schema_version: formula_domain.v1 source: C:\Temp\data_feed\spec\13_formula_registry.yaml domain: portfolio formulas: TOTAL_HEAT_V1: purpose: 손절 기준 총 위험노출 계산 inputs: - field: average_cost source: account_snapshot unit: KRW_per_share - field: stop_price source: account_snapshot unit: KRW_per_share - field: quantity source: account_snapshot.holding_quantity unit: shares - field: total_asset unit: KRW expression: sum((average_cost - stop_price) * quantity for each confirmed account_snapshot holding) / total_asset * 100 output: field: total_heat_pct unit: percent missing_policy: stop_price: if atr20 exists use entry_price - atr20*2.0 else assume portfolio heat contribution cap breach quantity: NO_TOTAL_HEAT total_asset: NO_TOTAL_HEAT gates: - if: total_heat_pct >= 10 action: BLOCK_NEW_BUY - if: 7 <= total_heat_pct < 10 action: HALVE_NEW_BUY_QUANTITY - if: total_heat_pct < 7 action: ALLOW_CONTINUE canonical_ref: spec/risk/aggregate_risk.yaml:risk_control.aggregate_risk_cap owner: quant_team lifecycle_state: active input_fields: - average_cost - stop_price - quantity - total_asset output_fields: - total_heat_pct golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation RISK_BUDGET_CASCADE_V1: purpose: base risk budget에 Bayesian, 성과, 국면, Kelly 감액을 순서대로 적용 inputs: - field: base_risk_budget unit: ratio default: 0.007 - field: net_return_feedback_multiplier unit: ratio default: 1.0 - field: performance_brake_multiplier unit: ratio default: 1.0 - field: regime_reset_multiplier unit: ratio default: 1.0 - field: bayesian_confidence_multiplier unit: ratio - field: kelly_brake_multiplier unit: ratio default: 1.0 expression: base_risk_budget * net_return_feedback_multiplier * performance_brake_multiplier * regime_reset_multiplier * bayesian_confidence_multiplier * kelly_brake_multiplier output: field: final_risk_budget unit: ratio floor_rule: if: final_risk_budget < 0.001 action: NO_BET canonical_ref: spec/05_position_sizing.yaml:position_sizing.cascade_risk_budget_rule owner: quant_team lifecycle_state: active input_fields: - base_risk_budget - net_return_feedback_multiplier - performance_brake_multiplier - regime_reset_multiplier - bayesian_confidence_multiplier - kelly_brake_multiplier output_fields: - final_risk_budget missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation POSITION_SIZE_V1: purpose: 최종 정수 매수수량 산출 inputs: - field: total_asset unit: KRW - field: final_risk_budget unit: ratio - field: atr20 unit: KRW_per_share - field: atr_multiplier unit: ratio default: 1.5 - field: available_cash unit: KRW - field: entry_price unit: KRW_per_share - field: target_weight_limit_amount unit: KRW - field: sector_limit_amount unit: KRW - field: liquidity_limit_amount unit: KRW intermediate_outputs: atr_quantity: floor((total_asset * final_risk_budget) / (atr20 * atr_multiplier)) cash_limit_quantity: floor(available_cash / entry_price) target_weight_limit_quantity: floor(target_weight_limit_amount / entry_price) sector_limit_quantity: floor(sector_limit_amount / entry_price) liquidity_limit_quantity: floor(liquidity_limit_amount / entry_price) expression: min(atr_quantity, cash_limit_quantity, target_weight_limit_quantity, sector_limit_quantity, liquidity_limit_quantity) output: field: final_quantity unit: shares_integer missing_policy: atr20: NO_BUY_QUANTITY total_asset: NO_BUY_QUANTITY available_cash: NO_BUY_QUANTITY entry_price: NO_BUY_QUANTITY target_weight_limit_amount: use very large number only if portfolio rule says NOT_APPLICABLE sector_limit_amount: use very large number only if sector cap says NOT_APPLICABLE liquidity_limit_amount: allow PARTIAL only for report; BUY validation_status cannot PASS canonical_ref: spec/05_position_sizing.yaml:position_sizing.volatility_targeting owner: quant_team lifecycle_state: active input_fields: - total_asset - final_risk_budget - atr20 - atr_multiplier - available_cash - entry_price - target_weight_limit_amount - sector_limit_amount - liquidity_limit_amount output_fields: - final_quantity golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation PORTFOLIO_BAND_STATUS_V1: purpose: 현재 비중이 목표 밴드보다 낮은지, 정상인지, 초과인지 판정 inputs: - field: current_weight_pct unit: percent - field: target_band_min_pct unit: percent - field: target_band_max_pct unit: percent rules: - if: current_weight_pct < target_band_min_pct status: UNDERWEIGHT action: ADD_ALLOWED_IF_ALL_GATES_PASS - if: target_band_min_pct <= current_weight_pct <= target_band_max_pct status: IN_BAND action: HOLD_OR_SELECTIVE_ADD - if: current_weight_pct > target_band_max_pct status: OVERWEIGHT action: TRIM_REVIEW output: field: portfolio_band_status unit: enum missing_policy: DATA_MISSING. add/trim 결론 보류. canonical_ref: spec/risk/portfolio_exposure.yaml:portfolio_exposure_framework.target_allocation_structure owner: quant_team lifecycle_state: active input_fields: - current_weight_pct - target_band_min_pct - target_band_max_pct output_fields: - portfolio_band_status golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation PORTFOLIO_BETA_V1: purpose: 보유 포지션의 시가기준 가중평균 베타를 산출하여 팩터 과집중 판단에 사용 inputs: - field: beta_i source: data_feed.Beta for each holding i unit: ratio - field: market_value_i source: account_snapshot.holding_quantity × close_price unit: KRW - field: total_equity_value source: sum(market_value_i) unit: KRW expression: sum(beta_i × market_value_i / total_equity_value) for each holding with known beta output: field: portfolio_beta unit: ratio missing_policy: beta_i_missing_single: '해당 종목 제외 후 부분 산출. 제외 종목 시가 비중이 30% 초과 시 결과에 "(PARTIAL — Beta 미확인 {N}개 종목 제외)" 표기. ' beta_i_missing_all: NO_PORTFOLIO_BETA. 팩터 리스크 점검 PARTIAL 표기. total_equity_value_zero: NO_PORTFOLIO_BETA example: holdings: - name: 삼성전자 market_value: 100000000 beta: 1.1 - name: SK하이닉스 market_value: 80000000 beta: 1.3 - name: 한화에어로스페이스 market_value: 40000000 beta: 1.6 total_equity: 220000000 result: (1.1×100 + 1.3×80 + 1.6×40) / 220 = (110 + 104 + 64) / 220 = 278/220 ≈ 1.26 canonical_ref: spec/risk/portfolio_exposure.yaml:portfolio_exposure_framework.factor_risk_limit version: 2026-05-18_ROUTING_OPTIMIZATION_V1 owner: quant_team lifecycle_state: active input_fields: - beta_i - market_value_i - total_equity_value output_fields: - portfolio_beta golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation PORTFOLIO_CORRELATION_GATE_V1: purpose: '위성 포지션들 간 20D 수익률 Pearson 상관관계를 계산해 동일 방향 클러스터가 포트폴리오 하락 리스크를 증폭시키는지 감지한다. 개별 Beta x 상관관계 조정으로 실질 포트폴리오 Beta(satellite_cluster_beta) 산출. ' applicable: calcApexExecutionHarness_ 포트폴리오 집계 단계. SAPG_V1 이후 실행. inputs: - field: ticker - field: price.ret20D - field: beta_proxy - field: weight_pct computed: correlation_matrix: 각 위성 쌍 (i,j) Pearson 상관계수. 데이터 부족 시 ret20D/globalKospiRet20D_ 프록시. satellite_cluster_beta: sum(weight_i * weight_j * beta_i * beta_j * corr_ij) for all i,j pairs effective_portfolio_beta: (core_weight * core_beta) + satellite_cluster_beta gate_status: CORRELATION_BLOCK: condition: satellite_cluster_beta > 1.5 AND corr >= 0.70인 위성 쌍이 2쌍 이상 action: 고상관 약한 위성 ADD 금지, REVIEW 위성 우선 정리, 실질 beta 보고서 표기 의무 CORRELATION_WARN: condition: satellite_cluster_beta > 1.2 OR corr >= 0.70인 위성 쌍이 1쌍 action: 신규 위성 편입 시 저상관 후보 우선 CORRELATION_PASS: condition: satellite_cluster_beta <= 1.2 action: 정상. M2 독립 적용. output_fields: - field: satellite_cluster_beta - field: effective_portfolio_beta - field: high_corr_pairs unit: list [{ticker1,ticker2,corr_coef}] - field: correlation_gate_status unit: enum [CORRELATION_PASS,CORRELATION_WARN,CORRELATION_BLOCK] ground_truth: harness llm_allowed: cite_only prohibition: - LLM이 상관행렬 직접 계산 금지 - 개별 beta 낮아도 satellite_cluster_beta 높으면 분산 됐다 서술 금지 output: field: satellite_cluster_beta additional_fields: - effective_portfolio_beta - high_corr_pairs - correlation_gate_status version: 2026-05-21_PCG_V1 owner: quant_team lifecycle_state: active input_fields: - ticker - price.ret20D - beta_proxy - weight_pct missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation DYNAMIC_HEAT_GATE_V1: purpose: '국면별 총 위험노출 임계값을 산출해 신규 매수 차단 여부를 결정한다. ' inputs: - field: market_regime unit: enum - field: total_heat_pct unit: pct output: field: heat_gate_status input_fields: - market_regime - total_heat_pct expected_outputs: - heat_gate_status - heat_gate_threshold_pct llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - heat_gate_status missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation POSITION_SIZE_REGIME_SCALE_V1: purpose: '국면별 포지션 크기 스케일을 결정론적으로 산출한다. ' inputs: - field: market_regime unit: enum output: field: regime_size_scale input_fields: - market_regime expected_outputs: - regime_size_scale llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - regime_size_scale missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation DRAWDOWN_GUARD_V1: purpose: '연속 손절/성과 악화 구간에서 신규 매수 수량을 자동 축소하거나 차단한다. ' inputs: - field: win_loss_streak_state unit: enum - field: win_loss_streak_buy_scale unit: multiplier output: field: drawdown_guard_state input_fields: - consecutive_loss_count - recent_win_loss_state expected_outputs: - drawdown_guard_state - drawdown_buy_scale llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - drawdown_guard_state missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation POSITION_COUNT_LIMIT_V1: purpose: '동시 보유 종목 수 상한과 초과 여부를 판단한다. ' inputs: - field: position_count unit: integer - field: market_regime unit: enum output: field: position_count_gate input_fields: - position_count - market_regime expected_outputs: - position_count_gate - position_count_max llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - position_count_gate missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation SINGLE_POSITION_WEIGHT_CAP_V1: purpose: '단일 종목 비중 상한과 초과 TRIM 필요 여부를 판단한다. ' inputs: - field: single_position_weight_json unit: json - field: market_regime unit: enum output: field: single_position_weight_gate input_fields: - position_weight_pct - market_regime expected_outputs: - single_position_weight_gate - weight_cap_pct llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - single_position_weight_gate missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation REGIME_TRIM_GUIDANCE_V1: purpose: '국면별 현금확보용 TRIM 우선순위를 결정한다. ' inputs: - field: regime_adjusted_sell_priority_json unit: json - field: market_regime unit: enum output: field: regime_trim_guidance input_fields: - market_regime - sector_rank expected_outputs: - regime_trim_guidance llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - regime_trim_guidance missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation HEAT_CONCENTRATION_ALERT_V1: purpose: '단일 종목이 총 Heat의 과도한 비중을 차지하는지 경보를 낸다. ' inputs: - field: heat_share_pct unit: pct output: field: heat_concentration_gate input_fields: - heat_share_pct expected_outputs: - heat_concentration_gate llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - heat_concentration_gate missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation SECTOR_CONCENTRATION_LIMIT_V1: purpose: '섹터 편중 한도와 신규 BUY 차단 여부를 판단한다. ' inputs: - field: sector_concentration_json unit: json - field: market_regime unit: enum output: field: sector_concentration_gate input_fields: - sector_concentration_pct - market_regime expected_outputs: - sector_concentration_gate - sector_concentration_limit_pct llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - sector_concentration_gate missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation PORTFOLIO_DRAWDOWN_GATE_V1: purpose: '포트폴리오 고점 대비 낙폭을 산출해 신규 BUY 차단 여부를 판단한다. ' inputs: - field: portfolio_peak_krw unit: KRW - field: total_asset_krw unit: KRW output: field: portfolio_drawdown_gate input_fields: - portfolio_peak_krw - total_asset_krw expected_outputs: - portfolio_drawdown_gate - portfolio_drawdown_pct llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - portfolio_drawdown_gate missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation SECTOR_ROTATION_MOMENTUM_V1: purpose: '섹터 로테이션 모멘텀 상태와 신규 매수 적합성을 판정한다. ' inputs: - field: sector unit: string - field: momentum_state unit: enum output: field: sector_rotation_momentum_json input_fields: - sector - momentum_state expected_outputs: - sector_rotation_momentum_json llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - sector_rotation_momentum_json missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation MARKET_WEIGHT_AWARE_CLUSTER_GATE_V1: purpose: '시장 반도체 비중을 반영한 동적 클러스터 차단/경고 임계값을 산출한다. ' inputs: - field: semiconductor_cluster_json unit: json - field: market_regime unit: enum output: field: semiconductor_cluster_gate input_fields: - kospi_semi_weight_pct - combined_pct - market_regime expected_outputs: - cluster_gate - cap_pct llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - semiconductor_cluster_gate missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation LEADER_POSITION_WEIGHT_CAP_V1: purpose: '주도주 종목별 차등 비중 상한과 초과 TRIM 필요 여부를 산출한다. ' inputs: - field: single_position_weight_json unit: json - field: market_regime unit: enum output: field: single_position_weight_gate input_fields: - ticker - position_weight_pct - market_regime expected_outputs: - leader_position_weight_gate - weight_cap_pct llm_allowed: cite_only version: 2026-05-30_PHASE8 owner: quant_team lifecycle_state: active output_fields: - single_position_weight_gate missing_policy: DATA_MISSING. 계산 결과를 추정하지 않는다. golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation REGIME_CONDITIONAL_MACRO_FACTOR_V1: purpose: 거시팩터 종목별 FX 민감도 베타 적용 — 단일팩터 전 종목 균일 지배 차단 (Direction SFP1) agents_md_ref: 'Direction SFP1: SINGLE_FACTOR_DOMINANCE_CAP_V1' inputs: - field: base_macro_score unit: ratio_0_1 - field: ticker unit: string - field: ticker_type unit: 'enum: export | domestic | neutral' expression: base_macro_score x fx_sensitivity_beta(ticker_type) components: fx_sensitivity_beta: export: 1.2 domestic: 0.7 neutral: 1.0 note: '수출주(삼성전자·SK하이닉스 등): FX 민감도 20% 가중. 내수주: 30% 축소.' output: field: macro_factor_applied unit: ratio_0_1 gate: condition: single_factor_max_share_pct > 50 result: SINGLE_FACTOR_DEGENERATE action: WARN — synthesis_verdict 다양성 확보 실패, 보고서 첫 줄 경고 의무 missing_policy: ticker_type 미확인 시 fx_beta=1.0(neutral) 적용 implementation: tools/build_predictive_alpha_dialectic_engine_v2.py:NF1 calibration_ref: spec/calibration_registry.yaml:NF1 (EXPERT_PRIOR) version: 2026-06-04_NF1 owner: quant_team lifecycle_state: active input_fields: - base_macro_score - ticker - ticker_type output_fields: - macro_factor_applied golden_cases: [] activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation PORTFOLIO_TRANSITION_UTILITY_V1: purpose: > 개별 매수·매도 추천이 아니라 포트폴리오 전체의 사후 상태(전환 후 cash floor, 집중도, CVaR, 세후비용, 회전율)를 비교해 단일 최선 전환 또는 NO_TRADE를 결정론적으로 선택한다. (governance/todo/v8_9_p0_adoption_plan.yaml P0-1.2, source: suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml:portfolio_transition_optimizer_v8_9) default_action: NO_TRADE state_vector_fields: - cash_ladder - positions - sector_exposure_graph - tax_lots - risk_bucket_weights - goal_progress_pct - data_quality_scores candidate_action_schema: - candidate_id - asset_id - action_type - planned_amount_krw - source_signal_ids - numeric_provenance_status hard_veto_order: - DATA_INVALID - EXECUTION_MODE_BLOCK - CASH_FLOOR_BLOCK - HARD_CONCENTRATION_BLOCK - NEGATIVE_TRANSITION_UTILITY inputs: - field: ce70_net_profit_krw source: Temp/forecast_simulation_engine_v1.json unit: KRW missing_policy: DATA_MISSING — candidate excluded, not assumed zero - field: tax_fee_slippage_krw source: Temp/sell_waterfall_engine_v4.json unit: KRW - field: cash_repair_benefit_krw source: Temp/smart_cash_recovery_v9.json unit: KRW - field: concentration_reduction_benefit_krw unit: KRW - field: turnover_penalty_krw unit: KRW expression: > transition_utility_krw = ce70_net_profit_krw - tax_fee_slippage_krw - cvar_penalty_krw - drawdown_penalty_krw + cash_repair_benefit_krw + concentration_reduction_benefit_krw - turnover_penalty_krw output: field: transition_utility_krw unit: KRW acceptance_margin: formula: acceptance_margin_krw = transition_utility_krw - max(mode_absolute_hurdle_krw, hurdle_multiple * estimated_total_cost_krw) reject_if: acceptance_margin_krw <= 0 deterministic_fallbacks: missing_optimizer_inputs: NO_TRADE_AND_QUARANTINE solver_failure: NO_TRADE_AND_LOG_SOLVER_FAILURE rank_tie: choose_lower_turnover_lower_tax_lower_marginal_risk_contribution conflicting_runtime_packets: BLOCK_AND_REQUIRE_MANIFEST_REPAIR missing_policy: hard_constraint_input_missing: NO_TRADE_AND_QUARANTINE canonical_ref: spec/risk/portfolio_exposure.yaml:concentration_caps_v8_9_supplement implementation: tools/build_portfolio_transition_optimizer_v1.py owner: quant_team lifecycle_state: shadow input_fields: - ce70_net_profit_krw - tax_fee_slippage_krw - cash_repair_benefit_krw - concentration_reduction_benefit_krw - turnover_penalty_krw output_fields: - transition_utility_krw - acceptance_margin_krw - selected_transition golden_cases: - V89_002_no_trade_default - V89_048_solver_failure - V89_049_rank_tie - V89_050_conflicting_packets activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation TRANSITION_SET_ENUMERATOR_V1: purpose: > PORTFOLIO_TRANSITION_UTILITY_V1이 candidate 1건씩 평가하는 것을 넘어, 여러 candidate를 조합한 transition_set 단위로 hard_constraint_pass와 transition_utility_krw를 평가한다. "좋은 후보 하나"가 포트폴리오 전체를 악화시키는 경우(V89_010)를 후보 조합 비교로 차단한다. (governance/todo/v8_9_p2_adoption_plan.yaml P2-B, source: suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml:portfolio_transition_optimizer_v8_9.selection_algorithm) applicable: PORTFOLIO_TRANSITION_UTILITY_V1이 candidate별 transition_utility_krw를 산출한 직후. inputs: - field: evaluated_candidates unit: list_of_object note: PORTFOLIO_TRANSITION_UTILITY_V1.candidate_actions 산출(hard_constraint_pass, transition_utility_krw 포함) - field: max_set_size unit: count default: 3 note: 조합 폭발 방지. v8.9 turnover_budget(주간 5%) 고려 시 동시 실행 후보는 통상 1~3건. selection_algorithm: - step_1: hard_constraint_pass=false인 candidate는 set 구성에서 제외(개별 veto 우선) - step_2: 남은 candidate에서 크기 1..max_set_size의 모든 조합(transition_set)을 생성 - step_3: 각 transition_set의 post_trade_cash_floor_pct, post_trade_concentration_pct, post_trade_MRC(marginal_risk_contribution), post_trade_CVaR95_krw를 합산 재평가 - step_3b: post_trade_CVaR95_krw = sum(candidate.cvar95_loss_krw for candidate in set) — SCENARIO_SHOCK_MATRIX_V1.crisis_case 기준 사용(가장 보수적) - step_3c: post_trade_MRC = sum(candidate.marginal_risk_contribution for candidate in set) / portfolio_total_risk_budget - step_4: set_hard_constraint_pass=false인 set은 제외 (개별 candidate는 PASS했어도 조합 시 cash_floor/concentration/MRC/CVaR cap을 넘을 수 있음) - step_5: set_transition_utility_krw = sum(candidate.transition_utility_krw for candidate in set) - combination_penalty_krw - step_6: set_transition_utility_krw가 최대인 set 선택. 동률이면 PORTFOLIO_TRANSITION_UTILITY_V1.deterministic_fallbacks.rank_tie 규칙 재사용 - step_7: 통과하는 set이 하나도 없으면 NO_TRADE (개별 candidate가 전부 PASS여도 조합 검증을 통과 못하면 거부) combination_penalty_krw: formula: complexity_penalty_rate * (len(transition_set) - 1) note: 후보 수가 많을수록 실행 복잡도·동시 슬리피지 리스크 증가를 반영한 페널티. output: field: selected_transition_set unit: list_of_candidate_id additional_outputs: - set_transition_utility_krw - set_hard_constraint_pass - rejected_sets_count - post_trade_mrc - post_trade_cvar95_krw missing_policy: evaluated_candidates가 비어 있으면 selected_transition_set=[] + NO_TRADE. 빈 조합을 임의로 채우지 않는다. cvar95_loss_krw가 candidate에 없으면(SCENARIO_SHOCK_MATRIX_V1 미실행) post_trade_cvar95_krw=null이며 해당 set은 set_hard_constraint_pass 판정에서 CVaR 기준을 PARTIAL로 표기. canonical_ref: spec/formulas/domains/portfolio.yaml:PORTFOLIO_TRANSITION_UTILITY_V1 implementation: tools/build_transition_set_enumerator_v1.py owner: quant_team lifecycle_state: shadow input_fields: - evaluated_candidates - max_set_size output_fields: - selected_transition_set - set_transition_utility_krw - set_hard_constraint_pass - post_trade_mrc - post_trade_cvar95_krw golden_cases: - V89_010_candidate_good_portfolio_bad - V89_048_solver_failure - V89_049_rank_tie activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation STATE_VECTOR_CONSTRUCTOR_V1: purpose: > holdings, cash, tax_lots, sector_graph, factor_exposures, macro_regime_probabilities를 단일 state_vector로 통합해 PORTFOLIO_TRANSITION_UTILITY_V1과 TRANSITION_SET_ENUMERATOR_V1이 동일한 포트폴리오 스냅샷을 참조하도록 한다. 부분 입력으로 state_vector를 임의 보완하지 않는다. (governance/todo/v8_9_p3_adoption_plan.yaml P3-A, source: suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml:implementation_todo_v8_9.P1_optimizer_and_simulation) applicable: MODEL_GOVERNANCE_GATE에서 execution_mode 확정 직후, HARD_FILTER_CHECK 이전. component_sources: cash_ladder: spec/formulas/domains/cash.yaml:CASH_RATIOS_V1 positions: spec/15_account_snapshot_contract.yaml sector_exposure_graph: spec/formulas/domains/sector.yaml:SECTOR_EXPOSURE_GRAPH_V1 factor_exposures: spec/risk/factor_risk.yaml tax_lots: spec/15_account_snapshot_contract.yaml risk_bucket_weights: spec/risk/portfolio_exposure.yaml macro_regime_probabilities: spec/risk/market_risk_cash.yaml goal_progress_pct: spec/13_formula_registry.yaml:formula_registry.formulas.GOAL_RETIREMENT_V1 inputs: - field: cash_ladder unit: json - field: positions unit: list_of_object - field: sector_exposure_graph unit: list_of_object - field: factor_exposures unit: list_of_object - field: tax_lots unit: list_of_object - field: risk_bucket_weights unit: object - field: macro_regime_probabilities unit: object - field: goal_progress_pct unit: percent output: field: state_vector unit: object additional_outputs: - state_vector_completeness_pct - missing_components missing_policy: 결측 component는 state_vector에서 null로 유지하고 missing_components에 기록한다. 다른 component로 추정 보완 금지. canonical_ref: spec/formulas/domains/portfolio.yaml:PORTFOLIO_TRANSITION_UTILITY_V1 implementation: tools/build_state_vector_constructor_v1.py owner: quant_team lifecycle_state: shadow input_fields: - cash_ladder - positions - sector_exposure_graph - factor_exposures - tax_lots - risk_bucket_weights - macro_regime_probabilities - goal_progress_pct output_fields: - state_vector - state_vector_completeness_pct - missing_components golden_cases: - V89_052_goal_far_from_target activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation REBALANCE_CADENCE_GATE_V1: purpose: > 주간(토/일) 및 매월 1/11/21일 점검을 의무 실행하되, 실제 리밸런싱(매수/매도 실행)은 transition_utility_after_tax_cost가 양수이거나 hard_risk_block이 active일 때만 허용한다. 점검 자체는 항상 emit되어 "점검을 안 했다"는 누락을 방지하지만, 결과가 기준 미달이면 NO_TRADE. (governance/todo/v8_9_p3_adoption_plan.yaml P3-D, source: suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml:implementation_todo_v8_9.P3_sell_and_rebalance, rebalancing_engine_v8_9.mandatory_schedule) applicable: 매주 토/일 또는 매월 1/11/21일. PORTFOLIO_TRANSITION_REVIEW 진입 조건. mandatory_schedule: weekly_days: [SATURDAY, SUNDAY] monthly_mid_check_days: [1, 11, 21] event_driven_triggers: [cash_floor_break, crisis_score_red_or_black, hard_concentration_breach, data_quarantine_material] inputs: - field: today_date unit: date - field: transition_utility_after_tax_cost_krw unit: number_or_null source: spec/formulas/domains/portfolio.yaml:PORTFOLIO_TRANSITION_UTILITY_V1 - field: hard_risk_block_active unit: boolean source: spec/risk/aggregate_risk.yaml cadence_check_rule: > today_date가 weekly_days, monthly_mid_check_days, event_driven_triggers 중 하나라도 충족하면 cadence_check_required=true이며 점검 결과(review_emitted)는 항상 emit한다. rebalance_execution_rule: > cadence_check_required=true이고 (transition_utility_after_tax_cost_krw > 0 OR hard_risk_block_active=true) 일 때만 rebalance_execution_allowed=true. 그 외에는 review_emitted=true이지만 rebalance_execution_allowed=false (점검은 했지만 NO_TRADE). output: field: rebalance_execution_allowed unit: boolean additional_outputs: - cadence_check_required - review_emitted - cadence_trigger_reason missing_policy: transition_utility_after_tax_cost_krw가 null이면 hard_risk_block_active만으로 판정. 둘 다 null이면 rebalance_execution_allowed=false + DATA_MISSING. canonical_ref: spec/risk/aggregate_risk.yaml implementation: tools/build_rebalance_cadence_gate_v1.py owner: quant_team lifecycle_state: shadow input_fields: - today_date - transition_utility_after_tax_cost_krw - hard_risk_block_active output_fields: - rebalance_execution_allowed - cadence_check_required - review_emitted golden_cases: - V89_032_no_trade_band - V89_033_hard_block_overrides_band - V89_053_weekly_rebalance_required - V89_054_mid_check_required activation_threshold: min_t20_sample: 30 retirement_condition: performance_degradation