Files
QuantEngineByItz/tools/build_perf_recovery_harness_v1.py
kjh2064 ee3e799de1 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>
2026-06-13 13:20:14 +09:00

147 lines
6.5 KiB
Python

from __future__ import annotations
import argparse
import json
from pathlib import Path
from typing import Any
ROOT = Path(__file__).resolve().parents[1]
DEFAULT_HISTORY = ROOT / "Temp" / "proposal_evaluation_history.json"
DEFAULT_LATE = ROOT / "Temp" / "late_chase_attribution_v1.json"
DEFAULT_REBOUND = ROOT / "Temp" / "rebound_sell_efficiency_v1.json"
DEFAULT_OUTCOME = ROOT / "Temp" / "outcome_quality_score_v1.json"
DEFAULT_EXEC_QUALITY = ROOT / "Temp" / "execution_quality_harness_v1.json"
DEFAULT_OUT = ROOT / "Temp" / "perf_recovery_harness_v1.json"
def _load(path: Path) -> dict[str, Any]:
if not path.exists():
return {}
try:
x = json.loads(path.read_text(encoding="utf-8"))
except Exception:
return {}
return x if isinstance(x, dict) else {}
def main() -> int:
ap = argparse.ArgumentParser()
ap.add_argument("--history", default=str(DEFAULT_HISTORY))
ap.add_argument("--late", default=str(DEFAULT_LATE))
ap.add_argument("--rebound", default=str(DEFAULT_REBOUND))
ap.add_argument("--outcome", default=str(DEFAULT_OUTCOME))
ap.add_argument("--execution-quality", default=str(DEFAULT_EXEC_QUALITY))
ap.add_argument("--out", default=str(DEFAULT_OUT))
args = ap.parse_args()
hp = Path(args.history); lp = Path(args.late); rp = Path(args.rebound); op = Path(args.outcome); eqp = Path(args.execution_quality); outp = Path(args.out)
for p in (hp, lp, rp, op, eqp, outp):
if not p.is_absolute():
p = ROOT / p
hist = _load(hp if hp.is_absolute() else ROOT / hp)
late = _load(lp if lp.is_absolute() else ROOT / lp)
rebound = _load(rp if rp.is_absolute() else ROOT / rp)
outcome = _load(op if op.is_absolute() else ROOT / op)
exec_q = _load(eqp if eqp.is_absolute() else ROOT / eqp)
recs = hist.get("records") if isinstance(hist.get("records"), list) else []
t20 = [r for r in recs if isinstance(r, dict) and r.get("t20_evaluation_status") == "EVALUATED_T20"]
watch = [r for r in t20 if str(r.get("action") or "").upper() == "WATCH"]
watch_operational = [r for r in watch if str(r.get("validation_status") or "").upper() != "REPLAY_BACKFILL"]
watch_replay = [r for r in watch if str(r.get("validation_status") or "").upper() == "REPLAY_BACKFILL"]
watch_miss = [r for r in watch_operational if r.get("t20_outcome") == "MISMATCHED"]
watch_miss_rate = round((len(watch_miss) / len(watch_operational)) * 100.0, 2) if watch_operational else 0.0
late_status = str(late.get("status") or "DATA_MISSING")
late_samples = int(late.get("samples") or 0)
block_cnt = int((late.get("metrics") or {}).get("late_chase_blocked_count") or 0)
high_risk_cnt = int((late.get("metrics") or {}).get("late_chase_high_risk_count") or 0)
late_chase_block_precision = round((block_cnt / max(1, high_risk_cnt)) * 100.0, 2) if high_risk_cnt else 0.0
value_damage = float((rebound.get("metrics") or {}).get("value_damage_pct_avg") or 0.0)
out_m = outcome.get("metrics") if isinstance(outcome.get("metrics"), dict) else {}
t20_pass_rate = float(out_m.get("t20_effective_rate") or out_m.get("t20_pass_rate") or 0.0)
t20_source = str(out_m.get("t20_source") or "")
outcome_score = float(outcome.get("score") or 0.0)
has_operational_t20 = t20_source == "proposal_evaluation_history.operational_t20_only"
exec_gate = str(exec_q.get("gate") or "DATA_MISSING")
exec_oper = (exec_q.get("metrics") or {}).get("operational_t20") if isinstance((exec_q.get("metrics") or {}).get("operational_t20"), dict) else {}
exec_expectancy = float(exec_oper.get("expectancy_pct") or 0.0)
exec_mdd = float(exec_oper.get("max_drawdown_pct") or 0.0)
exec_win_rate = float(exec_oper.get("win_rate_pct") or 0.0)
gate = "PASS"
reasons = []
if has_operational_t20 and t20_pass_rate < 60.0:
gate = "FAIL"
reasons.append("T20_PASS_RATE_BELOW_60")
if has_operational_t20 and value_damage > 10.0:
gate = "FAIL"
reasons.append("VALUE_DAMAGE_ABOVE_10")
elif not has_operational_t20 and value_damage > 10.0:
reasons.append("VALUE_DAMAGE_WATCH_UNTIL_OPERATIONAL_SAMPLE")
if watch_operational and watch_miss_rate > 35.0:
gate = "FAIL"
reasons.append("WATCH_MISS_RATE_TOO_HIGH")
if not watch_operational:
reasons.append("WATCH_MISS_SAMPLE_INSUFFICIENT")
if late_status == "WATCH_PENDING_SAMPLE" and late_samples < 30:
reasons.append("LATE_CHASE_SAMPLE_INSUFFICIENT")
if not has_operational_t20:
reasons.append("T20_OPERATIONAL_SAMPLE_INSUFFICIENT")
if exec_gate == "FAIL":
gate = "FAIL"
reasons.append("EXECUTION_QUALITY_FAIL")
elif exec_gate == "WATCH_PENDING_SAMPLE":
reasons.append("EXECUTION_QUALITY_SAMPLE_INSUFFICIENT")
if gate == "PASS" and (
"WATCH_MISS_SAMPLE_INSUFFICIENT" in reasons
or "LATE_CHASE_SAMPLE_INSUFFICIENT" in reasons
or "T20_OPERATIONAL_SAMPLE_INSUFFICIENT" in reasons
):
gate = "WATCH_PENDING_SAMPLE"
res = {
"formula_id": "PERF_RECOVERY_HARNESS_V1",
"gate": gate,
"reasons": reasons,
"metrics": {
"t20_pass_rate": t20_pass_rate,
"outcome_quality_score": outcome_score,
"t20_source": t20_source,
"watch_miss_rate": watch_miss_rate,
"watch_eval_count": len(watch_operational),
"watch_mismatch_count": len(watch_miss),
"watch_replay_eval_count": len(watch_replay),
"late_chase_block_precision": late_chase_block_precision,
"late_chase_status": late_status,
"late_chase_samples": late_samples,
"rebound_sell_value_damage": value_damage,
"execution_quality_gate": exec_gate,
"execution_expectancy_pct": exec_expectancy,
"execution_max_drawdown_pct": exec_mdd,
"execution_win_rate_pct": exec_win_rate,
},
"targets": {
"t20_pass_rate_min": 60.0,
"outcome_quality_score_min": 60.0,
"watch_miss_rate_max": 35.0,
"rebound_sell_value_damage_max": 10.0,
"execution_expectancy_pct_min": 0.0,
"execution_max_drawdown_pct_max": 12.0,
"execution_win_rate_pct_min": 45.0,
},
}
out_file = outp if outp.is_absolute() else ROOT / outp
out_file.parent.mkdir(parents=True, exist_ok=True)
out_file.write_text(json.dumps(res, ensure_ascii=False, indent=2), encoding="utf-8")
print(json.dumps(res, ensure_ascii=False, indent=2))
return 0
if __name__ == "__main__":
raise SystemExit(main())