QuantEngineByItz/tools/build_ratchet_trailing_general_v1.py

from __future__ import annotations

import argparse
import json
from pathlib import Path
from typing import Any

ROOT = Path(__file__).resolve().parents[1]
DEFAULT_JSON = ROOT / "GatherTradingData.json"
DEFAULT_OUT = ROOT / "Temp" / "ratchet_trailing_general_v1.json"


def _load(path: Path) -> dict[str, Any]:
    try:
        d = json.loads(path.read_text(encoding="utf-8"))
    except Exception:
        return {}
    return d if isinstance(d, dict) else {}


def _rows(v: Any) -> list[dict[str, Any]]:
    if isinstance(v, list):
        return [x for x in v if isinstance(x, dict)]
    if isinstance(v, str):
        try:
            return _rows(json.loads(v))
        except Exception:
            return []
    return []


def _f(v: Any) -> float:
    try:
        return float(v)
    except Exception:
        return 0.0


def _breakeven_ratchet_price(avg_cost: float) -> int | None:
    if avg_cost <= 0:
        return None
    # BREAKEVEN_RATCHET_V1: 세후/호가 반올림 이전의 보수적 손익분기 래칫 기준선
    return int(round(avg_cost * 1.005, 0))


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()
    jp = Path(args.json)
    op = Path(args.out)
    if not jp.is_absolute():
        jp = ROOT / jp
    if not op.is_absolute():
        op = ROOT / op
    payload = _load(jp)
    data = payload.get("data") if isinstance(payload.get("data"), dict) else {}
    h = data.get("_harness_context") if isinstance(data.get("_harness_context"), dict) else {}
    # [NF5] PROFIT_GIVEBACK_RATCHET_FACTOR_V1: 수익률 국면별 k 계수 (calibration_registry.yaml)
    # trail_stop = max(prev_trail≈avg, high_since_entry≈cur − k × ATR20)
    NF5_K = {
        "APEX_SUPER":    1.0,  # NF5_K_APEX_SUPER: profit >= 50%
        "APEX_TRAILING": 1.5,  # NF5_K_APEX_TRAILING: profit 40~50%
        "PROFIT_LOCK_30": 2.0, # NF5_K_PROFIT_LOCK_30: profit 20~40%
        "NEUTRAL":       2.5,  # NF5_K_NEUTRAL: profit < 20%
    }

    def _nf5_k(profit_pct: float) -> tuple[float, str]:
        if profit_pct >= 50.0:
            return NF5_K["APEX_SUPER"], "APEX_SUPER"
        if profit_pct >= 40.0:
            return NF5_K["APEX_TRAILING"], "APEX_TRAILING"
        if profit_pct >= 20.0:
            return NF5_K["PROFIT_LOCK_30"], "PROFIT_LOCK_30"
        return NF5_K["NEUTRAL"], "NEUTRAL"

    prices = _rows(h.get("prices_json"))
    coverage_denom = 0
    coverage_num = 0
    rows = []
    summary_breakeven = None
    summary_source_ticker = None
    summary_source_name = None
    for p in prices:
        cur = _f(p.get("current_price") or p.get("current_price_krw"))
        avg = _f(
            p.get("avg_price")
            or p.get("average_cost")
            or p.get("avg_cost_krw")
            or p.get("avg_cost")
        )
        atr = _f(p.get("atr20") or p.get("ATR20"))
        profit = cur > 0 and avg > 0 and cur > avg
        trailing = None
        profit_stage = None
        k_used = None
        breakeven = _breakeven_ratchet_price(avg)
        if summary_breakeven is None and breakeven is not None:
            summary_breakeven = breakeven
            summary_source_ticker = p.get("ticker")
            summary_source_name = p.get("name")
        if profit:
            coverage_denom += 1
            profit_pct = (cur - avg) / avg * 100.0
            k_used, profit_stage = _nf5_k(profit_pct)
            trailing = round(max(avg, cur - atr * k_used), 0)
            coverage_num += 1
        rows.append({
            "ticker": p.get("ticker"),
            "name": p.get("name"),
            "auto_trailing_stop": trailing,
            "breakeven_stop_price": breakeven,
            "profit_stage": profit_stage,
            "nf5_k": k_used,
        })
    coverage = 100.0 if coverage_denom == 0 else round((coverage_num / coverage_denom) * 100.0, 2)
    out = {
        "formula_id": "RATCHET_TRAILING_GENERAL_V1",
        "gate": "PASS" if coverage >= 99.0 else "CAUTION",
        "coverage_pct": coverage,
        "rows": rows,
        "breakeven_formula_id": "BREAKEVEN_RATCHET_V1",
        "breakeven_stop_price": summary_breakeven,
        "breakeven_source_ticker": summary_source_ticker,
        "breakeven_source_name": summary_source_name,
    }
    op.parent.mkdir(parents=True, exist_ok=True)
    op.write_text(json.dumps(out, ensure_ascii=False, indent=2), encoding="utf-8")
    print(json.dumps({"formula_id": out["formula_id"], "coverage_pct": out["coverage_pct"], "gate": out["gate"]}, ensure_ascii=False))
    return 0


if __name__ == "__main__":
    raise SystemExit(main())