QuantEngineByItz/tools/build_continuous_evaluation_dashboard_v1.py

"""build_continuous_evaluation_dashboard_v1.py — CONTINUOUS_EVALUATION_DASHBOARD_V1

P2-020: 주간 성과 대시보드.
- LIVE T+20 표본에서 기대수익/승률/MDD/수익반납 지표 산출
- REPLAY 표본은 informational 섹션에만 집계 (성과 계산 혼입 금지)
- T+20 미확정 → None으로 표기, INSUFFICIENT_DATA 게이트
"""
from __future__ import annotations

import argparse
import json
from collections import defaultdict
from datetime import datetime, timezone
from pathlib import Path
from typing import Any

from v7_hardening_common import ROOT, TEMP, load_json, save_json

DEFAULT_HIST = ROOT / "Temp" / "proposal_evaluation_history.json"
DEFAULT_OUT  = TEMP / "continuous_evaluation_dashboard_v1.json"

MIN_T20_FOR_METRICS = 30  # 성과 지표 신뢰성 최소 표본 수

_REPLAY_ORIGINS    = {"REPLAY_FROM_KRX_EOD", "HISTORICAL_REPLAY", "BACKTEST"}
_REPLAY_VALIDATION = {"REPLAY", "HISTORICAL_REPLAY"}


def _is_replay(r: dict) -> bool:
    return (
        str(r.get("data_origin") or "").upper() in _REPLAY_ORIGINS
        or str(r.get("validation_status") or "").upper() in _REPLAY_VALIDATION
        or str(r.get("record_type") or "").upper().startswith("HISTORICAL_REPLAY")
    )


def _is_evaluated_t20(r: dict) -> bool:
    return (
        r.get("t20_evaluation_status") == "EVALUATED_T20"
        and r.get("t20_return_pct") is not None
    )


def _iso_week(date_str: str | None) -> str | None:
    if not date_str:
        return None
    try:
        dt = datetime.strptime(str(date_str)[:10], "%Y-%m-%d")
        return dt.strftime("%G-W%V")
    except ValueError:
        return None


def _compute_metrics(t20_returns: list[float]) -> dict[str, Any]:
    if not t20_returns:
        return {
            "expectancy_pct": None,
            "win_rate_pct": None,
            "max_drawdown_pct": None,
            "trade_count": 0,
        }
    wins = [r for r in t20_returns if r > 0]
    return {
        "expectancy_pct": round(sum(t20_returns) / len(t20_returns), 4),
        "win_rate_pct":   round(len(wins) / len(t20_returns) * 100, 2),
        "max_drawdown_pct": round(min(t20_returns), 4),
        "trade_count": len(t20_returns),
    }


def _build_weekly_scorecard(live_eval: list[dict]) -> list[dict]:
    weeks: dict[str, list[float]] = defaultdict(list)
    for r in live_eval:
        week = _iso_week(r.get("proposal_date") or r.get("created_at"))
        if week:
            weeks[week].append(float(r["t20_return_pct"]))

    scorecard = []
    for week in sorted(weeks.keys()):
        returns = weeks[week]
        m = _compute_metrics(returns)
        m["week"] = week
        scorecard.append(m)
    return scorecard


def main() -> int:
    ap = argparse.ArgumentParser()
    ap.add_argument("--hist", default=str(DEFAULT_HIST))
    ap.add_argument("--out",  default=str(DEFAULT_OUT))
    args = ap.parse_args()

    hist_raw = load_json(Path(args.hist))
    records: list[dict] = (
        hist_raw.get("records", []) if isinstance(hist_raw, dict)
        else (hist_raw if isinstance(hist_raw, list) else [])
    )

    # ── 분류 ─────────────────────────────────────────────────────────────────
    live_all   = [r for r in records if not _is_replay(r)]
    replay_all = [r for r in records if _is_replay(r)]
    live_eval  = [r for r in live_all if _is_evaluated_t20(r)]

    live_t20_count = len(live_eval)
    insufficient   = live_t20_count < MIN_T20_FOR_METRICS

    # ── 성과 지표 (LIVE T+20 전체) ────────────────────────────────────────
    returns = [float(r["t20_return_pct"]) for r in live_eval] if live_eval else []
    overall = _compute_metrics(returns)

    # ── 주간 스코어카드 ──────────────────────────────────────────────────
    weekly_scorecard = _build_weekly_scorecard(live_eval)

    # ── gate 판정 ─────────────────────────────────────────────────────────
    exp = overall.get("expectancy_pct")
    wr  = overall.get("win_rate_pct")
    if insufficient:
        gate = "INSUFFICIENT_DATA"
    elif exp is not None and wr is not None and (exp < 0 or wr < 40):
        gate = "WARNING"
    else:
        gate = "PASS"

    result = {
        "formula_id": "CONTINUOUS_EVALUATION_DASHBOARD_V1",
        "generated_at": datetime.now(timezone.utc).isoformat(),
        "gate": gate,
        # ── 전체 지표 ────────────────────────────────────────────────────
        "weekly_scorecard_generated": len(weekly_scorecard) > 0,
        "expectancy_pct":      overall.get("expectancy_pct"),
        "win_rate_pct":        overall.get("win_rate_pct"),
        "max_drawdown_pct":    overall.get("max_drawdown_pct"),
        "profit_giveback_pct": None,  # T+20 이후 추적 미구현
        "total_live_evaluated_t20": live_t20_count,
        "total_live_pending":  len(live_all) - live_t20_count,
        # ── 주간 스코어카드 ─────────────────────────────────────────────
        "weekly_scorecard": weekly_scorecard,
        "weekly_scorecard_count": len(weekly_scorecard),
        # ── informational (REPLAY 분리) ──────────────────────────────────
        "replay_informational": {
            "replay_record_count": len(replay_all),
            "note": "REPLAY 표본은 성과 지표 계산에 포함되지 않음",
        },
        # ── 데이터 신뢰성 ─────────────────────────────────────────────
        "data_confidence": {
            "sufficient_for_metrics": not insufficient,
            "min_required": MIN_T20_FOR_METRICS,
            "current_live_t20": live_t20_count,
            "gap": max(0, MIN_T20_FOR_METRICS - live_t20_count),
            "estimated_ready": "~2026-07-15" if insufficient else "NOW",
        },
        "prohibitions": [
            "REPLAY 표본을 성과 지표 계산에 포함 금지",
            "T+20 미확정 거래를 EVALUATED_T20으로 분류 금지",
            "외부 가격 데이터 직접 조회 금지 (history 기록 기준만 사용)",
        ],
    }
    save_json(args.out, result)

    suffix = f"(need {max(0, MIN_T20_FOR_METRICS - live_t20_count)} more LIVE T+20)" if insufficient else ""
    print(
        f"[CONTINUOUS_EVALUATION_DASHBOARD_V1] gate={gate} "
        f"live_t20={live_t20_count} "
        f"expectancy={overall.get('expectancy_pct')} "
        f"win_rate={overall.get('win_rate_pct')}% "
        f"MDD={overall.get('max_drawdown_pct')} "
        f"weeks={len(weekly_scorecard)} {suffix}"
    )
    return 0


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