"""build_horizon_rebalance_plan_v1.py — HORIZON_REBALANCE_PLAN_V1 routing_gate=FAIL 원인: strategy_routing_audit_v1.json의 horizon_violations 참조. SHORT/MID/LONG 각 호라이즌 상한 대비 초과분을 결정론적으로 산출하고 우선순위 기반 리밸런싱 플랜을 생성한다. 상한: SHORT=40%, MID=50%, LONG=80% 입력: horizon_classification_v1.json + final_judgment_gate_v1.json + strategy_routing_audit_v1.json 출력: Temp/horizon_rebalance_plan_v1.json """ from __future__ import annotations import argparse import json 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 / "horizon_rebalance_plan_v1.json" FORMULA_ID = "HORIZON_REBALANCE_PLAN_V1" HORIZON_CAPS = {"SHORT": 40.0, "MID": 50.0, "LONG": 80.0} def _load(path: Path) -> Any: if not path.exists(): return {} try: return json.loads(path.read_text(encoding="utf-8")) except Exception: return {} def _f(v: Any, default: float = 0.0) -> float: try: return float(v) except Exception: return default def _extract_harness(payload: Any) -> dict[str, Any]: if not isinstance(payload, dict): return {} h = payload.get("hApex") dc = (payload.get("data") or {}).get("_harness_context") if isinstance(h, dict) and isinstance(dc, dict): m = dict(dc); m.update(h); return m return h if isinstance(h, dict) else dc if isinstance(dc, dict) else payload def main() -> int: ap = argparse.ArgumentParser() ap.add_argument("--json", default=str(DEFAULT_JSON)) ap.add_argument("--out", default=str(DEFAULT_OUT)) args = ap.parse_args() json_path = Path(args.json) if not json_path.is_absolute(): json_path = ROOT / json_path out_path = Path(args.out) if not out_path.is_absolute(): out_path = ROOT / args.out payload = _load(json_path) harness = _extract_harness(payload) hz = _load(TEMP / "horizon_classification_v1.json") fj = _load(TEMP / "final_judgment_gate_v1.json") routing = _load(TEMP / "strategy_routing_audit_v1.json") alloc = hz.get("allocation_pct") or {} hz_rows = hz.get("rows") or [] fj_map = {r.get("ticker"): r for r in (fj.get("rows") or []) if isinstance(r, dict)} # 총 포트폴리오 자산 및 주식 자산 산출 total_asset = _f(harness.get("total_asset_krw", 0)) portfolio_equity = total_asset - _f(harness.get("settlement_cash_d2_krw", 0)) # single_position_weight_json에서 비중 정보 조회 spwj = harness.get("single_position_weight_json") if isinstance(spwj, str): try: spwj = json.loads(spwj) except Exception: spwj = [] weight_map = {} for item in (spwj if isinstance(spwj, list) else []): if isinstance(item, dict): weight_map[str(item.get("ticker", ""))] = _f(item.get("weight_pct", 0)) # 호라이즌별 산출 데이터 저장소 horizon_results = {} plan_rows = [] for H, cap_pct in HORIZON_CAPS.items(): current_pct = _f(alloc.get(H, 0)) excess_pct = max(0.0, current_pct - cap_pct) required_reduction_pct = excess_pct required_reduction_krw = portfolio_equity * required_reduction_pct / 100 if portfolio_equity > 0 else 0 # 해당 호라이즌 종목 목록 추출 h_tickers = [r for r in hz_rows if isinstance(r, dict) and r.get("horizon") == H] candidates = [] for r in h_tickers: ticker = r.get("ticker", "") fj_row = fj_map.get(ticker, {}) verdict = str(fj_row.get("action_verdict", "UNKNOWN")) conf = _f(fj_row.get("effective_confidence", 50)) weight_pct = weight_map.get(ticker, 0) market_value = portfolio_equity * weight_pct / 100 if portfolio_equity > 0 else 0 disparity = _f(r.get("disparity_pct", 0)) rsi14 = _f(r.get("rsi14", 50)) # 우선순위 점수 산출 (기존 로직 유지) priority = 0 if verdict in ("SELL",): priority += 40 elif verdict in ("TRIM",): priority += 20 priority += max(0, 60 - conf) priority += max(0, disparity - 5) * 2 priority += max(0, rsi14 - 60) * 0.5 candidates.append({ "ticker": ticker, "name": r.get("name", ""), "horizon": H, "verdict": verdict, "effective_confidence": conf, "weight_pct": weight_pct, "market_value_krw": round(market_value), "disparity_pct": disparity, "rsi14": rsi14, "priority_score": round(priority, 1), }) candidates.sort(key=lambda x: x["priority_score"], reverse=True) # 누적 감축 계획 시뮬레이션 cum_reduction = 0.0 h_plan_rows = [] if excess_pct > 0: for c in candidates: if cum_reduction >= required_reduction_pct: break trim_pct = c["weight_pct"] action = "FULL_TRIM" if c["verdict"] == "SELL" else "PARTIAL_TRIM" plan_row = { **c, "recommended_action": action, "trim_weight_pct": round(trim_pct, 2), } if H == "SHORT": plan_row["cum_short_reduction_pct"] = round(cum_reduction + trim_pct, 2) elif H == "MID": plan_row["cum_mid_reduction_pct"] = round(cum_reduction + trim_pct, 2) elif H == "LONG": plan_row["cum_long_reduction_pct"] = round(cum_reduction + trim_pct, 2) h_plan_rows.append(plan_row) cum_reduction += trim_pct estimated_after_plan = max(0.0, current_pct - cum_reduction) gate_status = "PASS" if estimated_after_plan <= cap_pct else "FAIL" horizon_results[H] = { "current_pct": current_pct, "cap_pct": cap_pct, "excess_pct": round(excess_pct, 1), "required_reduction_pct": round(required_reduction_pct, 1), "required_reduction_krw": round(required_reduction_krw), "estimated_after_plan": round(estimated_after_plan, 1), "gate_status": gate_status, "candidates": candidates, "plan_rows": h_plan_rows, } plan_rows.extend(h_plan_rows) # 전체 게이트 판정 all_gate_status = "PASS" if all(res["gate_status"] == "PASS" for res in horizon_results.values()) else "FAIL" result = { "formula_id": FORMULA_ID, # 하위 호환성 필드 (SHORT 기준) "current_short_pct": horizon_results["SHORT"]["current_pct"], "short_cap_pct": horizon_results["SHORT"]["cap_pct"], "excess_pct": horizon_results["SHORT"]["excess_pct"], "required_reduction_pct": horizon_results["SHORT"]["required_reduction_pct"], "required_reduction_krw": horizon_results["SHORT"]["required_reduction_krw"], "estimated_short_after_plan": horizon_results["SHORT"]["estimated_after_plan"], "gate_after_plan": all_gate_status, # 신규 확장 필드 (MID 기준) "current_mid_pct": horizon_results["MID"]["current_pct"], "mid_cap_pct": horizon_results["MID"]["cap_pct"], "mid_excess_pct": horizon_results["MID"]["excess_pct"], "required_mid_reduction_pct": horizon_results["MID"]["required_reduction_pct"], "required_mid_reduction_krw": horizon_results["MID"]["required_reduction_krw"], "estimated_mid_after_plan": horizon_results["MID"]["estimated_after_plan"], # 신규 확장 필드 (LONG 기준) "current_long_pct": horizon_results["LONG"]["current_pct"], "long_cap_pct": horizon_results["LONG"]["cap_pct"], "long_excess_pct": horizon_results["LONG"]["excess_pct"], "required_long_reduction_pct": horizon_results["LONG"]["required_reduction_pct"], "required_long_reduction_krw": horizon_results["LONG"]["required_reduction_krw"], "estimated_long_after_plan": horizon_results["LONG"]["estimated_after_plan"], "plan_rows": plan_rows, "all_short_candidates": horizon_results["SHORT"]["candidates"], "all_mid_candidates": horizon_results["MID"]["candidates"], "all_long_candidates": horizon_results["LONG"]["candidates"], "note": ( "포트폴리오 total_asset 기준 시뮬레이션. " "실제 weight_pct는 prices_json 기준이며 " "당일 종가 변동에 따라 달라질 수 있음." ), } out_path.write_text(json.dumps(result, ensure_ascii=False, indent=2) + "\n", encoding="utf-8") print( f"[{FORMULA_ID}] SHORT={result['current_short_pct']}%(excess={result['excess_pct']}%p) " f"MID={result['current_mid_pct']}%(excess={result['mid_excess_pct']}%p) " f"plan_tickers={[r['ticker'] for r in plan_rows]} " f"gate={result['gate_after_plan']} -> {out_path}" ) return 0 if __name__ == "__main__": raise SystemExit(main())