Files
QuantEngineByItz/tools/build_strategy_hardening_harness_v2.py
T
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

202 lines
9.3 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_V1 = ROOT / "Temp" / "strategy_hardening_harness_v1.json"
DEFAULT_OUTCOME_LOCK = ROOT / "Temp" / "operational_outcome_lock_v1.json"
DEFAULT_DQ_LOCK = ROOT / "Temp" / "data_integrity_100_lock_v2.json"
DEFAULT_SCR_V4 = ROOT / "Temp" / "smart_cash_recovery_v4.json"
DEFAULT_SCR_V5 = ROOT / "Temp" / "smart_cash_recovery_v5.json"
DEFAULT_ENGINE_GATE = ROOT / "Temp" / "engine_harness_gate_result.json"
DEFAULT_PRED = ROOT / "Temp" / "prediction_accuracy_harness_v2.json"
DEFAULT_OAC_V2 = ROOT / "Temp" / "operational_alpha_calibration_v2.json"
DEFAULT_FIR_V1 = ROOT / "Temp" / "formula_runtime_registry_v1.json"
DEFAULT_DQR_V1 = ROOT / "Temp" / "data_quality_reconciliation_v1.json"
DEFAULT_OUT = ROOT / "Temp" / "strategy_hardening_harness_v2.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 main() -> int:
ap = argparse.ArgumentParser()
ap.add_argument("--v1", default=str(DEFAULT_V1))
ap.add_argument("--outcome-lock", default=str(DEFAULT_OUTCOME_LOCK))
ap.add_argument("--dq-lock", default=str(DEFAULT_DQ_LOCK))
ap.add_argument("--scr-v4", default=str(DEFAULT_SCR_V4))
ap.add_argument("--scr-v5", default=str(DEFAULT_SCR_V5))
ap.add_argument("--engine-gate", default=str(DEFAULT_ENGINE_GATE))
ap.add_argument("--prediction", default=str(DEFAULT_PRED))
ap.add_argument("--alpha-calibration", default=str(DEFAULT_OAC_V2))
ap.add_argument("--formula-runtime", default=str(DEFAULT_FIR_V1))
ap.add_argument("--data-quality-recon", default=str(DEFAULT_DQR_V1))
ap.add_argument("--out", default=str(DEFAULT_OUT))
args = ap.parse_args()
v1 = Path(args.v1)
ol = Path(args.outcome_lock)
dl = Path(args.dq_lock)
sv = Path(args.scr_v4)
sv5 = Path(args.scr_v5)
eg = Path(args.engine_gate)
pi = Path(args.prediction)
op = Path(args.out)
for p in (v1, ol, dl, sv, sv5, eg, pi, op):
if not p.is_absolute():
p = ROOT / p
base = _load(ROOT / Path(args.v1) if not Path(args.v1).is_absolute() else Path(args.v1))
outcome_lock = _load(ROOT / Path(args.outcome_lock) if not Path(args.outcome_lock).is_absolute() else Path(args.outcome_lock))
dq_lock = _load(ROOT / Path(args.dq_lock) if not Path(args.dq_lock).is_absolute() else Path(args.dq_lock))
scr_v4 = _load(ROOT / Path(args.scr_v4) if not Path(args.scr_v4).is_absolute() else Path(args.scr_v4))
scr_v5 = _load(ROOT / Path(args.scr_v5) if not Path(args.scr_v5).is_absolute() else Path(args.scr_v5))
engine = _load(ROOT / Path(args.engine_gate) if not Path(args.engine_gate).is_absolute() else Path(args.engine_gate))
pred = _load(ROOT / Path(args.prediction) if not Path(args.prediction).is_absolute() else Path(args.prediction))
oac = _load(ROOT / Path(args.alpha_calibration) if not Path(args.alpha_calibration).is_absolute() else Path(args.alpha_calibration))
fir = _load(ROOT / Path(args.formula_runtime) if not Path(args.formula_runtime).is_absolute() else Path(args.formula_runtime))
dqr = _load(ROOT / Path(args.data_quality_recon) if not Path(args.data_quality_recon).is_absolute() else Path(args.data_quality_recon))
scr_current = scr_v5 if scr_v5 else scr_v4
ds = base.get("domain_scores") if isinstance(base.get("domain_scores"), dict) else {}
ms = base.get("meta_scores") if isinstance(base.get("meta_scores"), dict) else {}
data_integrity = _f(ds.get("data_integrity"))
outcome_quality = _f(ds.get("outcome_quality"))
t20_pass = _f(ds.get("t20_pass_rate"))
algo_proof = _f(ds.get("algorithm_guidance_proof"))
pred_summary = pred.get("summary") if isinstance(pred.get("summary"), dict) else {}
pred_match = _f(
pred_summary.get("match_rate_pct")
if pred_summary
else pred.get("t5_ap_combined")
if pred.get("t5_ap_combined") is not None
else pred.get("t20_replay_rate")
)
if pred_match <= 0.0:
pred_match = _f(pred.get("t5_ap_combined"), _f(pred.get("t20_replay_rate")))
value_damage = _f(scr_current.get("value_damage_pct_avg"))
expect = _f((outcome_lock.get("metrics") or {}).get("execution_expectancy_pct"))
win_rate = _f((outcome_lock.get("metrics") or {}).get("execution_win_rate_pct"))
t20_oper_count = _f((outcome_lock.get("metrics") or {}).get("operational_t20_count"))
t20_oper_pass = _f((outcome_lock.get("metrics") or {}).get("operational_t20_pass_rate"))
oac_conf = _f(oac.get("confidence_score"))
oac_gate = str(oac.get("gate") or "MISSING")
runtime_coverage = _f(fir.get("runtime_adjusted_coverage_pct"))
dq_conflict = bool(dqr.get("quality_conflict_flag"))
dq_invest = _f(dqr.get("investment_quality_score"))
dq_cap_basis = _f(dqr.get("confidence_cap_basis_score"), dq_invest)
readiness_reasons: list[str] = []
if str(dq_lock.get("gate") or "") != "PASS_100":
readiness_reasons.append("DATA_INTEGRITY_LOCK_NOT_PASS_100")
if outcome_quality < 60.0:
readiness_reasons.append("OUTCOME_QUALITY_LT_60")
if t20_oper_count < 30:
readiness_reasons.append("OPERATIONAL_T20_SAMPLE_LT_30")
if t20_oper_pass < 60.0:
readiness_reasons.append("OPERATIONAL_T20_PASS_LT_60")
if expect <= 0.1:
readiness_reasons.append("EXPECTANCY_LE_0_1")
if win_rate < 45.0:
readiness_reasons.append("WIN_RATE_LT_45")
if pred_match < 60.0:
readiness_reasons.append("PREDICTION_MATCH_LT_60")
if value_damage > 10.0:
readiness_reasons.append("VALUE_DAMAGE_GT_10")
if str(engine.get("status") or "") != "OK":
readiness_reasons.append("ENGINE_GATE_NOT_OK")
if oac_gate not in {"PERFORMANCE_READY", "NOT_READY"}:
readiness_reasons.append("ALPHA_CALIBRATION_MISSING")
if runtime_coverage < 100.0:
readiness_reasons.append("RUNTIME_COVERAGE_LT_100")
if dq_conflict:
readiness_reasons.append("DATA_QUALITY_CONFLICT")
if dq_cap_basis < 50.0:
readiness_reasons.append("DATA_QUALITY_CAP_BASIS_LT_50")
readiness_gate = "PERFORMANCE_READY" if not readiness_reasons else "NOT_PERFORMANCE_READY"
if "OPERATIONAL_T20_SAMPLE_LT_30" in readiness_reasons:
readiness_gate = "WATCH_PENDING_SAMPLE"
control = _f(ms.get("control_score"))
perf_v1 = _f(ms.get("performance_score"))
lock_boost = 100.0 if str(outcome_lock.get("unlock_state") or "") == "PERFORMANCE_READY" else 50.0
perf_v2 = round((perf_v1 * 0.5) + (t20_oper_pass * 0.2) + (pred_match * 0.15) + (max(0.0, 100.0 - value_damage * 5.0) * 0.15), 2)
overall = round(control * 0.55 + perf_v2 * 0.45, 2)
truth_hardening_score = round(min(overall, max(0.0, dq_cap_basis), max(0.0, 100.0 - max(0.0, value_damage - 10.0) * 10.0)), 2)
result = {
"formula_id": "STRATEGY_HARDENING_HARNESS_V2",
"domain_scores": {
**ds,
"prediction_match_rate_pct": pred_match,
"cash_recovery_value_damage_pct": value_damage,
"operational_t20_count": t20_oper_count,
"operational_t20_pass_rate": t20_oper_pass,
"execution_expectancy_pct_operational": expect,
"execution_win_rate_pct_operational": win_rate,
"alpha_calibration_confidence_score": oac_conf,
"formula_runtime_coverage_pct": runtime_coverage,
"data_quality_investment_score": dq_invest,
"data_quality_cap_basis_score": dq_cap_basis,
"data_quality_conflict_flag": dq_conflict,
"algorithm_guidance_proof": algo_proof,
"t20_pass_rate": t20_pass,
"data_integrity": data_integrity,
"outcome_quality": outcome_quality,
},
"meta_scores": {
"control_score": control,
"performance_score_v1": perf_v1,
"performance_score_v2": perf_v2,
"lock_score": lock_boost,
"overall_hardening_score": overall,
"truth_hardening_score": truth_hardening_score,
"readiness_gate": readiness_gate,
"readiness_reasons": readiness_reasons,
"alpha_calibration_gate": oac_gate,
},
"targets": {
"data_integrity_score": 100.0,
"outcome_quality_min": 60.0,
"operational_t20_sample_min": 30,
"operational_t20_pass_min": 60.0,
"execution_expectancy_pct_min": 0.1,
"execution_win_rate_pct_min": 45.0,
"prediction_match_rate_pct_min": 60.0,
"value_damage_pct_avg_max": 10.0,
"engine_gate_status": "OK",
"formula_runtime_coverage_pct": 100.0,
"data_quality_conflict_flag": False,
},
}
out_path = ROOT / Path(args.out) if not Path(args.out).is_absolute() else Path(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(result, ensure_ascii=False, indent=2))
return 0
if __name__ == "__main__":
raise SystemExit(main())