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>
147 lines
6.5 KiB
Python
147 lines
6.5 KiB
Python
from __future__ import annotations
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import argparse
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import json
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from pathlib import Path
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from typing import Any
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ROOT = Path(__file__).resolve().parents[1]
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DEFAULT_HISTORY = ROOT / "Temp" / "proposal_evaluation_history.json"
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DEFAULT_LATE = ROOT / "Temp" / "late_chase_attribution_v1.json"
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DEFAULT_REBOUND = ROOT / "Temp" / "rebound_sell_efficiency_v1.json"
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DEFAULT_OUTCOME = ROOT / "Temp" / "outcome_quality_score_v1.json"
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DEFAULT_EXEC_QUALITY = ROOT / "Temp" / "execution_quality_harness_v1.json"
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DEFAULT_OUT = ROOT / "Temp" / "perf_recovery_harness_v1.json"
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def _load(path: Path) -> dict[str, Any]:
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if not path.exists():
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return {}
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try:
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x = json.loads(path.read_text(encoding="utf-8"))
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except Exception:
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return {}
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return x if isinstance(x, dict) else {}
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def main() -> int:
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ap = argparse.ArgumentParser()
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ap.add_argument("--history", default=str(DEFAULT_HISTORY))
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ap.add_argument("--late", default=str(DEFAULT_LATE))
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ap.add_argument("--rebound", default=str(DEFAULT_REBOUND))
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ap.add_argument("--outcome", default=str(DEFAULT_OUTCOME))
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ap.add_argument("--execution-quality", default=str(DEFAULT_EXEC_QUALITY))
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ap.add_argument("--out", default=str(DEFAULT_OUT))
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args = ap.parse_args()
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hp = Path(args.history); lp = Path(args.late); rp = Path(args.rebound); op = Path(args.outcome); eqp = Path(args.execution_quality); outp = Path(args.out)
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for p in (hp, lp, rp, op, eqp, outp):
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if not p.is_absolute():
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p = ROOT / p
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hist = _load(hp if hp.is_absolute() else ROOT / hp)
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late = _load(lp if lp.is_absolute() else ROOT / lp)
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rebound = _load(rp if rp.is_absolute() else ROOT / rp)
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outcome = _load(op if op.is_absolute() else ROOT / op)
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exec_q = _load(eqp if eqp.is_absolute() else ROOT / eqp)
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recs = hist.get("records") if isinstance(hist.get("records"), list) else []
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t20 = [r for r in recs if isinstance(r, dict) and r.get("t20_evaluation_status") == "EVALUATED_T20"]
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watch = [r for r in t20 if str(r.get("action") or "").upper() == "WATCH"]
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watch_operational = [r for r in watch if str(r.get("validation_status") or "").upper() != "REPLAY_BACKFILL"]
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watch_replay = [r for r in watch if str(r.get("validation_status") or "").upper() == "REPLAY_BACKFILL"]
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watch_miss = [r for r in watch_operational if r.get("t20_outcome") == "MISMATCHED"]
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watch_miss_rate = round((len(watch_miss) / len(watch_operational)) * 100.0, 2) if watch_operational else 0.0
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late_status = str(late.get("status") or "DATA_MISSING")
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late_samples = int(late.get("samples") or 0)
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block_cnt = int((late.get("metrics") or {}).get("late_chase_blocked_count") or 0)
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high_risk_cnt = int((late.get("metrics") or {}).get("late_chase_high_risk_count") or 0)
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late_chase_block_precision = round((block_cnt / max(1, high_risk_cnt)) * 100.0, 2) if high_risk_cnt else 0.0
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value_damage = float((rebound.get("metrics") or {}).get("value_damage_pct_avg") or 0.0)
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out_m = outcome.get("metrics") if isinstance(outcome.get("metrics"), dict) else {}
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t20_pass_rate = float(out_m.get("t20_effective_rate") or out_m.get("t20_pass_rate") or 0.0)
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t20_source = str(out_m.get("t20_source") or "")
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outcome_score = float(outcome.get("score") or 0.0)
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has_operational_t20 = t20_source == "proposal_evaluation_history.operational_t20_only"
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exec_gate = str(exec_q.get("gate") or "DATA_MISSING")
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exec_oper = (exec_q.get("metrics") or {}).get("operational_t20") if isinstance((exec_q.get("metrics") or {}).get("operational_t20"), dict) else {}
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exec_expectancy = float(exec_oper.get("expectancy_pct") or 0.0)
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exec_mdd = float(exec_oper.get("max_drawdown_pct") or 0.0)
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exec_win_rate = float(exec_oper.get("win_rate_pct") or 0.0)
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gate = "PASS"
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reasons = []
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if has_operational_t20 and t20_pass_rate < 60.0:
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gate = "FAIL"
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reasons.append("T20_PASS_RATE_BELOW_60")
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if has_operational_t20 and value_damage > 10.0:
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gate = "FAIL"
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reasons.append("VALUE_DAMAGE_ABOVE_10")
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elif not has_operational_t20 and value_damage > 10.0:
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reasons.append("VALUE_DAMAGE_WATCH_UNTIL_OPERATIONAL_SAMPLE")
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if watch_operational and watch_miss_rate > 35.0:
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gate = "FAIL"
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reasons.append("WATCH_MISS_RATE_TOO_HIGH")
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if not watch_operational:
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reasons.append("WATCH_MISS_SAMPLE_INSUFFICIENT")
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if late_status == "WATCH_PENDING_SAMPLE" and late_samples < 30:
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reasons.append("LATE_CHASE_SAMPLE_INSUFFICIENT")
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if not has_operational_t20:
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reasons.append("T20_OPERATIONAL_SAMPLE_INSUFFICIENT")
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if exec_gate == "FAIL":
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gate = "FAIL"
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reasons.append("EXECUTION_QUALITY_FAIL")
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elif exec_gate == "WATCH_PENDING_SAMPLE":
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reasons.append("EXECUTION_QUALITY_SAMPLE_INSUFFICIENT")
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if gate == "PASS" and (
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"WATCH_MISS_SAMPLE_INSUFFICIENT" in reasons
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or "LATE_CHASE_SAMPLE_INSUFFICIENT" in reasons
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or "T20_OPERATIONAL_SAMPLE_INSUFFICIENT" in reasons
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):
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gate = "WATCH_PENDING_SAMPLE"
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res = {
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"formula_id": "PERF_RECOVERY_HARNESS_V1",
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"gate": gate,
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"reasons": reasons,
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"metrics": {
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"t20_pass_rate": t20_pass_rate,
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"outcome_quality_score": outcome_score,
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"t20_source": t20_source,
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"watch_miss_rate": watch_miss_rate,
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"watch_eval_count": len(watch_operational),
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"watch_mismatch_count": len(watch_miss),
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"watch_replay_eval_count": len(watch_replay),
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"late_chase_block_precision": late_chase_block_precision,
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"late_chase_status": late_status,
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"late_chase_samples": late_samples,
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"rebound_sell_value_damage": value_damage,
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"execution_quality_gate": exec_gate,
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"execution_expectancy_pct": exec_expectancy,
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"execution_max_drawdown_pct": exec_mdd,
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"execution_win_rate_pct": exec_win_rate,
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},
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"targets": {
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"t20_pass_rate_min": 60.0,
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"outcome_quality_score_min": 60.0,
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"watch_miss_rate_max": 35.0,
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"rebound_sell_value_damage_max": 10.0,
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"execution_expectancy_pct_min": 0.0,
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"execution_max_drawdown_pct_max": 12.0,
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"execution_win_rate_pct_min": 45.0,
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},
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}
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out_file = outp if outp.is_absolute() else ROOT / outp
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out_file.parent.mkdir(parents=True, exist_ok=True)
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out_file.write_text(json.dumps(res, ensure_ascii=False, indent=2), encoding="utf-8")
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print(json.dumps(res, 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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