kjh2064
ee3e799de1
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>
90 lines
3.1 KiB
YAML
90 lines
3.1 KiB
YAML
# spec/strategy/predictive_alpha_dialectic_v2.yaml
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# P1-014: Dialectical Predictive Alpha V2 - Synthesis Decile Calibration
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#
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# 목적: thesis-antithesis-synthesis 점수가 forward return과 연결되는지 검증.
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# 현재 상태: BEARISH_SAFE_PENDING_CALIBRATION
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# - bearish_buy_violations = 0 (PASS)
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# - synthesis_decile_monotonicity = INSUFFICIENT_DATA (T+20 < 30)
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meta:
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formula_id: PREDICTIVE_ALPHA_CALIBRATION_V2
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version: "2026-06-06"
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python_tools:
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- tools/build_predictive_alpha_dialectic_engine_v2.py
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- tools/validate_predictive_alpha_dialectic_v2.py
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sources:
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- Temp/predictive_alpha_engine_v2.json
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- Temp/proposal_evaluation_history.json
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- Temp/predictive_alpha_calibration_v2.json
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# -- 정반합 구조 --
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dialectic_structure:
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thesis:
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description: "종목이 상승할 근거 (기술적/펀더멘털/모멘텀 팩터)"
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max_score: 100
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antithesis:
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description: "종목이 하락할 근거 (거시/리스크/센티멘트 팩터)"
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max_score: 100
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single_factor_cap: "antithesis_total의 50% 이하"
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synthesis:
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formula: "direction_confidence = thesis_score - antithesis_score"
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verdicts:
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STRONG_BULLISH: "dc >= 40"
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BULLISH: "dc >= 20"
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NEUTRAL: "dc >= -20"
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HOLD: "dc < -20 (약한 약세 — EXIT 아님)"
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BEARISH: "dc < -40 (신규 BUY 금지)"
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# -- synthesis_decile_monotonicity 검증 --
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decile_monotonicity:
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method: "synthesis_score 5분위별 T+20 평균수익률 단조 증가 확인"
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required_t20_samples: 30
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current_t20_live_samples: 0
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status: INSUFFICIENT_DATA
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remediation: "T+20 LIVE 표본 30건 축적 후 자동 활성화 (~2026-07-15)"
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threshold_rule: >
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높은 decile일수록 기대수익 단조 증가하지 않으면
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threshold 낮추지 않음 (과최적화 방지)
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# -- BEARISH BUY 차단 --
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bearish_buy_guard:
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rule: "synthesis_verdict in BEARISH/STRONG_BEARISH/AVOID → BUY 금지"
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current_violations: 0
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status: PASS
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enforcement: "allow_execution=False when direction_confidence < -40"
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# -- alpha_calibration_gate 판정 로직 --
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calibration_gate:
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CALIBRATED:
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requires: "bearish_violations==0 AND synthesis_decile_monotonicity==PASS"
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status: NOT_YET
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BEARISH_SAFE_PENDING_CALIBRATION:
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requires: "bearish_violations==0 AND T+20<30"
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status: CURRENT
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BLOCKED_BEARISH_VIOLATION:
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requires: "bearish BUY 감지됨"
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status: GUARD_ACTIVE
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# -- 수락 기준 --
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acceptance_criteria:
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alpha_calibration_gate:
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target: CALIBRATED
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current: BEARISH_SAFE_PENDING_CALIBRATION
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status: PENDING_DATA
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remediation: "T+20 LIVE 표본 축적 (~2026-07-15)"
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synthesis_decile_monotonicity:
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target: PASS
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current: INSUFFICIENT_DATA
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status: PENDING_DATA
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bearish_buy_violation_count:
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target: "==0"
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current: 0
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status: PASS
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# -- 금지 사항 --
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prohibitions:
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- "BEARISH 판정 종목에 BUY/STRONG_BUY 제안 금지"
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- "T+20 표본 없이 synthesis_decile_monotonicity=PASS 선언 금지"
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- "decile monotonicity 미검증 상태에서 threshold 하향 조정 금지"
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- "antithesis 단일 팩터가 50% 이상 점수 차지 금지"
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