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
244
archive/tests/sim_tp_sl.py
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244
archive/tests/sim_tp_sl.py
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"""TP + 고정 손절 비율 비교 시뮬 (30일)."""
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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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LAG(close_p,3) OVER (PARTITION BY ticker ORDER BY ts) pc3,
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LAG(open_p,3) OVER (PARTITION BY ticker ORDER BY ts) po3,
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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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LAG(volume_p,3) 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) vr3,
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pc1,po1,pc2,po2,pc3,po3,
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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,vr3, 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 AND pc3>po3
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AND close_p>pc1 AND pc1>pc2 AND pc2>pc3
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AND vr0>vr1 AND vr1>vr2 AND vr2>vr3
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ORDER BY ticker, ts
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"""
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def sim_trail(bars, ep, ar):
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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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peak = ep
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for i, (ts, cp, hp, lp) in enumerate(bars):
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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_tp_trail(bars, ep, ar, tp_r):
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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=f'익절+{tp_r*100:.0f}%', 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_tp_sl(bars, ep, tp_r, sl_r):
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"""고정 익절 + 고정 손절. 같은 봉에서 둘 다 터치하면 손절 우선."""
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tp = ep * (1 + tp_r)
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sl = ep * (1 - sl_r)
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for i, (ts, cp, hp, lp) in enumerate(bars):
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hit_sl = lp <= sl
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hit_tp = hp >= tp
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if hit_sl:
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return dict(status=f'손절-{sl_r*100:.0f}%', exit_ts=ts, exit_price=sl,
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pnl=-sl_r * 100, held=i + 1)
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if hit_tp:
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return dict(status=f'익절+{tp_r*100:.0f}%', exit_ts=ts, exit_price=tp,
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pnl=tp_r * 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 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 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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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, vr3, 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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print(f"=== TP / 손절 비율 비교 시뮬 ===")
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print(f"기간: {check_since[:10]} ~ {now.strftime('%Y-%m-%d')} | 시그널 {len(signals)}건\n")
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strategies = [
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('A. Trail Stop [3~5%]', 'trail', None, None ),
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('B. TP 3% + Trail Stop', 'tp_trail', 0.03, None ),
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('C. TP 2% + SL 2%', 'tp_sl', 0.02, 0.02 ),
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('D. TP 2% + SL 1.5%', 'tp_sl', 0.02, 0.015),
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('E. TP 2% + SL 1%', 'tp_sl', 0.02, 0.010),
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('F. TP 3% + SL 2%', 'tp_sl', 0.03, 0.02 ),
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('G. TP 3% + SL 3%', 'tp_sl', 0.03, 0.03 ),
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]
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print(f"{'━'*105}")
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print(f" {'전략':32s} {'거래':>3s} {'승률':>4s} {'합산손익':>12s} {'수익률':>5s} {'평균보유':>5s} {'손익비':>5s}")
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print(f"{'━'*105}")
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all_results = {}
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for label, mode, tp_r, sl_r in strategies:
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sim = []
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for s in signals:
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if mode == 'trail':
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r = sim_trail(s['bars'], s['entry_price'], s['atr_raw'])
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elif mode == 'tp_trail':
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r = sim_tp_trail(s['bars'], s['entry_price'], s['atr_raw'], tp_r)
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else:
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r = sim_tp_sl(s['bars'], s['entry_price'], tp_r, sl_r)
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sim.append({**s, **r})
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taken, _ = pos_limit(sim)
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all_results[label] = taken
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n = len(taken)
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if n == 0:
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print(f" {label:32s} 거래없음")
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continue
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wins = sum(1 for r in taken if r['pnl'] > 0)
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losses = sum(1 for r in taken if r['pnl'] < 0)
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total = sum(PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2 for r in taken)
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avg_h = sum(r['held'] for r in taken) / n
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ret = total / BUDGET * 100
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avg_w = sum(r['pnl'] for r in taken if r['pnl'] > 0) / wins if wins else 0
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avg_l = abs(sum(r['pnl'] for r in taken if r['pnl'] < 0) / losses) if losses else 1
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rr = avg_w / avg_l
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print(f" {label:32s} {n:>3d}건 {wins/n*100:>4.0f}% {total:>+12,.0f}원 "
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f"{ret:>+5.2f}% {avg_h:>5.0f}봉 {rr:>4.1f}:1")
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print(f"{'━'*105}")
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# ── C 상세 (TP2%+SL2%) ────────────────────────────────────────────────────
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label_c = 'C. TP 2% + SL 2%'
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print(f"\n[{label_c} 건별 상세]")
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print(f"{'─'*100}")
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for i, r in enumerate(all_results[label_c], 1):
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krw = PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2
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sign = '▲' if r['pnl'] > 0 else '▼'
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print(f" #{i:02d} {r['ticker']:12s}[{sign}] {str(r['entry_ts'])[:16]} "
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f"→ {r['status']:14s} {r['held']:3d}봉 {r['pnl']:>+.2f}% ({krw:>+,.0f}원)")
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conn.close()
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if __name__ == '__main__':
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main()
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