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QuantEngineByItz/spec/formulas/domains/governance.yaml
T
kjh2064 aedabdd37b feat(quant-engine): v8.9 제안서 P0-P3 로드맵 채택 — 15개 의사결정 엔진 신규 구현 
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>
2026-06-18 00:06:52 +09:00

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schema_version: formula_domain.v1
source: C:\Temp\data_feed\spec\13_formula_registry.yaml
domain: governance
meta:
note: >
governance/todo/v8_9_p1_adoption_plan.yaml P1-C.
source: suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml:model_governance_v8_9
이 도메인은 종목/팩터 수준 promotion(spec/57_shadow_promotion_scorecard.yaml)과는 별개로
전략 execution_mode 단계(AUDIT_ONLY→SHADOW→PILOT→LIVE_LIMITED→LIVE_FULL) 전체를 다룬다.
formulas:
MODEL_GOVERNANCE_KILL_SWITCH_V1:
purpose: >
data_quarantine_rate, implementation_shortfall, T5_hit_rate, calibration_error,
drawdown 5개 지표를 감시해 기준 이탈 시 execution_mode를 자동으로 한 단계 강등한다.
LLM이나 운영자가 "이번엔 괜찮을 것"이라는 서사로 강등을 보류하는 것을 금지한다.
(governance/todo/v8_9_p1_adoption_plan.yaml P1-C.1,
source: suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml:risk_controls_v8_9.kill_switches,
model_governance_v8_9.automatic_demotion)
applicable: 매 의사결정 사이클 시작 전. PORTFOLIO_TRANSITION_UTILITY_V1보다 먼저 평가되어 execution_mode를 확정한다.
promotion_ladder: [AUDIT_ONLY, SHADOW, PILOT, LIVE_LIMITED, LIVE_FULL]
inputs:
- field: data_quarantine_rate_pct
unit: percent
source: tools/build_yaml_code_coverage_v1.py 계열 — 결측/충돌로 quarantine된 입력 비율
- field: implementation_shortfall_ratio
unit: ratio
note: 실제 슬리피지 / 기대 슬리피지. 2.0 초과 시 위반.
- field: t5_hit_rate_pct
source: spec/29_backtest_harness_contract.yaml:current_metrics.direction_accuracy.t5_op_rate
unit: percent
- field: t5_sample_count
source: spec/29_backtest_harness_contract.yaml:current_metrics.direction_accuracy.t5_op_rate.n_sample
unit: count
- field: calibration_error
source: spec/calibration_registry.yaml
unit: ratio
- field: calibration_error_limit
unit: ratio
- field: account_mdd_pct
unit: percent
- field: account_mdd_budget_pct
source: spec/risk/aggregate_risk.yaml
unit: percent
kill_switch_conditions:
- id: data_quarantine_rate_above_5pct
condition: data_quarantine_rate_pct > 5.0
- id: implementation_shortfall_above_2x_expected
condition: implementation_shortfall_ratio > 2.0
- id: t5_hit_rate_below_50pct_for_30_trades
condition: t5_sample_count >= 30 AND t5_hit_rate_pct < 50.0
- id: calibration_error_above_limit
condition: calibration_error > calibration_error_limit
- id: unexpected_drawdown_breach
condition: account_mdd_pct > account_mdd_budget_pct
demotion_rule: >
kill_switch_conditions 중 하나라도 true이면 execution_mode를 promotion_ladder에서
현재 단계 -1 (한 단계만 강등). AUDIT_ONLY는 더 이상 강등되지 않는다(최저 단계).
여러 조건이 동시에 발동해도 1단계만 강등(과잉반응 방지) — 단, 재평가 사이클마다 조건이
계속 true이면 추가로 1단계씩 강등된다.
promotion_rule: >
kill_switch_conditions 전부 false이고 spec/57_shadow_promotion_scorecard.yaml의
promotion_gate_criteria(해당 단계 전환 기준)를 만족할 때만 한 단계 승급. 자동 승급 없음 —
승급은 operator_override 기록을 동반해야 한다(v8.9 V89_039).
output:
field: execution_mode
unit: enum
additional_outputs:
- kill_switch_triggered
- kill_switch_reason_codes
- execution_mode_changed
missing_policy: 입력 지표 중 하나라도 null이면 해당 kill switch는 평가 불가로 PARTIAL 표기하고, 평가 가능한 지표만으로 판정한다. 모든 지표 null이면 execution_mode 변경 없이 DATA_MISSING.
canonical_ref: spec/57_shadow_promotion_scorecard.yaml
implementation: tools/build_model_governance_kill_switch_v1.py
owner: quant_team
lifecycle_state: shadow
input_fields:
- data_quarantine_rate_pct
- implementation_shortfall_ratio
- t5_hit_rate_pct
- t5_sample_count
- calibration_error
- calibration_error_limit
- account_mdd_pct
- account_mdd_budget_pct
output_fields:
- execution_mode
- kill_switch_triggered
- kill_switch_reason_codes
golden_cases:
- V89_035_model_kill_switch_hit_rate
- V89_036_model_kill_switch_slippage
- V89_037_data_quarantine_rate
activation_threshold:
min_t20_sample: 30
retirement_condition: performance_degradation
IMMUTABLE_DECISION_LEDGER_V1:
purpose: >
모든 의사결정을 append-only로 기록해 사후 재구성과 T1/T5/T20 성과 귀속을 가능하게 한다.
기존 레코드 수정·삭제를 금지하며, 동일 decision_id 재기록 시도는 거부한다.
(governance/todo/v8_9_p2_adoption_plan.yaml P2-C,
source: suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml:model_governance_v8_9.immutable_decision_log_required_fields)
applicable: PORTFOLIO_TRANSITION_UTILITY_V1 또는 TRANSITION_SET_ENUMERATOR_V1이 selected_transition을 확정한 직후.
required_fields:
- decision_id
- timestamp
- engine_version
- input_hash_bundle
- execution_mode
- candidate_ids
- selected_transition_id
- hard_blocks
- transition_utility_krw
- operator_override
- order_ids
- fill_prices
- slippage
- T1_return
- T5_return
- T20_return
- MAE
- MFE
append_only_rule: >
decision_id가 이미 ledger에 존재하면 신규 append를 거부하고 DUPLICATE_DECISION_ID 오류를 반환한다.
기존 레코드의 필드 값을 변경하는 호출은 없다 — T1/T5/T20/MAE/MFE는 별도의 update_outcome
append(새 레코드, 동일 decision_id 참조)로만 추가하고 원본 decision 레코드는 불변으로 둔다.
inputs:
- field: decision_id
unit: string
- field: engine_version
unit: string
- field: input_hash_bundle
unit: string
- field: execution_mode
unit: enum
- field: candidate_ids
unit: list_of_string
- field: selected_transition_id
unit: string_or_null
- field: transition_utility_krw
unit: number_or_null
output:
field: ledger_append_status
unit: 'enum: APPENDED | DUPLICATE_DECISION_ID | REJECTED_MISSING_FIELDS'
missing_policy: required_fields 중 하나라도 없으면 REJECTED_MISSING_FIELDS — 빈 문자열/0으로 채워 append 금지.
canonical_ref: spec/formulas/domains/portfolio.yaml:PORTFOLIO_TRANSITION_UTILITY_V1
implementation: tools/build_immutable_decision_ledger_v1.py
owner: quant_team
lifecycle_state: shadow
input_fields:
- decision_id
- engine_version
- input_hash_bundle
- execution_mode
- candidate_ids
- selected_transition_id
- transition_utility_krw
output_fields:
- ledger_append_status
golden_cases:
- V89_039_operator_override
activation_threshold:
min_t20_sample: 30
retirement_condition: performance_degradation
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