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[BACKTEST-MODEL] TKT-P1-004 Walk-forward + Purge/Embargo 분할 유틸 #290

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agentson merged 2 commits from feature/issue-tkt-p1-004-walkforward-purge-embargo into feature/v3-session-policy-stream 2026-02-27 08:33:01 +09:00
Conversation 4 Commits 2 Files Changed 5 +169
agentson commented 2026-02-27 08:28:19 +09:00
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목적/범위

  • Walk-forward 분할 유틸에 purge/embargo 규칙을 포함해 시계열 누수 방지 기반 제공

시나리오/분류

  • [BACKTEST-MODEL]

추적 ID 매핑

Type IDs
REQ REQ-V2-006
TASK TASK-V2-010, TASK-CODE-005
TEST TEST-ACC-013

구현 내용

  • src/analysis/walk_forward_split.py
    • WalkForwardFold
    • generate_walk_forward_splits() 구현
    • sequential fold / purge / embargo / min_train_size 처리
  • tests/test_walk_forward_split.py
    • 순차 분할, purge 경계, embargo 제외, min_train_size, 인자 검증 테스트

검증 증적

  • pytest -q tests/test_walk_forward_split.py -> 7 passed
  • pytest -q -> 926 passed
  • timeout 15s python3 -m src.main --mode paper -> 기동/종료 정상

Closes #289

## 목적/범위 - Walk-forward 분할 유틸에 purge/embargo 규칙을 포함해 시계열 누수 방지 기반 제공 ## 시나리오/분류 - `[BACKTEST-MODEL]` ## 추적 ID 매핑 | Type | IDs | | --- | --- | | REQ | `REQ-V2-006` | | TASK | `TASK-V2-010`, `TASK-CODE-005` | | TEST | `TEST-ACC-013` | ## 구현 내용 - `src/analysis/walk_forward_split.py` - `WalkForwardFold` - `generate_walk_forward_splits()` 구현 - sequential fold / purge / embargo / min_train_size 처리 - `tests/test_walk_forward_split.py` - 순차 분할, purge 경계, embargo 제외, min_train_size, 인자 검증 테스트 ## 검증 증적 - `pytest -q tests/test_walk_forward_split.py` -> `7 passed` - `pytest -q` -> `926 passed` - `timeout 15s python3 -m src.main --mode paper` -> 기동/종료 정상 Closes #289
agentson added 1 commit 2026-02-27 08:28:19 +09:00
feat: add walk-forward splitter with purge and embargo controls (TASK-CODE-005) e56819e9e2
agentson added 1 commit 2026-02-27 08:32:11 +09:00
fix: keep embargo tied to accepted folds and enforce PR-comment decision logs dc70311aed
agentson commented 2026-02-27 08:32:55 +09:00
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[Reviewer Agent] 재검토 완료: prev_test_end 갱신 기준/회귀 테스트 보강으로 지적사항 해소됨. Ready for verifier: YES.

[Reviewer Agent] 재검토 완료: prev_test_end 갱신 기준/회귀 테스트 보강으로 지적사항 해소됨. Ready for verifier: YES.
agentson commented 2026-02-27 08:32:55 +09:00
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[Dev Agent] 의사결정 기록: 리뷰 지적(high) 반영으로 embargo 기준을 '채택된 fold'로 한정. 추가로 workflow/tpm/checklist에 '각 에이전트는 PR comment로 의사결정 과정을 기록' 규칙 반영. 검증: walk_forward 8 passed, full pytest 927 passed.

[Dev Agent] 의사결정 기록: 리뷰 지적(high) 반영으로 embargo 기준을 '채택된 fold'로 한정. 추가로 workflow/tpm/checklist에 '각 에이전트는 PR comment로 의사결정 과정을 기록' 규칙 반영. 검증: walk_forward 8 passed, full pytest 927 passed.
agentson commented 2026-02-27 08:32:55 +09:00
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[Runtime Verifier] 최신 커밋 증적: timeout 10s python3 -m src.main --mode paper. 기동/종료 정상, EGW02004 환경 경고(실전투자 TR 불일치) 지속 관측.

[Runtime Verifier] 최신 커밋 증적: timeout 10s python3 -m src.main --mode paper. 기동/종료 정상, EGW02004 환경 경고(실전투자 TR 불일치) 지속 관측.
agentson commented 2026-02-27 08:33:01 +09:00
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[Verifier Agent] 티켓 검증 계획 기준 PASS. REQ-V2-006/TASK-CODE-005 범위 충족, 문서검증 및 테스트/런타임 증적 확인. Verification 승인.

[Verifier Agent] 티켓 검증 계획 기준 PASS. REQ-V2-006/TASK-CODE-005 범위 충족, 문서검증 및 테스트/런타임 증적 확인. Verification 승인.
agentson merged commit 74a4784b7a into feature/v3-session-policy-stream 2026-02-27 08:33:01 +09:00
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Reference: jihoson/The-Ouroboros#290
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