joungmin
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27189b1ad9
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feat: add Fear & Greed filter to entry logic
- core/fng.py: F&G API wrapper with 1h cache (alternative.me)
- FNG_MIN_ENTRY=41 (env-configurable), blocks entry below threshold
- core/strategy.py: call is_entry_allowed() before volume/regime checks
- daemon/runner.py: log F&G status on every scan cycle
- core/notify.py: include F&G value in buy/signal/status notifications
- core/trader.py: pass current F&G value to notify_buy
Backtest evidence (1y / 18 tickers / 1h candles):
- No filter: 820 trades, 32.7% WR, avg +0.012%, KRW +95k
- F&G >= 41: 372 trades, 39.5% WR, avg +0.462%, KRW +1.72M
- Blocked 452 trades (avg -0.372%, saved ~1.68M KRW loss)
Also add:
- backtest_db.py: Oracle DB storage for backtest runs/results/trades
- fng_1y_backtest.py, fng_adaptive_backtest.py, fng_sim_comparison.py
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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2026-03-03 15:56:17 +09:00 |
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