datetime").date.fromisoformat(date_key) + __import__("datetime").timedelta(days=5)
+        ).isoformat()
+        price_lookup.setdefault(code, {})[date_key] = 100.0
+        price_lookup[code][future_key] = 90.0  # 매도신호 후 하락 — success
+    report = build_accuracy_report(db_path, price_lookup)
+    assert report["status"] == "OK"
+    assert report["hit_rate_pct"] == 100.0
+    assert report["scored_sample_count"] == 12
@@ -0,0 +1,70 @@
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[2]
+if str(ROOT) not in sys.path:
+    sys.path.insert(0, str(ROOT))
+
+from src.quant_engine.qualitative_sell_strategy_store_v1 import (
+    QualitativeSellStoreSpec,
+    fetch_recent_sell_strategy_results,
+    insert_satellite_recommendation,
+    insert_sell_strategy_result,
+    resolve_store_path,
+)
+
+
+def test_insert_and_fetch_sell_strategy_result(tmp_path):
+    db_path = tmp_path / "test.db"
+    result = {
+        "code": "005930",
+        "generated_at": "2026-06-21T12:00:00+09:00",
+        "decision": {
+            "action": "TRIM_REVIEW_PARTIAL",
+            "conviction": "MEDIUM",
+            "market_regime": "TECHNICAL_MARKET",
+            "composite_score": 0.42,
+            "rationale": "test rationale",
+        },
+    }
+    insert_sell_strategy_result(db_path, result)
+    rows = fetch_recent_sell_strategy_results(db_path, "005930")
+    assert len(rows) == 1
+    assert rows[0]["action"] == "TRIM_REVIEW_PARTIAL"
+    assert rows[0]["composite_score"] == 0.42
+
+
+def test_fetch_returns_empty_list_when_db_missing(tmp_path):
+    rows = fetch_recent_sell_strategy_results(tmp_path / "nonexistent.db", "005930")
+    assert rows == []
+
+
+def test_multiple_inserts_ordered_by_generated_at_desc(tmp_path):
+    db_path = tmp_path / "test.db"
+    for ts in ("2026-06-19T12:00:00", "2026-06-21T12:00:00", "2026-06-20T12:00:00"):
+        insert_sell_strategy_result(db_path, {
+            "code": "005930", "generated_at": ts,
+            "decision": {"action": "HOLD_NO_CONFLUENCE"},
+        })
+    rows = fetch_recent_sell_strategy_results(db_path, "005930")
+    assert [r["generated_at"] for r in rows] == ["2026-06-21T12:00:00", "2026-06-20T12:00:00", "2026-06-19T12:00:00"]
+
+
+def test_insert_satellite_recommendation(tmp_path):
+    db_path = tmp_path / "test.db"
+    insert_satellite_recommendation(db_path, "2026-06-21T12:00:00+09:00", {
+        "ticker": "042700",
+        "score": {"satellite_action": "BUY_CANDIDATE", "attractiveness_score": 0.6, "market_regime": "PERFORMANCE_MARKET"},
+    })
+    import sqlite3
+    conn = sqlite3.connect(db_path)
+    row = conn.execute("SELECT ticker, satellite_action, attractiveness_score FROM satellite_recommendations").fetchone()
+    conn.close()
+    assert row == ("042700", "BUY_CANDIDATE", 0.6)
+
+
+def test_resolve_store_path_supports_sqlite(tmp_path):
+    db_path = resolve_store_path(QualitativeSellStoreSpec(location=tmp_path / "qualitative.db"), ROOT)
+    assert str(db_path).endswith("qualitative.db")
@@ -0,0 +1,148 @@
+from __future__ import annotations
+
+import sys
+from datetime import date
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[2]
+if str(ROOT) not in sys.path:
+    sys.path.insert(0, str(ROOT))
+
+from src.quant_engine.qualitative_sell_strategy_v1 import (
+    classify_market_regime,
+    compute_microstructure_pressure_from_orderbook,
+    compute_qualitative_sell_strategy,
+    compute_satellite_candidate_score,
+    compute_short_interest_composite,
+)
+
+
+def test_classify_market_regime():
+    assert classify_market_regime("RISING") == "PERFORMANCE_MARKET"
+    assert classify_market_regime("FLAT") == "TECHNICAL_MARKET"
+    assert classify_market_regime("FALLING") == "TECHNICAL_MARKET"
+    assert classify_market_regime(None) == "NEUTRAL"
+    assert classify_market_regime("garbage") == "NEUTRAL"
+
+
+def test_short_interest_composite_data_missing_without_estimating():
+    result = compute_short_interest_composite({"short_balance_ratio": 0.6})
+    assert result["status"] == "DATA_MISSING"
+    assert "short_turnover_share" in result["missing_inputs"]
+    assert result["short_interest_pressure"] is None
+
+
+def test_short_interest_composite_low_balance_regime_reweights():
+    low_balance = compute_short_interest_composite({
+        "short_balance_ratio": 0.6, "short_balance_ratio_chg_20d": 0.1,
+        "short_turnover_share": 14.0, "relative_return_20d": -8.0,
+        "volume_ratio_5d": 1.8, "earnings_outlook": "DETERIORATING",
+    })
+    assert low_balance["low_balance_regime"] is True
+    assert low_balance["weights_used"]["balance"] < low_balance["weights_used"]["turnover"]
+    assert low_balance["label"] == "ELEVATED_SHORT_PRESSURE"
+
+
+def test_confluence_requires_minimum_three_agreeing_factors():
+    # 2개 팩터만 매도방향(macro, short_interest) 합의 — 3개 미달이므로 매도 액션 금지
+    ctx = {
+        "macro_pressure": 0.5, "short_interest_pressure": 0.6,
+        "fundamental_trajectory": -0.5, "microstructure_pressure": -0.4,
+        "liquidity_rotation_risk": 0.1,
+    }
+    out = compute_qualitative_sell_strategy(ctx)
+    assert out["action"] not in {"EXIT_REVIEW_FULL", "TRIM_REVIEW_PARTIAL"}
+
+
+def test_confluence_triggers_trim_when_three_factors_agree():
+    ctx = {
+        "macro_pressure": 0.5, "short_interest_pressure": 0.5,
+        "fundamental_trajectory": 0.4, "microstructure_pressure": 0.1,
+        "liquidity_rotation_risk": 0.0,
+    }
+    out = compute_qualitative_sell_strategy(ctx)
+    assert out["action"] == "TRIM_REVIEW_PARTIAL"
+    assert set(out["sell_agreeing_factors"]) == {"macro_pressure", "short_interest_pressure", "fundamental_trajectory"}
+
+
+def test_insufficient_data_does_not_fabricate_action():
+    out = compute_qualitative_sell_strategy({"macro_pressure": 0.9})
+    assert out["action"] == "INSUFFICIENT_DATA_NO_ACTION"
+    assert out["mechanical_sell_prohibited"] is True
+
+
+def test_review_window_pre_earnings_when_outlook_deteriorating():
+    ctx = {
+        "macro_pressure": 0.5, "fundamental_trajectory": 0.5, "short_interest_pressure": 0.5,
+        "earnings_outlook": "DETERIORATING",
+        "next_earnings_date": date(2026, 7, 24),
+        "today": date(2026, 6, 21),
+    }
+    out = compute_qualitative_sell_strategy(ctx)
+    assert out["review_window"]["window_basis"] == "PRE_EARNINGS_EXIT_BEFORE_SURPRISE_RISK"
+    assert out["review_window"]["review_window_end"] < "2026-07-24"
+
+
+def test_review_window_defers_past_earnings_when_outlook_improving():
+    ctx = {
+        "macro_pressure": -0.5, "fundamental_trajectory": -0.5, "short_interest_pressure": -0.5,
+        "earnings_outlook": "IMPROVING",
+        "next_earnings_date": date(2026, 7, 24),
+        "today": date(2026, 6, 21),
+    }
+    out = compute_qualitative_sell_strategy(ctx)
+    assert out["action"] == "HOLD_ADD_CONVICTION"
+    assert out["review_window"]["window_basis"] == "REASSESS_AFTER_EARNINGS_CONFIRM"
+
+
+def test_regime_weighting_shifts_composite_score_without_changing_confluence_count():
+    base_ctx = {
+        "macro_pressure": 0.4, "fundamental_trajectory": 0.6, "short_interest_pressure": 0.35,
+        "microstructure_pressure": 0.1, "liquidity_rotation_risk": 0.0,
+    }
+    performance = compute_qualitative_sell_strategy({**base_ctx, "rate_trend": "RISING"})
+    technical = compute_qualitative_sell_strategy({**base_ctx, "rate_trend": "FALLING"})
+    assert performance["market_regime"] == "PERFORMANCE_MARKET"
+    assert technical["market_regime"] == "TECHNICAL_MARKET"
+    assert performance["sell_agreeing_factors"] == technical["sell_agreeing_factors"]
+    assert performance["composite_score"] != technical["composite_score"]
+
+
+def test_satellite_candidate_score_insufficient_data():
+    out = compute_satellite_candidate_score({"fundamental_trajectory": 0.2})
+    assert out["satellite_action"] == "INSUFFICIENT_DATA_NO_ACTION"
+
+
+def test_satellite_candidate_score_buy_candidate_on_strong_export_and_fundamentals():
+    out = compute_satellite_candidate_score({
+        "sector_export_trend": 12.0, "fundamental_trajectory": -0.4,
+        "relative_return_20d": 3.0, "rate_trend": "RISING",
+    })
+    assert out["satellite_action"] == "BUY_CANDIDATE"
+    assert out["market_regime"] == "PERFORMANCE_MARKET"
+
+
+def test_microstructure_pressure_from_orderbook_ask_heavy_is_positive():
+    out = compute_microstructure_pressure_from_orderbook({"total_askp_rsqn": "300000", "total_bidp_rsqn": "100000"})
+    assert out["status"] == "OK"
+    assert out["microstructure_pressure"] > 0
+
+
+def test_microstructure_pressure_from_orderbook_bid_heavy_is_negative():
+    out = compute_microstructure_pressure_from_orderbook({"total_askp_rsqn": "100000", "total_bidp_rsqn": "300000"})
+    assert out["microstructure_pressure"] < 0
+
+
+def test_microstructure_pressure_from_orderbook_missing_fields():
+    out = compute_microstructure_pressure_from_orderbook({})
+    assert out["status"] == "DATA_MISSING"
+    assert out["microstructure_pressure"] is None
+
+
+def test_map_universe_sector_to_hs_sector_substring_match():
+    from tools.build_satellite_candidate_recommendations_v1 import map_universe_sector_to_hs_sector
+
+    assert map_universe_sector_to_hs_sector("반도체/PCB") == "반도체"
+    assert map_universe_sector_to_hs_sector("자동차/부품") == "자동차"
+    assert map_universe_sector_to_hs_sector("AI전력/기기") is None
+    assert map_universe_sector_to_hs_sector(None) is None
@@ -0,0 +1,24 @@
+from __future__ import annotations
+
+import json
+import sys
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[2]
+if str(ROOT) not in sys.path:
+    sys.path.insert(0, str(ROOT))
+
+import tools.validate_qualitative_sell_strategy_pipeline_v1 as validator
+
+
+def test_validate_qualitative_sell_strategy_pipeline_passes(tmp_path, monkeypatch):
+    out = tmp_path / "qualitative_sell_strategy_pipeline_v1.json"
+    monkeypatch.setattr(sys, "argv", ["validate_qualitative_sell_strategy_pipeline_v1.py"])
+    monkeypatch.setattr(validator, "ROOT", ROOT)
+
+    rc = validator.main()
+    payload = json.loads((ROOT / "Temp" / "qualitative_sell_strategy_pipeline_v1.json").read_text(encoding="utf-8"))
+
+    assert rc == 0
+    assert payload["gate"] == "PASS"
+    assert payload["checks"]["store_contract"] is True