"""build_operational_t20_outcome_ledger_v1.py — ALPHA_FEEDBACK_LOOP_V2 매수/매도 결정 20거래일 후의 실제 수익률을 추적하여 레저(Ledger)를 구축한다. 성과 인텔리전스(Phase 4)의 핵심 데이터 소스로 활용됨. 로직: 1. alpha_history 시트에서 과거 결정(Decision) 데이터를 읽음. 2. 현재 가격(Close)을 T+20 가격으로 가정하여 실현 수익률 계산. 3. outcome_ledger.json 생성. """ from __future__ import annotations import argparse import json from datetime import datetime, timedelta from pathlib import Path from typing import Any ROOT = Path(__file__).resolve().parents[1] TEMP = ROOT / "Temp" DEFAULT_JSON = ROOT / "GatherTradingData.json" DEFAULT_OUT = TEMP / "outcome_ledger_v1.json" def _load(path: Path) -> Any: if not path.exists(): return {} try: return json.loads(path.read_text(encoding="utf-8")) except: return {} def _f(v: Any, default: float = 0.0) -> float: try: return float(v) except: return default def main(): ap = argparse.ArgumentParser() ap.add_argument("--json", default=str(DEFAULT_JSON)) ap.add_argument("--out", default=str(DEFAULT_OUT)) args = ap.parse_args() payload = _load(Path(args.json)) data = payload.get("data", {}) # alpha_history: 과거 예측 데이터 alpha_history = data.get("alpha_history", []) # data_feed: 현재 가격 데이터 (T+20 프록시) df_rows = data.get("data_feed", []) current_prices = {str(r.get("Ticker")): _f(r.get("Close")) for r in df_rows if r.get("Ticker")} ledger_rows = [] for h in alpha_history: ticker = str(h.get("ticker")) entry_price = _f(h.get("close_at_record")) current_price = current_prices.get(ticker, 0.0) if entry_price > 0 and current_price > 0: return_pct = round((current_price - entry_price) / entry_price * 100, 2) verdict = h.get("synthesis_verdict") # 예측 적중 여부 (간단 로직: BUY면 +, EXIT면 -) is_correct = False if "BUY" in str(verdict) and return_pct > 0: is_correct = True if "EXIT" in str(verdict) and return_pct < 0: is_correct = True ledger_rows.append({ "date": h.get("date"), "ticker": ticker, "verdict": verdict, "entry_price": entry_price, "exit_price": current_price, "return_pct": return_pct, "is_correct": is_correct }) win_rate = round(sum(1 for r in ledger_rows if r["is_correct"]) / len(ledger_rows) * 100, 2) if ledger_rows else 0 result = { "formula_id": "ALPHA_FEEDBACK_LOOP_V2", "as_of_date": datetime.now().strftime("%Y-%m-%d"), "total_cases": len(ledger_rows), "win_rate_pct": win_rate, "ledger": ledger_rows } Path(args.out).parent.mkdir(parents=True, exist_ok=True) Path(args.out).write_text(json.dumps(result, ensure_ascii=False, indent=2), encoding="utf-8") print(f"Outcome Ledger Built. Total Cases: {len(ledger_rows)}, Win Rate: {win_rate}%") return 0 if __name__ == "__main__": main()