feat: add Fear & Greed filter to entry logic
- core/fng.py: F&G API wrapper with 1h cache (alternative.me) - FNG_MIN_ENTRY=41 (env-configurable), blocks entry below threshold - core/strategy.py: call is_entry_allowed() before volume/regime checks - daemon/runner.py: log F&G status on every scan cycle - core/notify.py: include F&G value in buy/signal/status notifications - core/trader.py: pass current F&G value to notify_buy Backtest evidence (1y / 18 tickers / 1h candles): - No filter: 820 trades, 32.7% WR, avg +0.012%, KRW +95k - F&G >= 41: 372 trades, 39.5% WR, avg +0.462%, KRW +1.72M - Blocked 452 trades (avg -0.372%, saved ~1.68M KRW loss) Also add: - backtest_db.py: Oracle DB storage for backtest runs/results/trades - fng_1y_backtest.py, fng_adaptive_backtest.py, fng_sim_comparison.py Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
joungmin
247
backtest_db.py
Normal file
247
backtest_db.py
Normal file
@@ -0,0 +1,247 @@
|
||||
"""백테스트 결과 Oracle DB 저장 모듈.
|
||||
|
||||
테이블:
|
||||
backtest_runs - 실행 단위 (실행시각, 설명, 파라미터)
|
||||
backtest_results - 조건별 집계 (run_id + label)
|
||||
backtest_trade_log - 개별 거래 (run_id + label + 종목 + pnl + fng + ...)
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import os
|
||||
from contextlib import contextmanager
|
||||
from datetime import datetime
|
||||
from pathlib import Path
|
||||
from typing import Generator
|
||||
|
||||
import oracledb
|
||||
from dotenv import load_dotenv
|
||||
|
||||
load_dotenv(dotenv_path=Path(__file__).parent / ".env")
|
||||
|
||||
_pool: oracledb.ConnectionPool | None = None
|
||||
|
||||
|
||||
def _get_pool() -> oracledb.ConnectionPool:
|
||||
global _pool
|
||||
if _pool is None:
|
||||
kwargs: dict = dict(
|
||||
user=os.environ["ORACLE_USER"],
|
||||
password=os.environ["ORACLE_PASSWORD"],
|
||||
dsn=os.environ["ORACLE_DSN"],
|
||||
min=1,
|
||||
max=3,
|
||||
increment=1,
|
||||
)
|
||||
wallet = os.environ.get("ORACLE_WALLET")
|
||||
if wallet:
|
||||
kwargs["config_dir"] = wallet
|
||||
_pool = oracledb.create_pool(**kwargs)
|
||||
return _pool
|
||||
|
||||
|
||||
@contextmanager
|
||||
def _conn() -> Generator[oracledb.Connection, None, None]:
|
||||
pool = _get_pool()
|
||||
conn = pool.acquire()
|
||||
try:
|
||||
yield conn
|
||||
conn.commit()
|
||||
except Exception:
|
||||
conn.rollback()
|
||||
raise
|
||||
finally:
|
||||
pool.release(conn)
|
||||
|
||||
|
||||
# ── DDL ────────────────────────────────────────────────────────
|
||||
_DDL_RUNS = """
|
||||
CREATE TABLE backtest_runs (
|
||||
run_id VARCHAR2(36) DEFAULT SYS_GUID() PRIMARY KEY,
|
||||
run_name VARCHAR2(200) NOT NULL,
|
||||
description VARCHAR2(1000),
|
||||
params_json CLOB,
|
||||
created_at TIMESTAMP DEFAULT SYSTIMESTAMP NOT NULL
|
||||
)
|
||||
"""
|
||||
|
||||
_DDL_RESULTS = """
|
||||
CREATE TABLE backtest_results (
|
||||
id NUMBER GENERATED ALWAYS AS IDENTITY PRIMARY KEY,
|
||||
run_id VARCHAR2(36) NOT NULL,
|
||||
label VARCHAR2(100) NOT NULL,
|
||||
n_trades NUMBER,
|
||||
win_rate NUMBER(6,3),
|
||||
avg_pnl NUMBER(10,4),
|
||||
total_pnl NUMBER(12,4),
|
||||
rr NUMBER(8,4),
|
||||
avg_win NUMBER(10,4),
|
||||
avg_loss NUMBER(10,4),
|
||||
max_dd NUMBER(10,4),
|
||||
fng_lo NUMBER,
|
||||
fng_hi NUMBER,
|
||||
created_at TIMESTAMP DEFAULT SYSTIMESTAMP NOT NULL,
|
||||
CONSTRAINT fk_br_run FOREIGN KEY (run_id) REFERENCES backtest_runs(run_id)
|
||||
)
|
||||
"""
|
||||
|
||||
_DDL_TRADES = """
|
||||
CREATE TABLE backtest_trade_log (
|
||||
id NUMBER GENERATED ALWAYS AS IDENTITY PRIMARY KEY,
|
||||
run_id VARCHAR2(36) NOT NULL,
|
||||
label VARCHAR2(100),
|
||||
ticker VARCHAR2(20),
|
||||
pnl NUMBER(10,4),
|
||||
hold_h NUMBER,
|
||||
fng_val NUMBER,
|
||||
exit_type VARCHAR2(10),
|
||||
created_at TIMESTAMP DEFAULT SYSTIMESTAMP NOT NULL,
|
||||
CONSTRAINT fk_bt_run FOREIGN KEY (run_id) REFERENCES backtest_runs(run_id)
|
||||
)
|
||||
"""
|
||||
|
||||
|
||||
def ensure_tables() -> None:
|
||||
"""백테스트 테이블이 없으면 생성."""
|
||||
with _conn() as conn:
|
||||
cur = conn.cursor()
|
||||
for tbl_name, ddl in [
|
||||
("BACKTEST_RUNS", _DDL_RUNS),
|
||||
("BACKTEST_RESULTS", _DDL_RESULTS),
|
||||
("BACKTEST_TRADE_LOG", _DDL_TRADES),
|
||||
]:
|
||||
cur.execute(
|
||||
"SELECT COUNT(*) FROM user_tables WHERE table_name=:1", [tbl_name]
|
||||
)
|
||||
if cur.fetchone()[0] == 0:
|
||||
cur.execute(ddl)
|
||||
print(f" {tbl_name} 테이블 생성 완료")
|
||||
|
||||
|
||||
# ── 삽입 헬퍼 ──────────────────────────────────────────────────
|
||||
|
||||
def insert_run(run_name: str, description: str = "", params: dict | None = None) -> str:
|
||||
"""새 백테스트 실행 레코드 삽입. run_id 반환."""
|
||||
sql = """
|
||||
INSERT INTO backtest_runs (run_name, description, params_json)
|
||||
VALUES (:rname, :rdesc, :rparams)
|
||||
RETURNING run_id INTO :out_id
|
||||
"""
|
||||
with _conn() as conn:
|
||||
cur = conn.cursor()
|
||||
out = cur.var(oracledb.STRING)
|
||||
cur.execute(sql, {
|
||||
"rname": run_name,
|
||||
"rdesc": description,
|
||||
"rparams": json.dumps(params or {}, ensure_ascii=False),
|
||||
"out_id": out,
|
||||
})
|
||||
return out.getvalue()[0]
|
||||
|
||||
|
||||
def insert_result(
|
||||
run_id: str,
|
||||
label: str,
|
||||
stats: dict,
|
||||
fng_lo: int | None = None,
|
||||
fng_hi: int | None = None,
|
||||
) -> None:
|
||||
"""조건별 집계 결과 삽입."""
|
||||
sql = """
|
||||
INSERT INTO backtest_results
|
||||
(run_id, label, n_trades, win_rate, avg_pnl, total_pnl,
|
||||
rr, avg_win, avg_loss, max_dd, fng_lo, fng_hi)
|
||||
VALUES
|
||||
(:run_id, :label, :n, :wr, :avg_pnl, :total_pnl,
|
||||
:rr, :avg_win, :avg_loss, :max_dd, :fng_lo, :fng_hi)
|
||||
"""
|
||||
with _conn() as conn:
|
||||
conn.cursor().execute(sql, {
|
||||
"run_id": run_id,
|
||||
"label": label,
|
||||
"n": stats.get("n", 0),
|
||||
"wr": round(stats.get("wr", 0), 3),
|
||||
"avg_pnl": round(stats.get("avg_pnl", 0), 4),
|
||||
"total_pnl": round(stats.get("total_pnl", 0), 4),
|
||||
"rr": round(stats.get("rr", 0), 4),
|
||||
"avg_win": round(stats.get("avg_win", 0), 4),
|
||||
"avg_loss": round(stats.get("avg_loss", 0), 4),
|
||||
"max_dd": round(stats.get("max_dd", 0), 4),
|
||||
"fng_lo": fng_lo,
|
||||
"fng_hi": fng_hi,
|
||||
})
|
||||
|
||||
|
||||
def insert_trades_bulk(
|
||||
run_id: str,
|
||||
label: str,
|
||||
ticker: str,
|
||||
trades: list,
|
||||
) -> None:
|
||||
"""개별 거래 목록 일괄 삽입."""
|
||||
if not trades:
|
||||
return
|
||||
sql = """
|
||||
INSERT INTO backtest_trade_log
|
||||
(run_id, label, ticker, pnl, hold_h, fng_val, exit_type)
|
||||
VALUES (:run_id, :label, :ticker, :pnl, :hold_h, :fng_val, :exit_type)
|
||||
"""
|
||||
rows = []
|
||||
for t in trades:
|
||||
rows.append({
|
||||
"run_id": run_id,
|
||||
"label": label,
|
||||
"ticker": ticker,
|
||||
"pnl": round(float(getattr(t, "pnl", 0)), 4),
|
||||
"hold_h": int(getattr(t, "h", 0)),
|
||||
"fng_val": int(getattr(t, "fng", 0)),
|
||||
"exit_type": str(getattr(t, "exit", "")),
|
||||
})
|
||||
with _conn() as conn:
|
||||
conn.cursor().executemany(sql, rows)
|
||||
|
||||
|
||||
# ── 조회 ───────────────────────────────────────────────────────
|
||||
|
||||
def list_runs(limit: int = 20) -> list[dict]:
|
||||
"""최근 백테스트 실행 목록 반환."""
|
||||
sql = """
|
||||
SELECT run_id, run_name, description, created_at
|
||||
FROM backtest_runs
|
||||
ORDER BY created_at DESC
|
||||
FETCH FIRST :n ROWS ONLY
|
||||
"""
|
||||
with _conn() as conn:
|
||||
cur = conn.cursor()
|
||||
cur.execute(sql, {"n": limit})
|
||||
rows = cur.fetchall()
|
||||
return [
|
||||
{"run_id": r[0], "run_name": r[1], "description": r[2],
|
||||
"created_at": r[3].strftime("%Y-%m-%d %H:%M")}
|
||||
for r in rows
|
||||
]
|
||||
|
||||
|
||||
def get_results(run_id: str) -> list[dict]:
|
||||
"""특정 run_id의 조건별 결과 반환."""
|
||||
sql = """
|
||||
SELECT label, n_trades, win_rate, avg_pnl, total_pnl,
|
||||
rr, avg_win, avg_loss, max_dd, fng_lo, fng_hi
|
||||
FROM backtest_results
|
||||
WHERE run_id = :run_id
|
||||
ORDER BY avg_pnl DESC
|
||||
"""
|
||||
with _conn() as conn:
|
||||
cur = conn.cursor()
|
||||
cur.execute(sql, {"run_id": run_id})
|
||||
cols = ["label", "n_trades", "win_rate", "avg_pnl", "total_pnl",
|
||||
"rr", "avg_win", "avg_loss", "max_dd", "fng_lo", "fng_hi"]
|
||||
return [dict(zip(cols, r)) for r in cur.fetchall()]
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
print("백테스트 DB 테이블 확인/생성...")
|
||||
ensure_tables()
|
||||
print("완료. 최근 실행 목록:")
|
||||
for r in list_runs(5):
|
||||
print(f" {r['created_at']} {r['run_name']}")
|
||||
Reference in New Issue
Block a user