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>
This commit is contained in:
joungmin
322
archive/tests/sim_regime_sweep.py
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322
archive/tests/sim_regime_sweep.py
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"""레짐 REGIME_N 스윕 — BULL 진입 기준 봉수 최적화.
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REGIME_N (pct_change 봉수) 를 1~8봉(40분~320분) 으로 변화시키며
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BULL 진입만 / BEAR 차단 / 필터없음 비교.
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데이터: data/sim1y_cache.pkl (10분봉 1년치)
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"""
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import os as _os, sys as _sys
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_sys.path.insert(0, _os.path.dirname(_os.path.dirname(_os.path.abspath(__file__))))
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import json
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import pickle
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from pathlib import Path
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import pandas as pd
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from dotenv import load_dotenv
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load_dotenv(dotenv_path=Path(__file__).parent.parent / ".env")
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CACHE_FILE = Path(__file__).parent.parent / "data" / "sim1y_cache.pkl"
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FNG_FILE = Path(__file__).parent.parent / "data" / "fng_1y.json"
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TOP_N = 20
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BUDGET = 15_000_000
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MIN_BUDGET = BUDGET * 3 // 10
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MAX_POS = 3
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FEE = 0.0005
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TIME_STOP_MIN_PCT = 3.0
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ATR_MULT = 1.5
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ATR_MIN = 0.010
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ATR_MAX = 0.020
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VOL_MULT_DEFAULT = 2.0
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VOL_MULT_BULL = 1.5
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QUIET_PCT = 2.0
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THRESH = 4.8
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LOCAL_VOL_N = 7
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QUIET_N = 3
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SIGNAL_TO_N = 12
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ATR_N = 7
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TS_N = 12
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BEAR_THRESHOLD = -0.5
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BULL_THRESHOLD = 1.5
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WF_WINDOW = 4
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WF_MIN_WIN_RATE = 0.01
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WF_SHADOW_WINS = 2
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REGIME_WEIGHTS = {"KRW-BTC": 0.40, "KRW-ETH": 0.30,
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"KRW-SOL": 0.15, "KRW-XRP": 0.15}
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def resample_40m(df):
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return (df.resample("40min")
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.agg({"open":"first","high":"max","low":"min",
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"close":"last","volume":"sum"})
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.dropna(subset=["close"]))
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def build_regime_series(dfs40, regime_n):
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weighted = None
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for ticker, w in REGIME_WEIGHTS.items():
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if ticker not in dfs40:
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continue
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pct = dfs40[ticker]["close"].pct_change(regime_n) * 100
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weighted = pct * w if weighted is None else weighted.add(pct * w, fill_value=0.0)
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return weighted if weighted is not None else pd.Series(dtype=float)
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def calc_atr(df, buy_idx):
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sub = df.iloc[max(0, buy_idx - ATR_N - 1):buy_idx]
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if len(sub) < 3:
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return ATR_MIN
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try:
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avg = ((sub["high"] - sub["low"]) / sub["low"]).iloc[-ATR_N:].mean()
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return float(max(ATR_MIN, min(ATR_MAX, avg * ATR_MULT)))
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except Exception:
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return ATR_MIN
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def simulate_pos(df, buy_idx, buy_price, stop_pct):
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peak = buy_price
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for i in range(buy_idx + 1, len(df)):
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row = df.iloc[i]
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if row["high"] > peak:
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peak = row["high"]
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if row["low"] <= peak * (1 - stop_pct):
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sp = peak * (1 - stop_pct)
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pnl = (sp*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
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return pnl > 0, df.index[i], pnl
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pnl_now = (row["close"] - buy_price) / buy_price * 100
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if (i - buy_idx) >= TS_N and pnl_now < TIME_STOP_MIN_PCT:
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pnl = (row["close"]*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
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return pnl > 0, df.index[i], pnl
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last = df.iloc[-1]["close"]
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pnl = (last*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
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return pnl > 0, df.index[-1], pnl
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def run_strategy(df, ticker, regime_series, mode):
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trades = []
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sig_i = sig_p = None
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in_pos = False
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buy_idx = buy_price = stop_pct = None
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i = max(LOCAL_VOL_N + 2, QUIET_N + 1)
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while i < len(df):
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ts = df.index[i]
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row = df.iloc[i]
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cur = row["close"]
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if in_pos:
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is_win, sdt, pnl = simulate_pos(df, buy_idx, buy_price, stop_pct)
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next_i = next((j for j in range(i, len(df)) if df.index[j] > sdt), len(df))
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trades.append((is_win, pnl, df.index[buy_idx], sdt, ticker))
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in_pos = False; sig_i = sig_p = None; i = next_i
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continue
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score = 0.0
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if not regime_series.empty and ts in regime_series.index:
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v = regime_series.loc[ts]
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score = float(v) if not pd.isna(v) else 0.0
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if mode == "bear_off":
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if score < BEAR_THRESHOLD:
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sig_i = sig_p = None; i += 1; continue
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vol_mult = VOL_MULT_BULL if score >= BULL_THRESHOLD else VOL_MULT_DEFAULT
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elif mode == "bull_only":
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if score < BULL_THRESHOLD:
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sig_i = sig_p = None; i += 1; continue
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vol_mult = VOL_MULT_BULL
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else:
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vol_mult = VOL_MULT_DEFAULT
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if sig_i is not None and (i - sig_i) > SIGNAL_TO_N:
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sig_i = sig_p = None
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if sig_i is not None:
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move_pct = (cur - sig_p) / sig_p * 100
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if cur < sig_p:
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sig_i = sig_p = None
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elif move_pct >= THRESH:
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in_pos = True; buy_idx = i; buy_price = cur
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stop_pct = calc_atr(df, i); sig_i = sig_p = None
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i += 1; continue
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vol_p = df.iloc[i-1]["volume"]
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vol_avg = df.iloc[i-1-LOCAL_VOL_N:i-1]["volume"].mean()
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vol_r = vol_p / vol_avg if vol_avg > 0 else 0
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close_qh = df.iloc[i-QUIET_N]["close"]
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chg_qh = abs(cur - close_qh) / close_qh * 100 if close_qh > 0 else 999
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if chg_qh < QUIET_PCT and vol_r >= vol_mult:
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if sig_i is None:
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sig_i = i; sig_p = cur
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else:
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if sig_i is not None and cur < sig_p:
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sig_i = sig_p = None
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i += 1
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return trades
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def apply_wf(trades):
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history = []; shadow = 0; blocked = False; accepted = []; cnt = 0
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for t in trades:
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is_win = int(t[0])
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if not blocked:
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accepted.append(t); history.append(is_win)
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if len(history) >= WF_WINDOW and sum(history[-WF_WINDOW:]) / WF_WINDOW < WF_MIN_WIN_RATE:
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blocked = True; shadow = 0
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else:
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cnt += 1
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if is_win:
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shadow += 1
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if shadow >= WF_SHADOW_WINS:
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blocked = False; history = []; shadow = 0
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else:
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shadow = 0
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return accepted, cnt
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def apply_max_pos(trades):
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open_exits = []; accepted = []; skipped = []
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for t in trades:
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buy_dt, sell_dt = t[2], t[3]
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open_exits = [s for s in open_exits if s > buy_dt]
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if len(open_exits) < MAX_POS:
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open_exits.append(sell_dt); accepted.append(t)
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else:
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skipped.append(t)
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return accepted, skipped
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def run_compound(accepted):
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portfolio = float(BUDGET); total_krw = 0.0; monthly = {}
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for is_win, pnl, buy_dt, sell_dt, ticker in accepted:
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pos_size = max(portfolio, MIN_BUDGET) / MAX_POS
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krw_profit = pos_size * pnl / 100
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portfolio = max(portfolio + krw_profit, MIN_BUDGET)
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total_krw += krw_profit
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ym = buy_dt.strftime("%Y-%m")
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if ym not in monthly:
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monthly[ym] = {"trades": 0, "wins": 0, "pnl_krw": 0.0}
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monthly[ym]["trades"] += 1
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monthly[ym]["wins"] += int(is_win)
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monthly[ym]["pnl_krw"] += krw_profit
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wins = sum(1 for t in accepted if t[0])
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peak = BUDGET; max_dd = 0.0
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pf = float(BUDGET)
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for is_win, pnl, buy_dt, sell_dt, ticker in accepted:
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pf = max(pf + max(pf, MIN_BUDGET) / MAX_POS * pnl / 100, MIN_BUDGET)
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peak = max(peak, pf); max_dd = max(max_dd, (peak-pf)/peak*100)
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return {
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"portfolio": portfolio, "total_krw": total_krw,
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"roi_pct": (portfolio-BUDGET)/BUDGET*100,
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"total": len(accepted), "wins": wins,
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"wr": wins/len(accepted)*100 if accepted else 0,
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"monthly": monthly, "max_dd": max_dd,
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}
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def sim_one(dfs40, regime_n, mode):
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rs = build_regime_series(dfs40, regime_n)
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all_trades = []; wf_total = 0
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for ticker, df40 in dfs40.items():
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raw = run_strategy(df40, ticker, rs, mode)
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filtered, blocked = apply_wf(raw)
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wf_total += blocked
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all_trades.extend(filtered)
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all_trades.sort(key=lambda x: x[2])
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accepted, skipped = apply_max_pos(all_trades)
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result = run_compound(accepted)
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# BULL 비율
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if not rs.empty:
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valid = rs.dropna()
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bull_pct = (valid >= BULL_THRESHOLD).sum() / len(valid) * 100 if len(valid) else 0
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bear_pct = (valid < BEAR_THRESHOLD).sum() / len(valid) * 100 if len(valid) else 0
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else:
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bull_pct = bear_pct = 0
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return result, bull_pct, bear_pct, wf_total, len(skipped)
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def main():
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print("캐시 로드 중...")
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cache = pickle.load(open(CACHE_FILE, "rb"))
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tickers = [t for t in list(cache["10m"].keys())[:TOP_N]
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if len(cache["10m"][t]) > 500]
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print(f" 종목: {len(tickers)}개\n")
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dfs40 = {t: resample_40m(cache["10m"][t]) for t in tickers}
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sample = next(iter(dfs40.values()))
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start_dt = sample.index[0].strftime("%Y-%m-%d")
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end_dt = sample.index[-1].strftime("%Y-%m-%d")
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SWEEP_N = [1, 2, 3, 4, 5, 6, 8, 10] # 40분 ~ 400분 (6.7h)
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# ── BULL 진입만 스윕 ──────────────────────────────────
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print(f"{'='*72}")
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print(f" REGIME_N 스윕 (40분봉 × N봉 변화율 기준 | BULL≥{BULL_THRESHOLD}%)")
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print(f" 기간: {start_dt} ~ {end_dt} / {len(tickers)}종목")
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print(f"{'='*72}")
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print(f" {'N봉':>4} {'시간':>5} │ {'BULL%':>6} {'BEAR%':>6} │ "
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f"{'진입':>5} {'승률':>5} │ {'수익률':>8} {'순수익(KRW)':>14} {'낙폭':>7}")
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print(f" {'─'*68}")
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bull_results = {}
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for n in SWEEP_N:
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r, bull_pct, bear_pct, wf_b, skip = sim_one(dfs40, n, "bull_only")
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bull_results[n] = r
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mins = n * 40
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h = mins // 60
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m = mins % 60
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time_label = f"{h}h{m:02d}m" if m else f"{h}h"
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if r["total"] == 0:
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print(f" {n:>4}봉 {time_label:>5} │ {bull_pct:>5.1f}% {bear_pct:>5.1f}% │ "
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f"{'진입없음':>34}")
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else:
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print(f" {n:>4}봉 {time_label:>5} │ {bull_pct:>5.1f}% {bear_pct:>5.1f}% │ "
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f"{r['total']:>5}건 {r['wr']:>4.1f}% │ "
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f"{r['roi_pct']:>+7.2f}% {r['total_krw']:>+13,.0f}원 -{r['max_dd']:>4.1f}%")
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# ── BEAR 차단 스윕 ────────────────────────────────────
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print(f"\n{'='*72}")
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print(f" REGIME_N 스윕 (BEAR 차단 모드 | BEAR<{BEAR_THRESHOLD}%)")
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print(f"{'='*72}")
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print(f" {'N봉':>4} {'시간':>5} │ {'BULL%':>6} {'BEAR%':>6} │ "
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f"{'진입':>5} {'승률':>5} │ {'수익률':>8} {'순수익(KRW)':>14} {'낙폭':>7}")
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print(f" {'─'*68}")
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bear_results = {}
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for n in SWEEP_N:
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r, bull_pct, bear_pct, wf_b, skip = sim_one(dfs40, n, "bear_off")
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bear_results[n] = r
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mins = n * 40
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h = mins // 60; m = mins % 60
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time_label = f"{h}h{m:02d}m" if m else f"{h}h"
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print(f" {n:>4}봉 {time_label:>5} │ {bull_pct:>5.1f}% {bear_pct:>5.1f}% │ "
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f"{r['total']:>5}건 {r['wr']:>4.1f}% │ "
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f"{r['roi_pct']:>+7.2f}% {r['total_krw']:>+13,.0f}원 -{r['max_dd']:>4.1f}%")
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# ── 베이스라인 (필터없음) ─────────────────────────────
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r_none, _, _, _, _ = sim_one(dfs40, 1, "none")
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print(f"\n 베이스라인 (필터없음): {r_none['total']}건 {r_none['wr']:.1f}% "
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f"{r_none['roi_pct']:+.2f}% {r_none['total_krw']:+,.0f}원 -{r_none['max_dd']:.1f}%")
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# ── 최적 BULL 구간 ────────────────────────────────────
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valid_bull = {n: r for n, r in bull_results.items() if r["total"] >= 5}
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if valid_bull:
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best_n = max(valid_bull, key=lambda n: valid_bull[n]["roi_pct"])
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best_r = valid_bull[best_n]
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print(f"\n ★ BULL 진입 최적 N: {best_n}봉({best_n*40}분) "
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f"수익률 {best_r['roi_pct']:+.2f}% 진입 {best_r['total']}건 "
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f"승률 {best_r['wr']:.1f}%")
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valid_bear = {n: r for n, r in bear_results.items() if r["total"] >= 5}
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if valid_bear:
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best_n = max(valid_bear, key=lambda n: valid_bear[n]["roi_pct"])
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best_r = valid_bear[best_n]
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print(f" ★ BEAR 차단 최적 N: {best_n}봉({best_n*40}분) "
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f"수익률 {best_r['roi_pct']:+.2f}% 진입 {best_r['total']}건 "
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f"승률 {best_r['wr']:.1f}%")
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print(f"{'='*72}")
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if __name__ == "__main__":
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main()
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