fix(ai_trade): Chronos confidence를 absolute spread 기반으로 통일 (F4)
코드 리뷰 F4: signal_generator의 hard gate(L79)는 absolute spread(0.6 threshold)를 쓰지만 chronos_predictor:106의 confidence는 relative spread (q90-q10)/max(|median|, 0.001). zero-shot median≈0 케이스에서 spread가 폭증하여 conf=0으로 눌리고 결국 모든 매수 신호가 confidence_threshold(0.7)를 못 넘김. 산식 통일: conf = max(0, min(1, 1 - spread/_SPREAD_THRESHOLD)). _SPREAD_THRESHOLD=0.6 은 signal_generator hard gate와 동일. - spread≈0 → conf≈1 (확신) - spread=0.3 → conf=0.5 (중간) - spread≥0.6 → conf=0 (거부) Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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@@ -90,3 +90,54 @@ def test_return_computed_from_price_relative_to_last_close(mock_pipeline, mock_t
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daily = {"005930": _daily_ohlcv(list(range(41, 101)))} # last = 100
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result = predictor.predict_batch(daily)
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assert abs(result["005930"].median - 0.10) < 0.001
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# ----- F4: absolute spread 기반 confidence -----
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def test_confidence_high_when_spread_near_zero(mock_pipeline, mock_torch_cpu):
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"""F4 — median≈0 + spread≈0 일 때 conf≈1 (현 relative 산식의 회귀 케이스).
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한국 주가 100000원, q10=q50=q90=100000 → median=0, spread=0.
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Relative 산식 (spread/abs(median))은 0/0.001 보호선이라 spread=0이면 conf=1로
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동작하지만, median≈0 + 미세 spread(예 1원) 케이스에서 폭증 → conf=0.
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Absolute 산식은 그런 폭증 없음.
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"""
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quantiles = _mk_quantiles_tensor(100000.0, 100000.0, 100000.0)
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mock_pipeline.predict_quantiles.return_value = (quantiles, None)
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from ai_trade.chronos_predictor import ChronosPredictor
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predictor = ChronosPredictor(model_name="mock-model")
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daily = {"005930": _daily_ohlcv([100000] * 60)}
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result = predictor.predict_batch(daily)
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assert result["005930"].conf > 0.95, (
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f"median≈0 + spread≈0인데 conf={result['005930'].conf} (F4 회귀)"
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)
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def test_confidence_half_at_spread_03(mock_pipeline, mock_torch_cpu):
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"""F4 — spread 0.30일 때 conf ≈ 0.5 (1 - 0.3/0.6)."""
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# q10=85000 → -0.15, q90=115000 → 0.15, q50=100000 → 0.0
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# spread = 0.30, conf = 1 - 0.30/0.60 = 0.50
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quantiles = _mk_quantiles_tensor(85000.0, 100000.0, 115000.0)
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mock_pipeline.predict_quantiles.return_value = (quantiles, None)
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from ai_trade.chronos_predictor import ChronosPredictor
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predictor = ChronosPredictor(model_name="mock-model")
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daily = {"005930": _daily_ohlcv([100000] * 60)}
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result = predictor.predict_batch(daily)
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conf = result["005930"].conf
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assert 0.45 < conf < 0.55, f"spread=0.30에서 conf={conf} (expected ≈0.5)"
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def test_confidence_zero_at_threshold_spread(mock_pipeline, mock_torch_cpu):
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"""F4 — spread가 _SPREAD_THRESHOLD(0.6)이면 conf=0."""
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quantiles = _mk_quantiles_tensor(70000.0, 100000.0, 130000.0)
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mock_pipeline.predict_quantiles.return_value = (quantiles, None)
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from ai_trade.chronos_predictor import ChronosPredictor
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predictor = ChronosPredictor(model_name="mock-model")
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daily = {"005930": _daily_ohlcv([100000] * 60)}
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result = predictor.predict_batch(daily)
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assert result["005930"].conf < 0.05, (
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f"spread=threshold에서 conf={result['005930'].conf} (expected ≈0)"
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)
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