"""진입 후 N봉 내 최고가 청산 전략 시뮬 (30일). 전략: 3봉 vol가속 진입 → N봉 내 최고 고가에서 매도 비교: 현재 전략 (TP 2% + Trail Stop) """ import sys, os from datetime import datetime, timedelta sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__)))) from dotenv import load_dotenv load_dotenv(os.path.join(os.path.dirname(os.path.dirname(os.path.abspath(__file__))), '.env')) import oracledb LOOKBACK_DAYS = 30 VOL_LOOKBACK = 61 ATR_LOOKBACK = 28 VOL_MIN = 8.0 ATR_MULT = 1.0 ATR_MIN_R = 0.030 ATR_MAX_R = 0.050 MAX_TRAIL_BARS = 240 BUDGET = 15_000_000 MAX_POS = 3 PER_POS = BUDGET // MAX_POS FEE = 0.0005 TICKERS = [ 'KRW-XRP','KRW-BTC','KRW-ETH','KRW-SOL','KRW-DOGE', 'KRW-ADA','KRW-SUI','KRW-NEAR','KRW-KAVA','KRW-SXP', 'KRW-AKT','KRW-SONIC','KRW-IP','KRW-ORBS','KRW-VIRTUAL', 'KRW-BARD','KRW-XPL','KRW-KITE','KRW-ENSO','KRW-0G', ] _TK = ",".join(f"'{t}'" for t in TICKERS) def get_conn(): kwargs = dict(user=os.environ["ORACLE_USER"], password=os.environ["ORACLE_PASSWORD"], dsn=os.environ["ORACLE_DSN"]) if w := os.environ.get("ORACLE_WALLET"): kwargs["config_dir"] = w return oracledb.connect(**kwargs) SIGNAL_SQL = f""" WITH base AS ( SELECT ticker, ts, open_p, close_p, high_p, low_p, volume_p, LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts) pc1, LAG(open_p,1) OVER (PARTITION BY ticker ORDER BY ts) po1, LAG(close_p,2) OVER (PARTITION BY ticker ORDER BY ts) pc2, LAG(open_p,2) OVER (PARTITION BY ticker ORDER BY ts) po2, GREATEST(high_p-low_p, ABS(high_p-LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts)), ABS(low_p -LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts))) tr FROM backtest_ohlcv WHERE interval_cd='minute1' AND ts >= TO_TIMESTAMP(:ws,'YYYY-MM-DD HH24:MI:SS') AND ticker IN ({_TK}) ), ind AS ( SELECT ticker, ts, open_p, close_p, high_p, low_p, volume_p / NULLIF(AVG(volume_p) OVER ( PARTITION BY ticker ORDER BY ts ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING),0) vr0, LAG(volume_p,1) OVER (PARTITION BY ticker ORDER BY ts) / NULLIF(AVG(volume_p) OVER ( PARTITION BY ticker ORDER BY ts ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING),0) vr1, LAG(volume_p,2) OVER (PARTITION BY ticker ORDER BY ts) / NULLIF(AVG(volume_p) OVER ( PARTITION BY ticker ORDER BY ts ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING),0) vr2, pc1,po1,pc2,po2, AVG(tr) OVER (PARTITION BY ticker ORDER BY ts ROWS BETWEEN {ATR_LOOKBACK} PRECEDING AND 1 PRECEDING) / NULLIF(pc1,0) atr_raw FROM base ) SELECT ticker, ts, vr0, vr1, vr2, atr_raw FROM ind WHERE ts >= TO_TIMESTAMP(:cs,'YYYY-MM-DD HH24:MI:SS') AND vr0 >= {VOL_MIN} AND close_p>open_p AND pc1>po1 AND pc2>po2 AND close_p>pc1 AND pc1>pc2 AND vr0>vr1 AND vr1>vr2 ORDER BY ticker, ts """ def fetch_signals(cur, warmup_since, check_since): cur.execute(SIGNAL_SQL, {'ws': warmup_since, 'cs': check_since}) rows = cur.fetchall() signals = [] for row in rows: ticker, sig_ts, vr0, vr1, vr2, atr_raw = row cur.execute( """SELECT close_p, ts FROM backtest_ohlcv WHERE ticker=:t AND interval_cd='minute1' AND ts > :sig AND ts <= :sig + INTERVAL '3' MINUTE ORDER BY ts FETCH FIRST 1 ROWS ONLY""", {'t': ticker, 'sig': sig_ts} ) er = cur.fetchone() if not er: continue ep, ets = float(er[0]), er[1] # 최대 10봉만 필요 (peak exit용) + trail stop용 241봉 cur.execute( """SELECT ts, close_p, high_p, low_p FROM backtest_ohlcv WHERE ticker=:t AND interval_cd='minute1' AND ts >= :entry ORDER BY ts FETCH FIRST :n ROWS ONLY""", {'t': ticker, 'entry': ets, 'n': MAX_TRAIL_BARS + 1} ) bars = [(r[0], float(r[1]), float(r[2]), float(r[3])) for r in cur.fetchall()] if not bars: continue signals.append({ 'ticker': ticker, 'entry_ts': ets, 'entry_price': ep, 'atr_raw': float(atr_raw) if atr_raw else 0.0, 'bars': bars, }) signals.sort(key=lambda x: x['entry_ts']) return signals # ── 청산 전략 ───────────────────────────────────────────────────────────────── def sim_tp_trail(bars, ep, ar, tp_r=0.02): """기본 전략: TP 2% + Trail Stop.""" stop = max(ATR_MIN_R, min(ATR_MAX_R, ar * ATR_MULT)) if ar > 0 else ATR_MAX_R tp = ep * (1 + tp_r) peak = ep for i, (ts, cp, hp, lp) in enumerate(bars): if hp >= tp: return dict(status='익절+2%', exit_ts=ts, exit_price=tp, pnl=tp_r * 100, held=i + 1) peak = max(peak, cp) if (peak - cp) / peak >= stop: return dict(status='트레일손절', exit_ts=ts, exit_price=cp, pnl=(cp - ep) / ep * 100, held=i + 1) lts, lcp = bars[-1][0], bars[-1][1] return dict(status='타임아웃' if len(bars) >= MAX_TRAIL_BARS else '진행중', exit_ts=lts, exit_price=lcp, pnl=(lcp - ep) / ep * 100, held=len(bars)) def sim_peak_then_trail(bars, ep, ar, n_bars, tp_r=0.02): """진입 후 n_bars 봉 내 이익 구간이 나오면 고가 청산. 이익 없으면 TP 2% + Trail Stop으로 계속 운영. 이익 판단: n_bars 내 어느 봉이든 high_p > entry_price 이면 그 구간의 최고 고가에서 청산. """ window = bars[:n_bars] # n봉 내 이익 구간 탐색 best_high = max((hp for _, _, hp, _ in window), default=ep) if best_high > ep: # 이익 나는 최고 고가에서 청산 best_ts = next(ts for ts, cp, hp, lp in window if hp == best_high) held = next(i + 1 for i, (ts, cp, hp, lp) in enumerate(window) if hp == best_high) pnl = (best_high - ep) / ep * 100 return dict(status=f'피크청산({n_bars}봉)', exit_ts=best_ts, exit_price=best_high, pnl=pnl, held=held) # n봉 내 이익 없음 → TP 2% + Trail Stop으로 전환 return sim_tp_trail(bars[n_bars:] or bars[-1:], ep, ar, tp_r) def pos_limit(sim): opens, taken, skipped = [], [], [] for r in sim: opens = [ex for ex in opens if ex > r['entry_ts']] if len(opens) < MAX_POS: opens.append(r['exit_ts']) taken.append(r) else: skipped.append(r) return taken, skipped def stats(taken): n = len(taken) if n == 0: return None wins = sum(1 for r in taken if r['pnl'] > 0) losses = sum(1 for r in taken if r['pnl'] < 0) total = sum(PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2 for r in taken) avg_h = sum(r['held'] for r in taken) / n ret = total / BUDGET * 100 avg_w = sum(r['pnl'] for r in taken if r['pnl'] > 0) / wins if wins else 0 avg_l = abs(sum(r['pnl'] for r in taken if r['pnl'] < 0) / losses) if losses else 1 return dict(n=n, wins=wins, wr=wins/n*100, total=total, ret=ret, avg_h=avg_h, avg_w=avg_w, avg_l=avg_l, rr=avg_w/avg_l if avg_l else 0) def main(): now = datetime.now() check_since = (now - timedelta(days=LOOKBACK_DAYS)).strftime('%Y-%m-%d 00:00:00') warmup_since = (now - timedelta(days=LOOKBACK_DAYS + 1)).strftime('%Y-%m-%d 00:00:00') conn = get_conn() cur = conn.cursor() cur.arraysize = 10000 print(f"=== 3봉 진입 후 N봉 피크청산 전략 시뮬 ===") print(f"기간: {check_since[:10]} ~ {now.strftime('%Y-%m-%d')} (30일)\n") signals = fetch_signals(cur, warmup_since, check_since) print(f"시그널 {len(signals)}건\n") strategies = [ ('현재전략: TP 2% + Trail Stop', 'tp_trail', None), ('2봉 이익시 피크청산, 아니면 TP/Trail', 'peak', 2 ), ('3봉 이익시 피크청산, 아니면 TP/Trail', 'peak', 3 ), ('5봉 이익시 피크청산, 아니면 TP/Trail', 'peak', 5 ), ] results = {} for label, mode, param in strategies: sim = [] for s in signals: if mode == 'tp_trail': r = sim_tp_trail(s['bars'], s['entry_price'], s['atr_raw']) else: r = sim_peak_then_trail(s['bars'], s['entry_price'], s['atr_raw'], param) sim.append({**s, **r}) taken, _ = pos_limit(sim) results[label] = taken # ── 요약표 ────────────────────────────────────────────────────────────────── print(f"{'━'*105}") print(f" {'전략':35s} {'거래':>3s} {'승률':>4s} {'합산손익':>12s} {'수익률':>5s} " f"{'평균보유':>5s} {'평균수익':>6s} {'평균손실':>6s}") print(f"{'━'*105}") for label, mode, param in strategies: taken = results[label] s = stats(taken) if not s: continue print(f" {label:35s} {s['n']:>3d}건 {s['wr']:>4.0f}% {s['total']:>+12,.0f}원 " f"{s['ret']:>+5.2f}% {s['avg_h']:>5.1f}봉 " f"{s['avg_w']:>+5.2f}% {s['avg_l']:>+5.2f}%") print(f"{'━'*105}") # ── 3봉 피크청산 상세 ──────────────────────────────────────────────────────── label_3 = '3봉 이익시 피크청산, 아니면 TP/Trail' print(f"\n[{label_3} 건별 상세]") print(f"{'─'*100}") for i, r in enumerate(results[label_3], 1): krw = PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2 sign = '▲' if r['pnl'] > 0 else '▼' print(f" #{i:02d} {r['ticker']:12s}[{sign}] {str(r['entry_ts'])[:16]} " f"진입 {r['entry_price']:>10,.0f}원 " f"고가청산 {r['exit_price']:>10,.0f}원 " f"{r['pnl']:>+.2f}% ({krw:>+,.0f}원)") conn.close() if __name__ == '__main__': main()