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>
This commit is contained in:
joungmin
2026-03-04 09:28:13 +09:00
parent 6580cda017
commit cfbacdacbc
11 changed files with 2358 additions and 209 deletions

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tests/refresh_cache.py Normal file
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"""10분봉 캐시 갱신 스크립트 — 최신 45일 데이터를 Upbit API로 재수집."""
import os, sys, pickle, time
from pathlib import Path
from datetime import datetime, timedelta
import pyupbit
from dotenv import load_dotenv
load_dotenv(dotenv_path=Path(__file__).parent.parent / ".env")
sys.path.insert(0, str(Path(__file__).parent.parent))
CACHE_FILE = Path(__file__).parent.parent / "data" / "sim10m_cache.pkl"
TOP30_FILE = Path(__file__).parent.parent / "data" / "top30_tickers.pkl"
SIM_DAYS = 45
TOP_N = 20
def fetch_10m(ticker: str, days: int) -> "pd.DataFrame | None":
import pandas as pd
target_start = datetime.now() - timedelta(days=days)
all_dfs, to, prev_oldest = [], None, None
while True:
kwargs = dict(ticker=ticker, interval="minute10", count=200)
if to:
kwargs["to"] = to.strftime("%Y-%m-%d %H:%M:%S")
try:
df = pyupbit.get_ohlcv(**kwargs)
except Exception:
time.sleep(0.5)
break
if df is None or df.empty:
break
all_dfs.append(df)
oldest = df.index[0]
if prev_oldest is not None and oldest >= prev_oldest:
break
prev_oldest = oldest
if oldest <= target_start:
break
to = oldest
time.sleep(0.12)
if not all_dfs:
return None
combined = pd.concat(all_dfs).sort_index()
combined = combined[~combined.index.duplicated(keep="last")]
return combined[combined.index >= target_start]
def main():
# 현재 Top20 종목 가져오기
from core.market import get_top_tickers
print("Top20 종목 조회...")
tickers = get_top_tickers()[:TOP_N]
print(f" {tickers}\n")
data = {"10m": {}}
for i, ticker in enumerate(tickers, 1):
print(f"\r {i:>2}/{len(tickers)} {ticker} ", end="", flush=True)
df = fetch_10m(ticker, SIM_DAYS)
if df is not None and len(df) > 100:
data["10m"][ticker] = df
time.sleep(0.15)
print(f"\n\n종목: {len(data['10m'])}")
if data["10m"]:
sample = next(iter(data["10m"].values()))
print(f"기간: {sample.index[0].strftime('%Y-%m-%d')} ~ {sample.index[-1].strftime('%Y-%m-%d')}")
print(f"레코드: {len(sample)}")
# 저장
pickle.dump(data, open(CACHE_FILE, "wb"))
print(f"\n캐시 저장: {CACHE_FILE}")
# top30 갱신
pickle.dump(tickers, open(TOP30_FILE, "wb"))
print(f"종목 저장: {TOP30_FILE}")
if __name__ == "__main__":
main()