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>
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"""validate_predictive_alpha_dialectic_v2.py — P1-014: Dialectical Predictive Alpha V2 Calibration
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Checks:
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1. bearish_buy_violation_count: BEARISH 판정 종목에 BUY 제안 0건 검증
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2. synthesis_decile_monotonicity: T+20 표본 부족 시 INSUFFICIENT_DATA
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3. alpha_calibration_gate: violations=0 → BEARISH_SAFE / T+20>=30 + monoton → CALIBRATED
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T+20 표본이 30건 미만이면 monotonicity 검증 불가 → gate는 BEARISH_SAFE_PENDING_CALIBRATION.
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"""
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from __future__ import annotations
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import argparse
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import json
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import sys
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from datetime import datetime, timezone
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from pathlib import Path
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from v7_hardening_common import ROOT, TEMP, load_json, save_json
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if sys.stdout.encoding and sys.stdout.encoding.lower() not in ("utf-8", "utf8"):
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sys.stdout = open(sys.stdout.fileno(), mode="w", encoding="utf-8", buffering=1)
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DEFAULT_ALPHA = TEMP / "predictive_alpha_engine_v2.json"
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DEFAULT_HIST = ROOT / "Temp" / "proposal_evaluation_history.json"
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DEFAULT_OUT = TEMP / "predictive_alpha_calibration_v2.json"
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DECILE_MIN_SAMPLES = 30 # decile monotonicity 검증에 필요한 최소 T+20 표본 수
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DECILE_COUNT = 5 # synthesis_score 5분위
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_BEARISH_VERDICTS = {"BEARISH", "STRONG_BEARISH", "AVOID"}
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_BUY_ACTIONS = {"BUY", "STRONG_BUY", "LIMIT_BUY"}
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def _check_bearish_violations(alpha_rows: list[dict]) -> list[dict]:
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"""현재 alpha 행에서 BEARISH 판정이지만 allow_execution=True인 경우."""
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violations = []
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for row in alpha_rows:
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ticker = row.get("ticker", "")
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if ticker == "DATA_MISSING":
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continue
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verdict = str(row.get("synthesis_verdict") or "").upper()
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dc = float(row.get("direction_confidence") or 0)
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if verdict in _BEARISH_VERDICTS and row.get("allow_execution"):
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violations.append({
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"ticker": ticker,
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"synthesis_verdict": verdict,
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"direction_confidence": dc,
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"violation_type": "BEARISH_EXECUTION_ALLOWED",
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})
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return violations
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def _check_history_violations(records: list[dict]) -> list[dict]:
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"""과거 이력에서 BEARISH 판정+BUY 제안 케이스."""
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violations = []
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for r in records:
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if r.get("data_origin") == "REPLAY_FROM_KRX_EOD":
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continue # REPLAY 제외
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action = str(r.get("action") or "").upper()
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pa_json = r.get("predictive_alpha_json") or {}
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if isinstance(pa_json, str):
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try:
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pa_json = json.loads(pa_json)
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except Exception:
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continue
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verdict = str(pa_json.get("synthesis_verdict") or "").upper() if pa_json else ""
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if action in _BUY_ACTIONS and verdict in _BEARISH_VERDICTS:
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violations.append({
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"proposal_id": r.get("proposal_id"),
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"ticker": r.get("ticker"),
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"action": action,
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"synthesis_verdict": verdict,
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"violation_type": "HISTORY_BEARISH_BUY",
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})
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return violations
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def _check_decile_monotonicity(records: list[dict]) -> dict:
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"""T+20 표본이 있는 경우 synthesis_score decile별 수익률 단조 증가 검증."""
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t20_with_score = [
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r for r in records
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if r.get("t20_evaluation_status") == "EVALUATED_T20"
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and r.get("t20_return_pct") is not None
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and r.get("data_origin") != "REPLAY_FROM_KRX_EOD"
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]
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if len(t20_with_score) < DECILE_MIN_SAMPLES:
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return {
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"status": "INSUFFICIENT_DATA",
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"note": f"T+20 LIVE 표본 {len(t20_with_score)}/{DECILE_MIN_SAMPLES} — 단조성 검증 불가",
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"pass": False,
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}
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# (실측 데이터가 있을 때의 로직: 향후 자동 실행)
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return {
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"status": "INSUFFICIENT_DATA",
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"note": f"T+20 LIVE 표본 {len(t20_with_score)}/{DECILE_MIN_SAMPLES} — 검증 준비 중",
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"pass": False,
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}
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def main() -> int:
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ap = argparse.ArgumentParser()
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ap.add_argument("--alpha", default=str(DEFAULT_ALPHA))
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ap.add_argument("--hist", default=str(DEFAULT_HIST))
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ap.add_argument("--out", default=str(DEFAULT_OUT))
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args = ap.parse_args()
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alpha = load_json(Path(args.alpha))
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hist_raw = load_json(Path(args.hist))
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records: list[dict] = hist_raw.get("records", []) if isinstance(hist_raw, dict) else (hist_raw if isinstance(hist_raw, list) else [])
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alpha_rows: list[dict] = alpha.get("rows", []) if isinstance(alpha, dict) else []
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# ── 검증 1: bearish buy violations ──────────────────────────────────────
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live_violations = _check_bearish_violations(alpha_rows)
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history_violations = _check_history_violations(records)
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all_violations = live_violations + history_violations
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bearish_buy_violation_count = len(all_violations)
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# ── 검증 2: synthesis decile monotonicity ──────────────────────────────
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monotonicity = _check_decile_monotonicity(records)
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synthesis_decile_monotonicity = "PASS" if monotonicity.get("pass") else monotonicity["status"]
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# ── gate 판정 ──────────────────────────────────────────────────────────
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if bearish_buy_violation_count > 0:
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gate = "BLOCKED_BEARISH_VIOLATION"
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alpha_calibration_gate = "BLOCKED_BEARISH_VIOLATION"
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elif synthesis_decile_monotonicity == "PASS":
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gate = "CALIBRATED"
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alpha_calibration_gate = "CALIBRATED"
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else:
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gate = "BEARISH_SAFE_PENDING_CALIBRATION"
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alpha_calibration_gate = "BEARISH_SAFE_PENDING_CALIBRATION"
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result = {
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"formula_id": "PREDICTIVE_ALPHA_CALIBRATION_V2",
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"generated_at": datetime.now(timezone.utc).isoformat(),
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"gate": gate,
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"alpha_calibration_gate": alpha_calibration_gate,
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"bearish_buy_violation_count": bearish_buy_violation_count,
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"synthesis_decile_monotonicity": synthesis_decile_monotonicity,
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"violations": all_violations,
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"monotonicity_detail": monotonicity,
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"targets": {
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"alpha_calibration_gate": "CALIBRATED",
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"synthesis_decile_monotonicity": "PASS",
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"bearish_buy_violation_count": "==0",
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},
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"gate_path": {
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"CALIBRATED": "bearish_violations==0 AND decile_monotonicity==PASS",
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"BEARISH_SAFE_PENDING_CALIBRATION": "bearish_violations==0 AND T+20<30 (현재 상태)",
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"BLOCKED_BEARISH_VIOLATION": "bearish BUY 감지됨 → 즉시 차단",
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},
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}
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save_json(args.out, result)
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print(json.dumps({k: v for k, v in result.items() if k != "violations"}, ensure_ascii=False, indent=2))
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return 1 if gate == "BLOCKED_BEARISH_VIOLATION" else 0
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if __name__ == "__main__":
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raise SystemExit(main())
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