From 60e739d18baf2d9a8c14c0cb04f6d46ca69d335a Mon Sep 17 00:00:00 2001
From: joungmin <joungmin@joungmins-Mac-mini.local>
Date: Sun, 1 Mar 2026 05:46:25 +0900
Subject: [PATCH] fix: use local 5h volume baseline instead of 23h global
 average

23h average includes high-volume daytime periods, causing false negatives
at early morning hours. Now compare last 1h candle against the previous
5h local average (same time-of-day context) with 1.2x multiplier.

Also add momentum failure debug logs to show exact reason for rejection.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
---
 core/strategy.py | 39 ++++++++++++++++++++++++---------------
 1 file changed, 24 insertions(+), 15 deletions(-)

diff --git a/core/strategy.py b/core/strategy.py
index a1d0ff4..782c1b7 100644
--- a/core/strategy.py
+++ b/core/strategy.py
@@ -17,7 +17,8 @@ TREND_MIN_GAIN_PCT = float(os.getenv("TREND_MIN_GAIN_PCT", "3"))
 
 # 모멘텀: MA 기간, 거래량 급증 배수
 MA_PERIOD = 20
-VOLUME_MULTIPLIER = 2.0
+VOLUME_MULTIPLIER = float(os.getenv("VOLUME_MULTIPLIER", "1.2"))  # 로컬 5h 평균 대비
+LOCAL_VOL_HOURS = 5  # 로컬 기준 시간 (h)
 
 
 def check_trend(ticker: str) -> bool:
@@ -47,9 +48,10 @@ def check_trend(ticker: str) -> bool:
 
 
 def check_momentum(ticker: str) -> bool:
-    """모멘텀 조건: 현재가 > MA20(일봉) AND 최근 1h 거래량 > 24h 평균 × 2 (60분봉 기준).
+    """모멘텀 조건: 현재가 > MA20(일봉) AND 최근 1h 거래량 > 로컬 5h 평균 × 1.2.
 
-    일봉 거래량은 오전에 항상 미달하므로 60분봉으로 교체.
+    23h 평균은 낮 시간대 고거래량이 포함돼 새벽에 항상 미달하므로,
+    로컬 5h 평균(같은 시간대 컨텍스트)과 비교한다.
     """
     # MA20: 일봉 기준
     df_daily = get_ohlcv(ticker, count=MA_PERIOD + 1)
@@ -63,27 +65,34 @@ def check_momentum(ticker: str) -> bool:
 
     price_ok = current > ma
     if not price_ok:
+        logger.debug(f"[모멘텀✗] {ticker} 현재={current:,.0f} < MA20={ma:,.0f} (가격 기준 미달)")
         return False
 
-    # 거래량: 60분봉 기준 (최근 1h vs 이전 24h 평균)
+    # 거래량: 60분봉 기준 (최근 1h vs 이전 LOCAL_VOL_HOURS h 로컬 평균)
+    fetch_count = LOCAL_VOL_HOURS + 3  # 여유 있게 fetch
     try:
-        df_hour = pyupbit.get_ohlcv(ticker, interval="minute60", count=26)
+        df_hour = pyupbit.get_ohlcv(ticker, interval="minute60", count=fetch_count)
     except Exception:
         return False
-    if df_hour is None or len(df_hour) < 5:
+    if df_hour is None or len(df_hour) < LOCAL_VOL_HOURS + 1:
         return False
 
-    recent_vol = df_hour["volume"].iloc[-2]          # 직전 완성된 1h 봉
-    avg_vol_1h = df_hour["volume"].iloc[-25:-2].mean()  # 이전 23h 평균
-    vol_ok = avg_vol_1h > 0 and recent_vol > avg_vol_1h * VOLUME_MULTIPLIER
+    recent_vol = df_hour["volume"].iloc[-2]                          # 직전 완성된 1h 봉
+    local_avg  = df_hour["volume"].iloc[-(LOCAL_VOL_HOURS + 1):-2].mean()  # 이전 LOCAL_VOL_HOURS h 평균
+    vol_ok = local_avg > 0 and recent_vol >= local_avg * VOLUME_MULTIPLIER
 
-    result = price_ok and vol_ok
-    if result:
-        logger.debug(
-            f"[모멘텀] {ticker} 현재={current:,.0f} MA20={ma:,.0f} "
-            f"1h거래량={recent_vol:.0f} 평균={avg_vol_1h:.0f}"
+    ratio = recent_vol / local_avg if local_avg > 0 else 0
+    if vol_ok:
+        logger.info(
+            f"[모멘텀↑] {ticker} 현재={current:,.0f} MA20={ma:,.0f} "
+            f"1h거래량={recent_vol:.0f} 로컬{LOCAL_VOL_HOURS}h평균={local_avg:.0f} ({ratio:.2f}x)"
         )
-    return result
+    else:
+        logger.debug(
+            f"[모멘텀✗] {ticker} 1h거래량={recent_vol:.0f} 로컬{LOCAL_VOL_HOURS}h평균={local_avg:.0f} "
+            f"({ratio:.2f}x < {VOLUME_MULTIPLIER}x)"
+        )
+    return vol_ok
 
 
 def should_buy(ticker: str) -> bool: