"""build_outcome_ledger_v1.py — OUTCOME_LEDGER_V1 P1-018: 매수/매도/보유/현금확보 품질을 분리 평가하는 성과 원장. 각 decision_id에 intended_action, executed_action, forward_return을 연결한다. BUY/SELL/TRIM/WATCH별 성과를 분리하고, profit_giveback을 정직 추적한다. operational T+20=0 구간에서는 T+5 기반 근사값과 DATA_MISSING_PENDING_T20을 정직 표기한다. """ from __future__ import annotations import argparse import json from datetime import datetime, timezone from pathlib import Path from typing import Any ROOT = Path(__file__).resolve().parents[1] DEFAULT_HIST = ROOT / "Temp" / "proposal_evaluation_history.json" DEFAULT_LEDGER = ROOT / "Temp" / "operational_t20_outcome_ledger_v1.json" DEFAULT_SCR = ROOT / "Temp" / "smart_cash_recovery_v5.json" DEFAULT_OUT = ROOT / "Temp" / "outcome_ledger_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 _f(v: Any, default: float = 0.0) -> float: try: return float(v) except Exception: return default def _classify_action(action: str) -> str: a = action.upper() if any(x in a for x in ("BUY", "ADD_ON", "PILOT")): return "BUY" if any(x in a for x in ("SELL", "EXIT", "BREACH", "STOP")): return "SELL" if any(x in a for x in ("TRIM", "REDUCE")): return "TRIM" if any(x in a for x in ("WATCH", "HOLD", "NEUTRAL")): return "WATCH" return "OTHER" def main() -> int: ap = argparse.ArgumentParser() ap.add_argument("--hist", default=str(DEFAULT_HIST)) ap.add_argument("--ledger", default=str(DEFAULT_LEDGER)) ap.add_argument("--scr", default=str(DEFAULT_SCR)) ap.add_argument("--out", default=str(DEFAULT_OUT)) args = ap.parse_args() hist = _load(Path(args.hist) if Path(args.hist).is_absolute() else ROOT / args.hist) ledger = _load(Path(args.ledger) if Path(args.ledger).is_absolute() else ROOT / args.ledger) scr = _load(Path(args.scr) if Path(args.scr).is_absolute() else ROOT / args.scr) records = hist.get("records") if isinstance(hist.get("records"), list) else [] # 액션 타입별 분리 buckets: dict[str, list[dict[str, Any]]] = {"BUY": [], "SELL": [], "TRIM": [], "WATCH": [], "OTHER": []} for rec in records: if not isinstance(rec, dict): continue action = str(rec.get("action") or rec.get("recommended_action") or "WATCH") bucket = _classify_action(action) # forward return 연결 (T+5 operational 우선, T+20 replay 차선) t5_return = rec.get("t5_return_pct") t20_return = rec.get("t20_return_pct") validation = str(rec.get("validation_status") or "") is_operational = validation.upper() != "REPLAY_BACKFILL" forward_return = None return_source = "DATA_MISSING_PENDING_T20" if is_operational and t5_return is not None: forward_return = _f(t5_return) return_source = "T5_OPERATIONAL" elif t20_return is not None: forward_return = _f(t20_return) return_source = "T20_REPLAY" if not is_operational else "T20_OPERATIONAL" buckets[bucket].append({ "proposal_id": str(rec.get("proposal_id") or ""), "ticker": str(rec.get("ticker") or ""), "proposal_date": str(rec.get("proposal_date") or ""), "action": action, "action_bucket": bucket, "forward_return_pct": forward_return if forward_return is not None else "DATA_MISSING_PENDING_T20", "return_source": return_source, "t5_outcome": rec.get("t5_outcome"), "t20_outcome": rec.get("t20_outcome"), "is_operational": is_operational, "source_path": "Temp/outcome_ledger_v1.json", "formula_id": "OUTCOME_LEDGER_V1", }) # 버킷별 성과 요약 def _summarize(rows: list[dict[str, Any]]) -> dict[str, Any]: op_rows = [r for r in rows if r["is_operational"] and r["forward_return_pct"] != "DATA_MISSING_PENDING_T20"] if not op_rows: return { "sample_count": 0, "win_rate_pct": "DATA_MISSING_PENDING_T20", "avg_return_pct": "DATA_MISSING_PENDING_T20", "expectancy_pct": "DATA_MISSING_PENDING_T20", } returns = [_f(r["forward_return_pct"]) for r in op_rows] wins = [r for r in returns if r > 0] return { "sample_count": len(op_rows), "win_rate_pct": round(len(wins) / len(op_rows) * 100, 2), "avg_return_pct": round(sum(returns) / len(returns), 4), "expectancy_pct": round(sum(returns) / len(op_rows), 4), } buy_summary = _summarize(buckets["BUY"]) sell_summary = _summarize(buckets["SELL"]) trim_summary = _summarize(buckets["TRIM"]) # profit_giveback 계산 (T+20 데이터 없으면 DATA_MISSING) sell_data = [r for r in buckets["SELL"] if r["is_operational"] and r["forward_return_pct"] != "DATA_MISSING_PENDING_T20"] if sell_data: negative_returns = [_f(r["forward_return_pct"]) for r in sell_data if _f(r["forward_return_pct"]) < 0] total_returns = [abs(_f(r["forward_return_pct"])) for r in sell_data if _f(r["forward_return_pct"]) != 0] profit_giveback = round(sum(negative_returns) / max(sum(total_returns), 1) * 100, 2) if total_returns else 0.0 else: profit_giveback = "DATA_MISSING_PENDING_T20" # value_damage from smart cash recovery cash_raise_value_damage = _f(scr.get("value_damage_pct_avg_raw"), 0.0) if scr else 0.0 result = { "formula_id": "OUTCOME_LEDGER_V1", "total_records": len(records), "bucket_counts": {k: len(v) for k, v in buckets.items()}, "buy_performance": buy_summary, "sell_performance": sell_summary, "trim_performance": trim_summary, "profit_giveback_pct": profit_giveback, "cash_raise_value_damage_pct": cash_raise_value_damage, "reward_model": { "buy_expectancy_pct": buy_summary.get("expectancy_pct", "DATA_MISSING_PENDING_T20"), "sell_saved_loss_pct": "DATA_MISSING_PENDING_T20", "cash_raise_value_damage_pct": cash_raise_value_damage, "profit_giveback_pct": profit_giveback, "win_rate_pct": buy_summary.get("win_rate_pct", "DATA_MISSING_PENDING_T20"), }, "pending_note": "operational T+20=0 구간 — T+5 기반 BUY/SELL/TRIM 집계. profit_giveback은 T+20 수신 후 갱신.", "generated_at": datetime.now(timezone.utc).isoformat(), "source_path": "Temp/outcome_ledger_v1.json", } out_path = Path(args.out) if Path(args.out).is_absolute() else ROOT / args.out out_path.parent.mkdir(parents=True, exist_ok=True) out_path.write_text(json.dumps(result, ensure_ascii=False, indent=2), encoding="utf-8") print(json.dumps({k: v for k, v in result.items() if k not in ("buy_performance", "sell_performance", "trim_performance")}, indent=2, ensure_ascii=True)) return 0 if __name__ == "__main__": raise SystemExit(main())