feat: rewrite strategy to 10m vol-lead with undying signal + watch alert
- core/strategy.py: full rewrite to Volume Lead strategy - 10m candle direct detection (no 40m resampling) - F&G 3-tier vol threshold: <=40->6x, 41-50->5x, >50->blocked - Undying signal: price drop does not cancel signal (sig_p fixed) - Vol refresh: stronger vol_r updates signal price and timer - Watch alert: 4x-6x approaching threshold notifies via Telegram - WATCH_VOL_THRESH=4.0, WATCH_COOLDOWN_MIN=30, WATCH_VOL_JUMP=0.5 - daemon/runner.py: remove FNG_MIN_ENTRY block and Bear regime block - Only FNG_MAX_ENTRY(>50) blocks scan (greed/extreme greed) - Fast-poll loop cleaned of regime check - core/notify.py: add notify_watch() for near-signal Telegram alerts - Shows vol_r, distance to threshold, price, quiet pct - tests/: add 1y data collection and simulation scripts - collect_1y_data.py, refresh_cache.py - sim_10m_vol.py, sim_current.py, sim_regime_1y.py - sim_regime_sweep.py, sim_vol_override.py Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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joungmin
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tests/collect_1y_data.py
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153
tests/collect_1y_data.py
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"""1년치 데이터 수집 — 10분봉 OHLCV + F&G 히스토리.
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생성 파일:
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data/sim1y_cache.pkl — {"10m": {ticker: DataFrame}} (10분봉, 365일)
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data/fng_1y.json — {"YYYY-MM-DD": int, ...} (Fear & Greed 1년치)
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소요 시간: 약 10~15분 (20종목 × 263 API 호출)
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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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import time
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import urllib.request
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from datetime import datetime, timedelta
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from pathlib import Path
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import pandas as pd
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import pyupbit
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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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# ── 설정 ─────────────────────────────────────────────────
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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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TOP30_FILE = Path(__file__).parent.parent / "data" / "top30_tickers.pkl"
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DAYS = 365
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TOP_N = 20
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# ── 10분봉 수집 ───────────────────────────────────────────
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def fetch_10m(ticker: str, days: int) -> "pd.DataFrame | None":
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target_start = datetime.now() - timedelta(days=days)
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all_dfs, to, prev_oldest = [], None, None
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while True:
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kwargs = dict(ticker=ticker, interval="minute10", count=200)
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if to:
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kwargs["to"] = to.strftime("%Y-%m-%d %H:%M:%S")
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try:
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df = pyupbit.get_ohlcv(**kwargs)
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except Exception:
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time.sleep(0.5)
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break
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if df is None or df.empty:
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break
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all_dfs.append(df)
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oldest = df.index[0]
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if prev_oldest is not None and oldest >= prev_oldest:
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break
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prev_oldest = oldest
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if oldest <= target_start:
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break
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to = oldest
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time.sleep(0.12)
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if not all_dfs:
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return None
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combined = pd.concat(all_dfs).sort_index()
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combined = combined[~combined.index.duplicated(keep="last")]
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return combined[combined.index >= target_start]
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# ── F&G 1년치 수집 ────────────────────────────────────────
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def fetch_fng(limit: int = 400) -> dict:
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url = f"https://api.alternative.me/fng/?limit={limit}&format=json"
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with urllib.request.urlopen(url, timeout=15) as r:
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data = json.loads(r.read())
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result = {}
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for e in data["data"]:
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dt = datetime.fromtimestamp(int(e["timestamp"]))
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result[dt.strftime("%Y-%m-%d")] = int(e["value"])
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return result
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# ── 메인 ─────────────────────────────────────────────────
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def main():
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# ── 종목 목록 ─────────────────────────────────────────
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try:
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from core.market import get_top_tickers
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tickers = get_top_tickers()[:TOP_N]
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print(f"Top{TOP_N} 종목 API 조회: {tickers}\n")
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# top30 파일 갱신
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pickle.dump(tickers, open(TOP30_FILE, "wb"))
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except Exception as e:
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print(f" [경고] 종목 API 실패: {e}")
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if TOP30_FILE.exists():
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tickers = pickle.load(open(TOP30_FILE, "rb"))[:TOP_N]
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print(f" 기존 top30 파일 사용: {tickers}\n")
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else:
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print(" [오류] 종목 목록 없음. 종료.")
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return
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# ── F&G 1년치 ─────────────────────────────────────────
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print("F&G 1년치 수집...")
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try:
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fng_map = fetch_fng(limit=400)
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sorted_dates = sorted(fng_map.keys())
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print(f" 기간: {sorted_dates[0]} ~ {sorted_dates[-1]} ({len(fng_map)}일)")
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# 분포
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zones = {"극공포(≤25)": 0, "공포(26~40)": 0, "중립(41~55)": 0,
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"탐욕(56~75)": 0, "극탐욕(76+)": 0}
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for v in fng_map.values():
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if v <= 25: zones["극공포(≤25)"] += 1
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elif v <= 40: zones["공포(26~40)"] += 1
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elif v <= 55: zones["중립(41~55)"] += 1
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elif v <= 75: zones["탐욕(56~75)"] += 1
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else: zones["극탐욕(76+)"] += 1
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total = sum(zones.values())
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for name, cnt in zones.items():
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print(f" {name:12} {cnt:>3}일 ({cnt/total*100:.1f}%)")
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json.dump(fng_map, open(FNG_FILE, "w"))
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print(f" 저장: {FNG_FILE}\n")
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except Exception as e:
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print(f" [오류] F&G 수집 실패: {e}\n")
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fng_map = {}
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# ── 10분봉 1년치 ──────────────────────────────────────
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print(f"10분봉 {DAYS}일치 수집 중 ({len(tickers)}종목)...")
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print(f" 예상 소요: {len(tickers) * 265 * 0.12 / 60:.0f}~{len(tickers) * 265 * 0.15 / 60:.0f}분\n")
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data = {"10m": {}}
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for i, ticker in enumerate(tickers, 1):
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start_t = time.time()
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df = fetch_10m(ticker, DAYS)
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elapsed = time.time() - start_t
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if df is not None and len(df) > 500:
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data["10m"][ticker] = df
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candles = len(df)
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period = f"{df.index[0].strftime('%Y-%m-%d')}~{df.index[-1].strftime('%Y-%m-%d')}"
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print(f" {i:>2}/{len(tickers)} {ticker:<15} {candles:>6}봉 {period} ({elapsed:.0f}s)")
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else:
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print(f" {i:>2}/{len(tickers)} {ticker:<15} 데이터 부족 ({elapsed:.0f}s)")
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time.sleep(0.15)
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# ── 저장 ──────────────────────────────────────────────
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print(f"\n수집 완료: {len(data['10m'])}종목")
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if data["10m"]:
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sample = next(iter(data["10m"].values()))
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print(f"기간: {sample.index[0].strftime('%Y-%m-%d')} ~ {sample.index[-1].strftime('%Y-%m-%d')}")
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print(f"봉 수: {len(sample)}개 (10분봉)")
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# 파일 크기 추정
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import sys
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size_mb = sys.getsizeof(pickle.dumps(data)) / 1024 / 1024
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print(f"예상 크기: {size_mb:.1f} MB")
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pickle.dump(data, open(CACHE_FILE, "wb"))
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print(f"\n캐시 저장: {CACHE_FILE}")
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print("완료!")
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if __name__ == "__main__":
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main()
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