chore: add WF/shadow/momentum analysis simulation scripts
Scripts used to analyze and validate strategy changes: - wf_cmp.py: WF window size comparison on 42 real trades - wf_cmp2.py: WF comparison extended with price_history simulation - shadow_sim.py: shadow rehabilitation sim without strategy filters - shadow_sim2.py: post-rehabilitation performance simulation - shadow_sim3.py: shadow rehabilitation sim with full strategy filters - momentum_cmp.py: momentum filter A/B comparison - trend_check.py: 2h price gain distribution analysis per ticker Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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joungmin
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wf_cmp2.py
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wf_cmp2.py
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"""WF 윈도우 비교 시뮬레이션 v2 - 실거래 + 이후 시뮬 거래 통합.
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Phase 1: 실제 42건 거래를 WF 설정별로 허용/차단 재생
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Phase 2: 마지막 실거래 이후 price_history 기반 신호로 추가 거래 시뮬
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(추세 2h+5% + 15분 워치리스트, 모멘텀은 API 한계로 생략)
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→ WF 상태는 Phase1에서 이어짐
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비교 설정:
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A: WF=2 (min_wr=0.0, 즉 2연패시만 차단 — last2=[L,L]이면 차단)
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B: WF=3 (min_wr=0.34)
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C: WF=5 현행 (min_wr=0.40)
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D: WF 없음
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"""
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import os, time
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from datetime import datetime
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from dotenv import load_dotenv
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load_dotenv()
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import oracledb
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STOP_LOSS_PCT = float(os.getenv("STOP_LOSS_PCT", "1.5")) / 100
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TIME_STOP_HOURS = int(os.getenv("TIME_STOP_HOURS", "8"))
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TIME_STOP_MIN_PCT = float(os.getenv("TIME_STOP_MIN_GAIN_PCT", "3")) / 100
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TREND_MIN_PCT = 5.0
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CONFIRM_MINUTES = 15
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FEE = 0.0005
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def get_conn():
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return oracledb.connect(
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user=os.getenv('ORACLE_USER'), password=os.getenv('ORACLE_PASSWORD'),
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dsn=os.getenv('ORACLE_DSN'), config_dir=os.getenv('ORACLE_WALLET'))
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# ── WF 판단 ───────────────────────────────────────────
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def is_wf_blocked(hist, window, min_wr):
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if window == 0: return False
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if len(hist) < window: return False
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wr = sum(hist[-window:]) / window
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return wr < min_wr
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# ── 추세 체크 (price_history 기반) ────────────────────
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def check_trend(prices, idx):
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lb = 12 # 2h = 12 * 10분봉
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if idx < lb: return False
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curr, past = prices[idx][0], prices[idx-lb][0]
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return past > 0 and (curr-past)/past*100 >= TREND_MIN_PCT
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# ── 포지션 시뮬 ───────────────────────────────────────
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def simulate_pos(prices, buy_idx, buy_price):
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buy_dt = prices[buy_idx][1]
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peak = buy_price
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for price, ts in prices[buy_idx+1:]:
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if price > peak: peak = price
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elapsed_h = (ts - buy_dt).total_seconds() / 3600
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pnl = (price - buy_price) / buy_price
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if (peak - price) / peak >= STOP_LOSS_PCT:
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net = (price*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
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return net>0, price, ts, f"트레일링({pnl*100:+.1f}%)", net
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if elapsed_h >= TIME_STOP_HOURS and pnl < TIME_STOP_MIN_PCT:
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net = (price*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
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return net>0, price, ts, "타임스탑", net
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lp, lt = prices[-1]
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net = (lp*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
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return net>0, lp, lt, "데이터종료", net
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# ── Phase1: 실거래 재생 ───────────────────────────────
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def phase1(real_trades, window, min_wr):
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"""42건 실거래 재생. Returns (허용목록, 차단목록, history_per_ticker)"""
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history = {}
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allowed = []
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blocked = []
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for t in real_trades:
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ticker, is_win, pnl, profit, dt = t
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hist = history.get(ticker, [])
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if is_wf_blocked(hist, window, min_wr):
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blocked.append(('block', ticker, is_win, pnl, profit, dt))
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else:
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allowed.append(('real', ticker, is_win, pnl, profit, dt))
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hist = hist + [bool(is_win)]
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if window > 0 and len(hist) > window * 2:
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hist = hist[-window:]
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history[ticker] = hist
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return allowed, blocked, history
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# ── Phase2: price_history 신호 시뮬 ──────────────────
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def phase2(cur, history, real_last_dt, window, min_wr):
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"""실거래 종료 이후 price_history 기반 신호 시뮬레이션."""
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# 스캔 대상: 실거래에 등장한 종목 전체
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tickers = list(history.keys()) if history else []
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# 실거래 후 WF 해제 가능한 종목만
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# (차단됐어도 shadow 없이는 해제 불가 → 차단 상태 종목 제외)
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active_tickers = []
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for ticker in tickers:
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hist = history.get(ticker, [])
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if not is_wf_blocked(hist, window, min_wr):
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active_tickers.append(ticker)
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if not active_tickers:
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return [], history
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sim_trades = []
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for ticker in active_tickers:
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cur.execute("""
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SELECT price, recorded_at FROM price_history
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WHERE ticker=:t AND recorded_at > :dt
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ORDER BY recorded_at
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""", t=ticker, dt=real_last_dt)
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prices = cur.fetchall()
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if len(prices) < 13: continue
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hist = list(history.get(ticker, []))
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watchlist_dt = None
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in_pos = False
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buy_idx = buy_price = None
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idx = 0
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while idx < len(prices):
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price, dt = prices[idx]
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if in_pos:
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is_win, sp, sdt, reason, pnl = simulate_pos(prices, buy_idx, buy_price)
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next_idx = next((i for i,(_, ts) in enumerate(prices) if ts > sdt), len(prices))
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profit = pnl * 3333333 / 100 # 포지션당 예산 기준 근사
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sim_trades.append(('sim', ticker, is_win, pnl, profit, dt))
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hist = hist + [bool(is_win)]
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if window > 0 and len(hist) > window * 2:
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hist = hist[-window:]
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history[ticker] = hist
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in_pos = False
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watchlist_dt = None
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idx = next_idx
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continue
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if is_wf_blocked(hist, window, min_wr):
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idx += 1
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continue
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trend_ok = check_trend(prices, idx)
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if trend_ok:
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if watchlist_dt is None:
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watchlist_dt = dt
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elif (dt - watchlist_dt).total_seconds() >= CONFIRM_MINUTES * 60:
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in_pos = True
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buy_idx = idx
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buy_price = price
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watchlist_dt = None
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else:
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watchlist_dt = None
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idx += 1
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return sim_trades, history
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# ── 요약 출력 ─────────────────────────────────────────
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def print_summary(label, p1_allowed, p1_blocked, p2_trades):
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all_trades = p1_allowed + p2_trades
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total = len(all_trades)
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wins = sum(1 for t in all_trades if t[2])
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pnl = sum(t[4] for t in all_trades)
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wr = wins/total*100 if total else 0
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blk = len(p1_blocked)
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p2_cnt = len(p2_trades)
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p2_win = sum(1 for t in p2_trades if t[2])
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print(f"\n[{label}]")
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print(f" 실거래 허용: {len(p1_allowed)}건 | 차단: {blk}건")
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print(f" 추가 시뮬: {p2_cnt}건 ({p2_win}승)")
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print(f" ─────────────────────────────────────")
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print(f" 합계: {total}건 | 승률={wr:.1f}% | KRW={pnl:+,.0f}원")
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return {'label': label, 'total': total, 'wins': wins, 'wr': wr, 'pnl': pnl,
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'blk': blk, 'p2': p2_cnt}
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def main():
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conn = get_conn()
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cur = conn.cursor()
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cur.execute("""
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SELECT ticker, is_win, pnl_pct, NVL(krw_profit,0), traded_at
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FROM trade_results ORDER BY traded_at
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""")
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real_trades = cur.fetchall()
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real_last_dt = real_trades[-1][4]
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print(f"실거래: {len(real_trades)}건 (마지막: {real_last_dt.strftime('%m-%d %H:%M')})")
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cur.execute("SELECT MAX(recorded_at) FROM price_history")
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ph_last = cur.fetchone()[0]
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print(f"price_history 끝: {ph_last.strftime('%m-%d %H:%M')}\n")
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configs = [
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(2, 0.01, "WF=2 (2연패→차단)"),
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(3, 0.34, "WF=3"),
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(5, 0.40, "WF=5 현행"),
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(0, 0.00, "WF없음"),
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]
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summary = []
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for window, min_wr, label in configs:
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p1_allowed, p1_blocked, history = phase1(real_trades, window, min_wr)
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p2_trades, _ = phase2(cur, history, real_last_dt, window, min_wr)
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s = print_summary(label, p1_allowed, p1_blocked, p2_trades)
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summary.append(s)
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print(f"\n{'='*62}")
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print(f"{'설정':<22} {'허용':>5} {'차단':>5} {'추가시뮬':>8} {'승률':>7} {'KRW수익':>13}")
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print(f"{'─'*62}")
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for s in summary:
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print(f"{s['label']:<22} {s['total']-s['p2']:>5}건 {s['blk']:>5}건 "
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f"{s['p2']:>6}건 {s['wr']:>6.1f}% {s['pnl']:>+12,.0f}원")
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conn.close()
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if __name__ == "__main__":
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main()
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