kjh2064
aedabdd37b
suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml의
implementation_todo_v8_9(P0~P4) 전체를 spec/tool/golden case 레벨로 구현.
- P0: PORTFOLIO_TRANSITION_UTILITY_V1, SELL_LOT_PARETO_SELECTOR_V1, FORECAST_SIMULATION_ENGINE_V1
- P1: SECTOR_EXPOSURE_GRAPH_V1/LEADER_LIFECYCLE_GATE_V1, EXECUTION_CAPACITY_LADDER_V1, MODEL_GOVERNANCE_KILL_SWITCH_V1
- P2: SCENARIO_SHOCK_MATRIX_V1, TRANSITION_SET_ENUMERATOR_V1, IMMUTABLE_DECISION_LEDGER_V1, EXECUTION_PLAN_COMPILER_V1
- P3: STATE_VECTOR_CONSTRUCTOR_V1, WALK_FORWARD_BOOTSTRAP_V1, TRANSITION_SET_ENUMERATOR_V1(MRC/CVaR 확장),
REBALANCE_CADENCE_GATE_V1, WEEKLY_LEGACY_TRANSFER_PLAN_V1
기존 regime/cluster 연동 정책 수치(현금방어선, 반도체 cap)는 그대로 유지하고 신규 cap 필드만 추가.
spec/09_decision_flow.yaml과 runtime/active_artifact_manifest.yaml에 전 엔진 배선 완료.
governance/todo/v8_9_p{0,1,2,3}_adoption_plan.yaml에 각 단계 작업 추적 기록.
검증: validate_specs/validate_golden_coverage_100(100%)/validate_calibration_registry_v1/
validate_schema_model_generation_v1/validate_agents_shrink_v1 전부 PASS. golden test 53/53 PASS.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
91 lines
3.2 KiB
Python
91 lines
3.2 KiB
Python
#!/usr/bin/env python3
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"""REBALANCE_CADENCE_GATE_V1 — spec/formulas/domains/portfolio.yaml.
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Mandatory weekly (Sat/Sun) and monthly (1/11/21) cadence checks always emit a
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review, but actual rebalancing execution is allowed only when transition utility
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after tax cost is positive or a hard risk block is active.
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governance/todo/v8_9_p3_adoption_plan.yaml P3-D.
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"""
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from __future__ import annotations
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import argparse
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import json
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from datetime import date
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from pathlib import Path
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ROOT = Path(__file__).resolve().parents[1]
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DEFAULT_OUT = ROOT / "Temp" / "rebalance_cadence_gate_v1.json"
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WEEKLY_WEEKDAYS = {5, 6} # Saturday=5, Sunday=6 (date.weekday())
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MONTHLY_MID_CHECK_DAYS = {1, 11, 21}
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def cadence_check_required(check_date: date, event_driven_trigger: bool = False) -> tuple[bool, str | None]:
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if check_date.weekday() in WEEKLY_WEEKDAYS:
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return True, "weekly_rebalance_required"
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if check_date.day in MONTHLY_MID_CHECK_DAYS:
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return True, "mid_check_required"
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if event_driven_trigger:
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return True, "event_driven_trigger"
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return False, None
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def evaluate_rebalance_gate(
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check_date: date,
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transition_utility_after_tax_cost_krw: float | None,
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hard_risk_block_active: bool | None,
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event_driven_trigger: bool = False,
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) -> dict:
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required, reason = cadence_check_required(check_date, event_driven_trigger)
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if not required:
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return {
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"cadence_check_required": False,
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"review_emitted": False,
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"rebalance_execution_allowed": False,
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"cadence_trigger_reason": None,
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}
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if transition_utility_after_tax_cost_krw is None and hard_risk_block_active is None:
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return {
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"cadence_check_required": True,
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"review_emitted": True,
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"rebalance_execution_allowed": False,
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"cadence_trigger_reason": reason,
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"gate": "DATA_MISSING",
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}
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allowed = bool(hard_risk_block_active) or (
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transition_utility_after_tax_cost_krw is not None and transition_utility_after_tax_cost_krw > 0
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)
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return {
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"cadence_check_required": True,
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"review_emitted": True,
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"rebalance_execution_allowed": allowed,
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"cadence_trigger_reason": reason,
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}
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def main() -> int:
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ap = argparse.ArgumentParser()
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ap.add_argument("--date", default=None, help="YYYY-MM-DD, default today")
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ap.add_argument("--transition-utility", type=float, default=None)
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ap.add_argument("--hard-risk-block", action="store_true")
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ap.add_argument("--event-driven-trigger", action="store_true")
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ap.add_argument("--out", default=str(DEFAULT_OUT))
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args = ap.parse_args()
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check_date = date.fromisoformat(args.date) if args.date else date.today()
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result = {
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"formula_id": "REBALANCE_CADENCE_GATE_V1",
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**evaluate_rebalance_gate(check_date, args.transition_utility, args.hard_risk_block, args.event_driven_trigger),
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"check_date": check_date.isoformat(),
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}
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out = Path(args.out)
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out.write_text(json.dumps(result, ensure_ascii=False, indent=2), encoding="utf-8")
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print(json.dumps(result, ensure_ascii=False, indent=2))
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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