refactor: MVC 구조 분리 + 미사용 파일 archive 정리
- tick_trader.py를 Controller로 축소, 로직을 3개 모듈로 분리: - core/signal.py: 시그널 감지, 지표 계산 (calc_vr, calc_atr, detect_signal) - core/order.py: Upbit 주문 실행 (매수/매도/취소/조회) - core/position_manager.py: 포지션 관리, DB sync, 복구, 청산 조건 - type hints, Google docstring, 구체적 예외 타입 적용 - 50줄 초과 함수 분리 (process_signal, restore_positions) - 미사용 파일 58개 archive/ 폴더로 이동 - README.md 추가 Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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joungmin
281
archive/tests/sim_cascade.py
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281
archive/tests/sim_cascade.py
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"""캐스케이드 limit 주문 전략 시뮬 (30일).
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전략:
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① bars[0:2] → 2봉, +2% limit (trail 없음)
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② bars[2:5] → 3봉, +1% limit (trail 없음)
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③ bars[5:5+last_n] → last_n봉, +0.5% limit (trail 없음)
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④ bars[5+last_n:] → 기존전략 (TP2% + ATR Trail Stop)
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"""
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import sys, os
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from datetime import datetime, timedelta
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sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from dotenv import load_dotenv
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load_dotenv(os.path.join(os.path.dirname(os.path.dirname(os.path.abspath(__file__))), '.env'))
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import oracledb
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LOOKBACK_DAYS = 30
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VOL_LOOKBACK = 61
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ATR_LOOKBACK = 28
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VOL_MIN = 8.0
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ATR_MULT = 1.0
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ATR_MIN_R = 0.030
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ATR_MAX_R = 0.050
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MAX_TRAIL_BARS = 240
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BUDGET = 15_000_000
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MAX_POS = 3
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PER_POS = BUDGET // MAX_POS
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FEE = 0.0005
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TICKERS = [
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'KRW-XRP','KRW-BTC','KRW-ETH','KRW-SOL','KRW-DOGE',
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'KRW-ADA','KRW-SUI','KRW-NEAR','KRW-KAVA','KRW-SXP',
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'KRW-AKT','KRW-SONIC','KRW-IP','KRW-ORBS','KRW-VIRTUAL',
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'KRW-BARD','KRW-XPL','KRW-KITE','KRW-ENSO','KRW-0G',
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]
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_TK = ",".join(f"'{t}'" for t in TICKERS)
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def get_conn():
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kwargs = dict(user=os.environ["ORACLE_USER"], password=os.environ["ORACLE_PASSWORD"],
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dsn=os.environ["ORACLE_DSN"])
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if w := os.environ.get("ORACLE_WALLET"):
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kwargs["config_dir"] = w
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return oracledb.connect(**kwargs)
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SIGNAL_SQL = f"""
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WITH base AS (
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SELECT ticker, ts, open_p, close_p, high_p, low_p, volume_p,
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LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts) pc1,
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LAG(open_p,1) OVER (PARTITION BY ticker ORDER BY ts) po1,
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LAG(close_p,2) OVER (PARTITION BY ticker ORDER BY ts) pc2,
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LAG(open_p,2) OVER (PARTITION BY ticker ORDER BY ts) po2,
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GREATEST(high_p-low_p,
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ABS(high_p-LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts)),
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ABS(low_p -LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts))) tr
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FROM backtest_ohlcv
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WHERE interval_cd='minute1'
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AND ts >= TO_TIMESTAMP(:ws,'YYYY-MM-DD HH24:MI:SS')
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AND ticker IN ({_TK})
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),
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ind AS (
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SELECT ticker, ts, open_p, close_p, high_p, low_p,
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volume_p / NULLIF(AVG(volume_p) OVER (
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PARTITION BY ticker ORDER BY ts ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING),0) vr0,
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LAG(volume_p,1) OVER (PARTITION BY ticker ORDER BY ts) / NULLIF(AVG(volume_p) OVER (
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PARTITION BY ticker ORDER BY ts ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING),0) vr1,
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LAG(volume_p,2) OVER (PARTITION BY ticker ORDER BY ts) / NULLIF(AVG(volume_p) OVER (
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PARTITION BY ticker ORDER BY ts ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING),0) vr2,
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pc1,po1,pc2,po2,
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AVG(tr) OVER (PARTITION BY ticker ORDER BY ts
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ROWS BETWEEN {ATR_LOOKBACK} PRECEDING AND 1 PRECEDING) / NULLIF(pc1,0) atr_raw
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FROM base
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)
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SELECT ticker, ts, vr0, vr1, vr2, atr_raw
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FROM ind
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WHERE ts >= TO_TIMESTAMP(:cs,'YYYY-MM-DD HH24:MI:SS')
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AND vr0 >= {VOL_MIN}
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AND close_p>open_p AND pc1>po1 AND pc2>po2
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AND close_p>pc1 AND pc1>pc2
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AND vr0>vr1 AND vr1>vr2
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ORDER BY ticker, ts
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"""
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def fetch_signals(cur, warmup_since, check_since):
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cur.execute(SIGNAL_SQL, {'ws': warmup_since, 'cs': check_since})
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rows = cur.fetchall()
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signals = []
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for row in rows:
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ticker, sig_ts, vr0, vr1, vr2, atr_raw = row
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cur.execute(
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"""SELECT close_p, ts FROM backtest_ohlcv
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WHERE ticker=:t AND interval_cd='minute1'
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AND ts > :sig AND ts <= :sig + INTERVAL '3' MINUTE
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ORDER BY ts FETCH FIRST 1 ROWS ONLY""",
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{'t': ticker, 'sig': sig_ts}
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)
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er = cur.fetchone()
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if not er:
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continue
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ep, ets = float(er[0]), er[1]
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cur.execute(
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"""SELECT ts, close_p, high_p, low_p FROM backtest_ohlcv
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WHERE ticker=:t AND interval_cd='minute1'
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AND ts >= :entry ORDER BY ts FETCH FIRST :n ROWS ONLY""",
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{'t': ticker, 'entry': ets, 'n': MAX_TRAIL_BARS + 1}
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)
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bars = [(r[0], float(r[1]), float(r[2]), float(r[3])) for r in cur.fetchall()]
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if not bars:
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continue
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signals.append({
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'ticker': ticker, 'entry_ts': ets, 'entry_price': ep,
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'atr_raw': float(atr_raw) if atr_raw else 0.0,
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'bars': bars,
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})
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signals.sort(key=lambda x: x['entry_ts'])
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return signals
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def sim_tp_trail(bars, ep, ar, tp_r=0.02):
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"""기본 전략: TP + Trail Stop."""
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stop = max(ATR_MIN_R, min(ATR_MAX_R, ar * ATR_MULT)) if ar > 0 else ATR_MAX_R
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tp = ep * (1 + tp_r)
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peak = ep
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for i, (ts, cp, hp, lp) in enumerate(bars):
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if hp >= tp:
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return dict(status='TP2%', exit_ts=ts, exit_price=tp,
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pnl=tp_r * 100, held=i + 1)
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peak = max(peak, cp)
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if (peak - cp) / peak >= stop:
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return dict(status='트레일손절', exit_ts=ts, exit_price=cp,
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pnl=(cp - ep) / ep * 100, held=i + 1)
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lts, lcp = bars[-1][0], bars[-1][1]
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return dict(status='타임아웃' if len(bars) >= MAX_TRAIL_BARS else '진행중',
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exit_ts=lts, exit_price=lcp, pnl=(lcp - ep) / ep * 100, held=len(bars))
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def sim_cascade(bars, ep, ar, last_n):
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"""
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① bars[0:2] → 2봉, +2% limit
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② bars[2:5] → 3봉, +1% limit
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③ bars[5:5+last_n] → last_n봉, +0.5% limit
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④ bars[5+last_n:] → 기존전략 (TP2% + Trail Stop)
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"""
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stages = [
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(0, 2, 0.020, f'①2봉2%'),
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(2, 5, 0.010, f'②3봉1%'),
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(5, 5 + last_n, 0.005, f'③{last_n}봉0.5%'),
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]
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for start, end, lr, tag in stages:
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lp = ep * (1 + lr)
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for i, (ts, cp, hp, _) in enumerate(bars[start:end]):
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if hp >= lp:
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return dict(status=tag, exit_ts=ts, exit_price=lp,
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pnl=lr * 100, held=start + i + 1)
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offset = 5 + last_n
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fb = sim_tp_trail(bars[offset:] or bars[-1:], ep, ar)
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fb['held'] += offset
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fb['status'] = '④기존→' + fb['status']
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return fb
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def sim_limit_then_trail(bars, ep, ar, n_bars=2, limit_r=0.005, tp_r=0.02):
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"""단순 limit: N봉 내 체결 안되면 TP/Trail."""
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lp = ep * (1 + limit_r)
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for i, (ts, cp, hp, _) in enumerate(bars[:n_bars]):
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if hp >= lp:
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return dict(status=f'limit{limit_r*100:.1f}%', exit_ts=ts,
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exit_price=lp, pnl=limit_r * 100, held=i + 1)
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fb = sim_tp_trail(bars[n_bars:] or bars[-1:], ep, ar, tp_r)
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fb['held'] += n_bars
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fb['status'] = '미체결→' + fb['status']
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return fb
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def pos_limit(sim):
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opens, taken, skipped = [], [], []
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for r in sim:
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opens = [ex for ex in opens if ex > r['entry_ts']]
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if len(opens) < MAX_POS:
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opens.append(r['exit_ts'])
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taken.append(r)
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else:
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skipped.append(r)
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return taken, skipped
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def krw(r):
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return PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2
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def print_cascade_detail(taken, last_n, label):
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stage_tags = ['①2봉2%', '②3봉1%', f'③{last_n}봉0.5%']
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stage_lr = [0.020, 0.010, 0.005]
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print(f"\n{'━'*70}")
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print(f" {label}")
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print(f" 총 {len(taken)}건 승률 {sum(1 for r in taken if r['pnl']>0)/len(taken)*100:.0f}% "
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f"합산 {sum(krw(r) for r in taken):+,.0f}원")
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print(f"{'━'*70}")
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for tag, lr in zip(stage_tags, stage_lr):
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grp = [r for r in taken if r['status'] == tag]
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if not grp:
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continue
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total = sum(krw(r) for r in grp)
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avg = total / len(grp)
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print(f" ┌─ {tag}: {len(grp):3d}건 avg {avg:+,.0f}원/건 소계 {total:+,.0f}원")
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# ④ 기존전략 하위 분류
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fb_grp = [r for r in taken if r['status'].startswith('④기존→')]
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if fb_grp:
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print(f" └─ ④기존전략 (미체결 후): {len(fb_grp)}건")
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for sub in ['TP2%', '트레일손절', '타임아웃', '진행중']:
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sub_grp = [r for r in fb_grp if r['status'].endswith(sub)]
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if not sub_grp:
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continue
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total = sum(krw(r) for r in sub_grp)
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avg = total / len(sub_grp)
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print(f" {'▲' if total>0 else '▼'} {sub:8s}: {len(sub_grp):3d}건 "
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f"avg {avg:+,.0f}원/건 소계 {total:+,.0f}원")
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print()
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def main():
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now = datetime.now()
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check_since = (now - timedelta(days=LOOKBACK_DAYS)).strftime('%Y-%m-%d 00:00:00')
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warmup_since = (now - timedelta(days=LOOKBACK_DAYS + 1)).strftime('%Y-%m-%d 00:00:00')
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conn = get_conn()
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cur = conn.cursor()
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cur.arraysize = 10000
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print(f"=== 캐스케이드 limit 전략 시뮬 ===")
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print(f"기간: {check_since[:10]} ~ {now.strftime('%Y-%m-%d')} (30일)\n")
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signals = fetch_signals(cur, warmup_since, check_since)
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print(f"시그널 {len(signals)}건\n")
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# ── 기준선: 현재전략 ─────────────────────────────────────────────────────
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base_sim = []
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for s in signals:
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r = sim_tp_trail(s['bars'], s['entry_price'], s['atr_raw'])
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base_sim.append({**s, **r})
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base_taken, _ = pos_limit(base_sim)
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base_total = sum(krw(r) for r in base_taken)
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base_wr = sum(1 for r in base_taken if r['pnl'] > 0) / len(base_taken) * 100
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print(f"{'━'*70}")
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print(f" [기준] 현재전략 TP2%+Trail: {len(base_taken)}건 "
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f"승률 {base_wr:.0f}% 합산 {base_total:+,.0f}원")
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# ── 비교: limit 0.5%/2봉 → TP/Trail ─────────────────────────────────────
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lim_sim = []
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for s in signals:
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r = sim_limit_then_trail(s['bars'], s['entry_price'], s['atr_raw'])
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lim_sim.append({**s, **r})
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lim_taken, _ = pos_limit(lim_sim)
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lim_total = sum(krw(r) for r in lim_taken)
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lim_wr = sum(1 for r in lim_taken if r['pnl'] > 0) / len(lim_taken) * 100
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print(f" [비교] limit 0.5%/2봉→TP/Trail: {len(lim_taken)}건 "
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f"승률 {lim_wr:.0f}% 합산 {lim_total:+,.0f}원")
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print(f"{'━'*70}\n")
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# ── 캐스케이드 (15봉 / 30봉) ─────────────────────────────────────────────
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for last_n in [15, 30]:
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label = f"cascade ①2봉+2% → ②3봉+1% → ③{last_n}봉+0.5% → ④기존전략"
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csim = []
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for s in signals:
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r = sim_cascade(s['bars'], s['entry_price'], s['atr_raw'], last_n)
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csim.append({**s, **r})
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taken, _ = pos_limit(csim)
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print_cascade_detail(taken, last_n, label)
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conn.close()
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if __name__ == '__main__':
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main()
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Reference in New Issue
Block a user