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
382
tests/sim_10m_vol.py
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382
tests/sim_10m_vol.py
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"""10분봉 vol 감지 vs 40분봉 vol 감지 비교 시뮬레이션.
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40분봉 집계 시 10분봉 spike가 희석되는 문제를 해결하기 위해
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신호 감지를 10분봉 기준으로 실행하고 40분봉 전략과 노이즈/수익 비교.
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비교 모드 (각 필터 조합 × 2개 봉 단위):
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10분봉 detection:
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A. 10m 필터없음
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B. 10m F&G≥41 + BEAR차단N5
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C. 10m vol≥5x 오버라이드 (F&G+레짐 무시)
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40분봉 detection (기준선):
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D. 40m 필터없음
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E. 40m F&G≥41 + BEAR차단N5
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F. 40m vol≥5x 오버라이드
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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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ATR_MULT = 1.5
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ATR_MIN = 0.010
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ATR_MAX = 0.020
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THRESH = 4.8
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QUIET_PCT = 2.0
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BEAR_THRESHOLD = -0.5
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BULL_THRESHOLD = 1.5
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FNG_MIN_ENTRY = 41
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# ── 40분봉 파라미터 ────────────────────────────────
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P40 = dict(
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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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time_stop_pct = 3.0,
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vol_mult = 2.0,
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)
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# ── 10분봉 파라미터 (벽시계 기준 동등) ───────────────
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# LOCAL_VOL_N: 40m×7=280min → 10min×28
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# QUIET_N: 40m×3=120min → 10min×12
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# SIGNAL_TO_N: 40m×12=480min → 10min×48
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# ATR_N: 40m×7=280min → 10min×28
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# TS_N: 40m×12=480min → 10min×48
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P10 = dict(
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local_vol_n = 28,
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quiet_n = 12,
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signal_to_n = 48,
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atr_n = 28,
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ts_n = 48,
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time_stop_pct = 3.0,
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vol_mult = 2.0,
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)
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REGIME_N = 5 # 40분봉 기준
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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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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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VOL_OVERRIDE_THRESH = 5.0
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# ─────────────────────────────────────────────────────────────────────────────
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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):
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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: 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 regime_to_10m(regime_40m: pd.Series, df_10m: pd.DataFrame) -> pd.Series:
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"""40분봉 레짐 시리즈를 10분봉 인덱스에 ffill 매핑."""
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combined = regime_40m.reindex(
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regime_40m.index.union(df_10m.index)
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).ffill()
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return combined.reindex(df_10m.index)
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def calc_atr(df, buy_idx, atr_n):
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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, ts_n, time_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_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, fng_map, p,
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use_fng, use_regime, vol_override_thresh):
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"""
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공통 전략 함수. df = 봉 단위 OHLCV (10분봉 또는 40분봉).
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regime_series: df 인덱스와 정렬된 레짐 시리즈.
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우선순위:
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① 포지션 청산
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② 축적 신호 감지 (필터 무관, 항상 실행)
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③ 진입: vol_strong → 모든 필터 skip; 아니면 F&G+레짐 체크
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"""
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local_vol_n = p["local_vol_n"]
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quiet_n = p["quiet_n"]
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signal_to_n = p["signal_to_n"]
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atr_n = p["atr_n"]
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ts_n = p["ts_n"]
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time_stop_pct = p["time_stop_pct"]
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vol_mult = p["vol_mult"]
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trades = []
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sig_i = sig_p = sig_vr = 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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# ── ① 포지션 청산 ─────────────────────────────────
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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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ts_n, time_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 = sig_vr = None; i = next_i
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continue
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# 신호 만료 체크
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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 = sig_vr = None
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# ── ② 축적 신호 감지 (항상 실행) ──────────────────────
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if sig_i is None:
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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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sig_i = i; sig_p = cur; sig_vr = vol_r
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i += 1
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continue
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# 신호 이후 가격 하락 → 초기화
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if cur < sig_p:
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sig_i = sig_p = sig_vr = None
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i += 1
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continue
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# ── ③ 진입 체크 ─────────────────────────────────────
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vol_strong = (vol_override_thresh > 0
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and sig_vr is not None
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and sig_vr >= vol_override_thresh)
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if not vol_strong:
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# F&G 필터
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if use_fng and fng_map:
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fv = fng_map.get(ts.strftime("%Y-%m-%d"), 50)
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if fv < FNG_MIN_ENTRY:
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i += 1
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continue
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# 레짐 BEAR 차단
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if use_regime and not regime_series.empty and ts in regime_series.index:
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v = regime_series.loc[ts]
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if not pd.isna(v) and float(v) < BEAR_THRESHOLD:
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i += 1
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continue
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move_pct = (cur - sig_p) / sig_p * 100
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if 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, atr_n)
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sig_i = sig_p = sig_vr = 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
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wins = 0; peak = BUDGET; max_dd = 0.0; pf = float(BUDGET)
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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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wins += int(is_win)
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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)
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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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"max_dd": max_dd,
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}
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def sim_mode(dfs_per_ticker, regime_map, fng_map, p,
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use_fng, use_regime, vol_override_thresh):
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"""
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dfs_per_ticker: {ticker: DataFrame (10m 또는 40m)}
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regime_map: {ticker: regime Series (같은 인덱스로 정렬됨)}
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"""
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all_trades = []; wf_total = 0
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for ticker, df in dfs_per_ticker.items():
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rs = regime_map.get(ticker, pd.Series(dtype=float))
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raw = run_strategy(df, ticker, rs, fng_map, p,
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use_fng, use_regime, vol_override_thresh)
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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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return run_compound(accepted), wf_total, len(skipped)
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def fmt(r, wf, skip):
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if r["total"] == 0:
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return "진입없음"
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return (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 "
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f"-{r['max_dd']:>4.1f}% wf:{wf} skip:{skip}")
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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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fng_map = json.loads(FNG_FILE.read_text())
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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")
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dfs10 = {t: cache["10m"][t] for t in tickers}
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dfs40 = {t: resample_40m(df) for t, df in dfs10.items()}
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# 레짐 (40분봉 기반)
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regime_40m = build_regime_series(dfs40)
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# 40분봉용 regime map
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regime_map_40 = {t: regime_40m for t in tickers}
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# 10분봉용 regime map (ffill 매핑)
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regime_map_10 = {
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t: regime_to_10m(regime_40m, dfs10[t])
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for t in tickers
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}
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sample = next(iter(dfs10.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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print(f"\n{'='*80}")
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print(f" 10분봉 vs 40분봉 vol 감지 비교 | {start_dt} ~ {end_dt} | {len(tickers)}종목")
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print(f" vol override: ≥{VOL_OVERRIDE_THRESH}x | F&G≥{FNG_MIN_ENTRY} | BEAR차단N{REGIME_N}")
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print(f"{'='*80}")
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print(f" {'모드':<32} │ {'진입':>5} {'승률':>5} │ {'수익률':>8} {'순수익(KRW)':>14} {'낙폭':>6}")
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print(f" {'─'*76}")
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# ── 10분봉 모드들 ─────────────────────────────────────────────────────
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print(f"\n [10분봉 vol 감지 — local_vol_n={P10['local_vol_n']}봉({P10['local_vol_n']*10}분) quiet_n={P10['quiet_n']}봉({P10['quiet_n']*10}분)]")
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modes_10 = [
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("A. 10m 필터없음", False, False, 0.0),
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("B. 10m F&G+BEAR차단", True, True, 0.0),
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(f"C. 10m vol≥{VOL_OVERRIDE_THRESH}x 오버라이드", True, True, VOL_OVERRIDE_THRESH),
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]
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for label, uf, ur, vt in modes_10:
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r, wf, skip = sim_mode(dfs10, regime_map_10, fng_map, P10, uf, ur, vt)
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print(f" {label:<32} │ {fmt(r, wf, skip)}")
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# ── 40분봉 모드들 (기준선) ──────────────────────────────────────────
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print(f"\n [40분봉 vol 감지 — local_vol_n={P40['local_vol_n']}봉({P40['local_vol_n']*40}분) quiet_n={P40['quiet_n']}봉({P40['quiet_n']*40}분)]")
|
||||
|
||||
modes_40 = [
|
||||
("D. 40m 필터없음", False, False, 0.0),
|
||||
("E. 40m F&G+BEAR차단", True, True, 0.0),
|
||||
(f"F. 40m vol≥{VOL_OVERRIDE_THRESH}x 오버라이드", True, True, VOL_OVERRIDE_THRESH),
|
||||
]
|
||||
for label, uf, ur, vt in modes_40:
|
||||
r, wf, skip = sim_mode(dfs40, regime_map_40, fng_map, P40, uf, ur, vt)
|
||||
print(f" {label:<32} │ {fmt(r, wf, skip)}")
|
||||
|
||||
print(f"\n{'='*80}")
|
||||
|
||||
# ── vol≥5x 신호 품질 비교 (10m vs 40m) ─────────────────────────────
|
||||
print("\n [vol≥5x 오버라이드 신호 품질 비교 — 필터 없음 조건에서 override 효과]")
|
||||
print(f" {'모드':<32} │ {'진입':>5} {'승률':>5} │ {'수익률':>8} {'낙폭':>6}")
|
||||
for label, dfs, rmap, p in [
|
||||
("10m vol≥5x (filter none)", dfs10, regime_map_10, P10),
|
||||
("40m vol≥5x (filter none)", dfs40, regime_map_40, P40),
|
||||
]:
|
||||
r, wf, skip = sim_mode(dfs, rmap, fng_map, p, False, False, VOL_OVERRIDE_THRESH)
|
||||
if r["total"]:
|
||||
print(f" {label:<32} │ {r['total']:>5}건 {r['wr']:>4.1f}% "
|
||||
f"{r['roi_pct']:>+7.2f}% -{r['max_dd']:>4.1f}%")
|
||||
print(f"{'='*80}")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Reference in New Issue
Block a user