feat: 리밸런싱 엔진 V1 + GAS 버그 수정 (2026-06-13)

주요 변경: - tools/build_rebalance_engine_v1.py: REBALANCE_ENGINE_V1 신규 * account_snapshot 직접 합산(_build_snap_position_map) → 소수주 분리 행 병합 * 레짐 소스 macro.REGIME_PRELIM 최우선 (GAS 와 동일) - src/gas_adapter_parts/gdf_06_rebalance.gs: runRebalanceSheet_() 신규 * Logger.log / getSpreadsheet_() 로 run_all 연동 수정 - src/gas_adapter_parts/gdc_01_fetch_fundamentals.gs * _mergePositionRecord_(): 소수주 중복 행 합산 신규 * parseInt → parseFloat (qty, availQty) - src/gas_adapter_parts/gdf_01_price_metrics.gs * 미보유 종목 SELL_READY → WATCH_EXIT_SIGNAL - spec/41_release_dag.yaml: build_rebalance_sheet 노드 추가 (step_count 63) - spec/51_formula_lifecycle_registry.yaml: REBALANCE_ENGINE_V1 등록 Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-06-13 13:20:14 +09:00
commit ee3e799de1
1474 changed files with 176087 additions and 0 deletions
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+from __future__ import annotations
+
+import argparse
+import json
+from pathlib import Path
+from typing import Any
+
+ROOT = Path(__file__).resolve().parents[1]
+DEFAULT_JSON = ROOT / "GatherTradingData.json"
+DEFAULT_OUT = ROOT / "Temp" / "predictive_alpha_engine_v2.json"
+DEFAULT_CAPITAL = ROOT / "Temp" / "capital_style_allocation_v1.json"
+DEFAULT_HORIZON = ROOT / "Temp" / "horizon_classification_v1.json"
+
+def _load(path: Path) -> dict[str, Any]:
+    if not path.exists():
+        return {}
+    try:
+        obj = json.loads(path.read_text(encoding="utf-8"))
+    except Exception:
+        return {}
+    return obj if isinstance(obj, dict) else {}
+
+def main() -> int:
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--json", default=str(DEFAULT_JSON))
+    ap.add_argument("--capital", default=str(DEFAULT_CAPITAL))
+    ap.add_argument("--horizon", default=str(DEFAULT_HORIZON))
+    ap.add_argument("--out", default=str(DEFAULT_OUT))
+    args = ap.parse_args()
+
+    jp = Path(args.json)
+    op = Path(args.out)
+    if not jp.is_absolute():
+        jp = ROOT / jp
+    if not op.is_absolute():
+        op = ROOT / op
+
+    data = _load(jp)
+    capital = _load(Path(args.capital) if Path(args.capital).is_absolute() else ROOT / args.capital)
+    horizon = _load(Path(args.horizon) if Path(args.horizon).is_absolute() else ROOT / args.horizon)
+    
+    out = {
+        "formula_id": "PREDICTIVE_ALPHA_DIALECTIC_ENGINE_V2",
+        "gate": "PASS",
+        "numeric_generation_allowed": 0,
+        "rows": []
+    }
+    
+    # P1-1: PA1 팩터 캡 적용 — 단일 거시팩터 기여 ≤ antithesis_total의 50%
+    # usd_krw_weak 등 글로벌 팩터가 종목별 antithesis를 지배하지 못하도록 캡 강제
+    MACRO_FACTORS = {"usd_krw_weak", "vkospi_high", "global_risk_off", "fomc_hawkish"}
+    SINGLE_FACTOR_CAP_RATIO = 0.50  # antithesis_total 대비 50% 상한
+
+    # [NF1] 종목별 FX 민감도 베타 — 수출주(삼성전자·SK하이닉스)는 usd_krw_weak 영향 ↑
+    # 내수주는 FX 영향 상대적으로 낮으므로 usd_krw_weak 기여를 줄임
+    EXPORT_TICKERS = {"005930", "000660", "000660", "034020"}   # 삼성전자, SK하이닉스, 두산에너빌리티
+    DOMESTIC_TICKERS = {"010120", "064350", "028050", "012450"} # 내수/IT서비스 위주
+    FX_BETA_EXPORT = 1.2     # 수출주: FX 민감도 20% 가중
+    FX_BETA_DOMESTIC = 0.7   # 내수주: FX 민감도 30% 축소
+    FX_BETA_DEFAULT = 1.0
+
+    hctx = data.get("data", {}).get("_harness_context", {}) if isinstance(data, dict) else {}
+    pa_json_raw = hctx.get("predictive_alpha_json", [])
+    if isinstance(pa_json_raw, str):
+        try:
+            pa_json_raw = json.loads(pa_json_raw)
+        except Exception:
+            pa_json_raw = []
+    rows_in = pa_json_raw if isinstance(pa_json_raw, list) else pa_json_raw.get("rows", [])
+    if not rows_in:
+        cap_rows = capital.get("rows") if isinstance(capital.get("rows"), list) else []
+        hz_rows = {str(r.get("ticker") or ""): r for r in (horizon.get("rows") or []) if isinstance(r, dict)}
+        rows_in = []
+        for r in cap_rows:
+            if not isinstance(r, dict):
+                continue
+            best = max(
+                [s for s in (r.get("styles") or []) if isinstance(s, dict)],
+                key=lambda s: float(s.get("conviction_score") or 0.0),
+                default={},
+            )
+            best_style = str(best.get("style") or "UNKNOWN")
+            conviction = float(best.get("conviction_score") or 0.0)
+            expected_horizon = {"SCALP": "SHORT", "SWING": "SHORT", "MOMENTUM": "MID", "POSITION": "LONG"}.get(best_style, "UNKNOWN")
+            actual_horizon = str(hz_rows.get(str(r.get("ticker") or ""), {}).get("horizon") or "UNKNOWN")
+            rows_in.append({
+                "ticker": r.get("ticker"),
+                "name": r.get("name"),
+                "thesis_breakdown": [
+                    {"factor": f"{best_style}_CONVICTION_PROXY", "hit": True, "score": round(conviction * 0.6, 2)},
+                    {"factor": "DATA_QUALITY_PROXY", "hit": True, "score": 10.0 if actual_horizon != "UNKNOWN" else 0.0},
+                ],
+                "antithesis_breakdown": [
+                    {"factor": "STYLE_MISMATCH_RISK", "hit": expected_horizon != actual_horizon and actual_horizon not in ("UNKNOWN", "ETF"), "score": 25.0 if expected_horizon != actual_horizon else 0.0},
+                    {"factor": "MACRO_RISK_PROXY", "hit": True, "score": max(0.0, 30.0 - conviction * 0.2)},
+                ],
+                "synthesis_verdict": "WATCH",
+            })
+
+    # [NF2] REBOUND_CAPTURE thesis factor — prices_json에서 조건 확인
+    prices_raw = hctx.get("prices_json", [])
+    if isinstance(prices_raw, str):
+        try:
+            prices_raw = json.loads(prices_raw)
+        except Exception:
+            prices_raw = []
+    prices_map = {str(p.get("ticker") or ""): p for p in (prices_raw if isinstance(prices_raw, list) else [])}
+    REBOUND_CAPTURE_WEIGHT = 15.0  # thesis bonus 점수
+
+    import statistics as _stats
+    pac_vals = []
+    for r in rows_in:
+        ticker = str(r.get("ticker") or "")
+
+        # [NF1] FX beta 결정
+        fx_beta = (
+            FX_BETA_EXPORT if ticker in EXPORT_TICKERS
+            else FX_BETA_DOMESTIC if ticker in DOMESTIC_TICKERS
+            else FX_BETA_DEFAULT
+        )
+
+        anti_breakdown = r.get("antithesis_breakdown") or []
+        anti_total_raw = sum(float(s.get("score", 0)) for s in anti_breakdown if s.get("hit"))
+
+        # 캡 적용: 단일 팩터 기여 ≤ anti_total_raw × 50%
+        # + [NF1] macro 팩터에 fx_beta 가중치 반영
+        anti_breakdown_capped = []
+        anti_total_capped = 0.0
+        for s in anti_breakdown:
+            if not s.get("hit"):
+                anti_breakdown_capped.append(dict(s, capped=False, fx_beta_applied=False))
+                continue
+            raw_contrib = float(s.get("score", 0))
+            factor_id = str(s.get("factor") or s.get("id") or "")
+            # [NF1] usd_krw_weak에 FX beta 적용
+            fx_adjusted = raw_contrib
+            fx_applied = False
+            if "usd_krw_weak" in factor_id or factor_id in MACRO_FACTORS:
+                fx_adjusted = round(raw_contrib * fx_beta, 2)
+                fx_applied = True
+            max_allowed = anti_total_raw * SINGLE_FACTOR_CAP_RATIO if anti_total_raw > 0 else fx_adjusted
+            capped_contrib = min(fx_adjusted, max_allowed)
+            capped = capped_contrib < fx_adjusted
+            anti_breakdown_capped.append(dict(
+                s,
+                score=round(capped_contrib, 2),
+                score_raw=raw_contrib,
+                capped=capped,
+                fx_beta_applied=fx_applied,
+                fx_beta=fx_beta if fx_applied else None,
+                factor_share_pct=round(raw_contrib / anti_total_raw * 100, 1) if anti_total_raw > 0 else 0,
+            ))
+            anti_total_capped += capped_contrib
+
+        # [NF2] REBOUND_CAPTURE thesis factor 조건 체크
+        px = prices_map.get(ticker, {})
+        rsi14 = float(px.get("rsi14") or px.get("RSI14") or 99)
+        price = float(px.get("current_price") or px.get("current_price_krw") or 0)
+        ma20 = float(px.get("ma20") or px.get("MA20") or 0)
+        flow_credit = float(px.get("flow_credit") or 0)
+        down_streak = int(px.get("down_streak") or 0)
+        rebound_hit = (
+            25 <= rsi14 <= 40
+            and ma20 > 0 and price <= ma20 * 1.03
+            and flow_credit >= 0.5
+            and down_streak >= 2
+        )
+        thesis_bd = list(r.get("thesis_breakdown") or [])
+        if rebound_hit:
+            thesis_bd = thesis_bd + [{
+                "factor": "REBOUND_CAPTURE_THESIS_NF2",
+                "hit": True,
+                "score": REBOUND_CAPTURE_WEIGHT,
+                "label": f"과매도반등(rsi={rsi14},flow={flow_credit},streak={down_streak})",
+            }]
+
+        thesis_total = sum(float(s.get("score", 0)) for s in thesis_bd if s.get("hit"))
+        dc = round(thesis_total - anti_total_capped, 2)
+        pac_vals.append(float(dc))
+
+        # synthesis_verdict 재계산 — 단순 GAS 값 복사 대신 dc 기반 결정론
+        # EXIT_SIGNAL은 antithesis≥60 AND thesis<20 AND dc<=-50 에서만 (Direction SFP1)
+        gas_verdict = str(r.get("synthesis_verdict") or "")
+        if anti_total_capped >= 60 and thesis_total < 20 and dc <= -50:
+            synthesis_verdict = "EXIT_SIGNAL"
+        elif dc >= 20:
+            synthesis_verdict = "BULLISH" if dc >= 40 else "ACCUMULATE"
+        elif dc >= 0:
+            synthesis_verdict = "PILOT"
+        elif dc >= -20:
+            synthesis_verdict = "NEUTRAL"
+        else:
+            synthesis_verdict = "HOLD"  # 약한 약세 → EXIT 아닌 HOLD
+
+        out["rows"].append({
+            "ticker": ticker,
+            "name": r.get("name", ""),
+            "thesis_score": round(thesis_total, 2),
+            "antithesis_score": round(anti_total_capped, 2),
+            "antithesis_score_raw": round(anti_total_raw, 2),
+            "antithesis_breakdown_capped": anti_breakdown_capped,
+            "thesis_breakdown": thesis_bd,
+            "synthesis_verdict": synthesis_verdict,
+            "synthesis_verdict_gas_original": gas_verdict,
+            "rebound_capture_hit": rebound_hit,
+            "direction_confidence": dc,
+            "fx_beta": fx_beta,
+            "allow_execution": dc > -20,
+        })
+
+    # 단일 팩터 최대 기여율 감사 + [SFP1] SINGLE_FACTOR_DEGENERATE 감지
+    max_factor_share = 0.0
+    for r in out["rows"]:
+        for s in r.get("antithesis_breakdown_capped", []):
+            if s.get("hit") and s.get("factor_share_pct"):
+                max_factor_share = max(max_factor_share, float(s.get("factor_share_pct", 0)))
+
+    pac_stddev = round(_stats.stdev(pac_vals), 2) if len(pac_vals) > 1 else 0.0
+
+    # [SFP1] 전 종목 동일 verdict 감지
+    all_verdicts = [str(r.get("synthesis_verdict") or "") for r in out["rows"] if r.get("ticker") != "DATA_MISSING"]
+    unique_verdicts = set(all_verdicts)
+    is_degenerate = len(all_verdicts) > 0 and len(unique_verdicts) == 1
+    degenerate_verdict = list(unique_verdicts)[0] if is_degenerate else None
+
+    # [NF2] rebound_capture 히트 통계
+    rebound_hit_count = sum(1 for r in out["rows"] if r.get("rebound_capture_hit"))
+    rebound_hit_rate = round(rebound_hit_count / len(all_verdicts) * 100, 1) if all_verdicts else 0.0
+
+    out["factor_cap_audit"] = {
+        "single_factor_max_share_pct": round(max_factor_share, 1),
+        "single_factor_cap_ratio": SINGLE_FACTOR_CAP_RATIO * 100,
+        "cap_applied": True,
+        "pac_stddev": pac_stddev,
+        "pac_per_ticker_distinct": pac_stddev > 0,
+        "dod_single_factor_max_share_le_50": max_factor_share <= 50.0,
+        "dod_pac_stddev_ge_5": pac_stddev >= 5.0,
+        # [SFP1] 퇴화 감지
+        "is_degenerate": is_degenerate,
+        "degenerate_verdict": degenerate_verdict,
+        "unique_verdict_count": len(unique_verdicts),
+        # [NF2] REBOUND_CAPTURE 통계
+        "rebound_capture_hit_count": rebound_hit_count,
+        "rebound_capture_hit_rate_pct": rebound_hit_rate,
+        "thesis_factor_hit_rate": round(rebound_hit_rate / 100.0, 3),
+        "dod_thesis_factor_hit_rate_ge_015": rebound_hit_rate / 100.0 >= 0.15,
+        # [NF1] FX beta 적용 여부
+        "nf1_fx_beta_applied": True,
+        "nf1_export_tickers": list(EXPORT_TICKERS),
+        "nf1_domestic_tickers": list(DOMESTIC_TICKERS),
+    }
+    # [SFP1] DEGENERATE 상태에서 gate=WARN 강제
+    dod_ok = max_factor_share <= 50.0 and pac_stddev >= 5.0 and not is_degenerate
+    out["gate"] = "PASS" if dod_ok else "WARN"
+    if is_degenerate:
+        out["degenerate_warning"] = (
+            f"[SINGLE_FACTOR_DEGENERATE: 전 종목 {degenerate_verdict} — Direction SFP1 위반. 예측엔진 재보정 필요]"
+        )
+
+    if not rows_in:
+        # 데이터 없을 경우 placeholder
+        out["rows"].append({
+            "ticker": "DATA_MISSING",
+            "thesis_score": 0, "antithesis_score": 0,
+            "synthesis_verdict": "UNKNOWN", "direction_confidence": 0,
+            "allow_execution": False,
+        })
+
+    op.parent.mkdir(parents=True, exist_ok=True)
+    op.write_text(json.dumps(out, ensure_ascii=False, indent=2), encoding="utf-8")
+    print(json.dumps(out, ensure_ascii=False, indent=2))
+    return 0
+
+if __name__ == "__main__":
+    raise SystemExit(main())