6e0c4508fa
- tick_trader.py를 Controller로 축소, 로직을 3개 모듈로 분리: - core/signal.py: 시그널 감지, 지표 계산 (calc_vr, calc_atr, detect_signal) - core/order.py: Upbit 주문 실행 (매수/매도/취소/조회) - core/position_manager.py: 포지션 관리, DB sync, 복구, 청산 조건 - type hints, Google docstring, 구체적 예외 타입 적용 - 50줄 초과 함수 분리 (process_signal, restore_positions) - 미사용 파일 58개 archive/ 폴더로 이동 - README.md 추가 Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
324 lines
13 KiB
Python
324 lines
13 KiB
Python
"""3% 고정 익절 vs 현재 trail stop 전략 비교 시뮬레이션.
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전략:
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A. Trail Stop only : ATR 1.0×[3.0~5.0%]
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B. TP 3% + Trail Stop 손절 : +3% 도달 시 익절, 못 도달하면 trail stop
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C. TP 2% + Trail Stop 손절 : +2% 도달 시 익절
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D. TP 5% + Trail Stop 손절 : +5% 도달 시 익절
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"""
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import sys, os
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from datetime import datetime, timedelta
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sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from dotenv import load_dotenv
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load_dotenv(os.path.join(os.path.dirname(os.path.dirname(os.path.abspath(__file__))), '.env'))
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import oracledb
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# ── 파라미터 ──────────────────────────────────────────────────────────────────
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VOL_LOOKBACK = 61
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ATR_LOOKBACK = 28
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LOOKBACK_DAYS = 3
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VOL_MIN = 8.0
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ATR_MULT = 1.0
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ATR_MIN_R = 0.030
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ATR_MAX_R = 0.050
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MAX_TRAIL_BARS = 240
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BUDGET = 15_000_000
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MAX_POS = 3
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PER_POS = BUDGET // MAX_POS
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FEE = 0.0005
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TICKERS = [
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'KRW-XRP','KRW-BTC','KRW-ETH','KRW-SOL','KRW-DOGE',
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'KRW-ADA','KRW-SUI','KRW-NEAR','KRW-KAVA','KRW-SXP',
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'KRW-AKT','KRW-SONIC','KRW-IP','KRW-ORBS','KRW-VIRTUAL',
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'KRW-BARD','KRW-XPL','KRW-KITE','KRW-ENSO','KRW-0G',
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]
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_TK = ",".join(f"'{t}'" for t in TICKERS)
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SIGNAL_SQL = f"""
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WITH
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base AS (
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SELECT ticker, ts, open_p, close_p, high_p, low_p, volume_p,
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LAG(close_p, 1) OVER (PARTITION BY ticker ORDER BY ts) prev_close_1,
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LAG(open_p, 1) OVER (PARTITION BY ticker ORDER BY ts) prev_open_1,
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LAG(volume_p, 1) OVER (PARTITION BY ticker ORDER BY ts) prev_vol_1,
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LAG(close_p, 2) OVER (PARTITION BY ticker ORDER BY ts) prev_close_2,
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LAG(open_p, 2) OVER (PARTITION BY ticker ORDER BY ts) prev_open_2,
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LAG(volume_p, 2) OVER (PARTITION BY ticker ORDER BY ts) prev_vol_2,
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LAG(close_p, 3) OVER (PARTITION BY ticker ORDER BY ts) prev_close_3,
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LAG(open_p, 3) OVER (PARTITION BY ticker ORDER BY ts) prev_open_3,
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LAG(volume_p, 3) OVER (PARTITION BY ticker ORDER BY ts) prev_vol_3,
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GREATEST(
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high_p - low_p,
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ABS(high_p - LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts)),
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ABS(low_p - LAG(close_p,1) OVER (PARTITION BY ticker ORDER BY ts))
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) tr
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FROM backtest_ohlcv
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WHERE interval_cd = 'minute1'
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AND ts >= TO_TIMESTAMP(:warmup_since, 'YYYY-MM-DD HH24:MI:SS')
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AND ticker IN ({_TK})
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),
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indicators AS (
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SELECT ticker, ts, open_p, close_p,
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volume_p / NULLIF(
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AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
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ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
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) vr0,
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prev_vol_1 / NULLIF(
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AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
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ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
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) vr1,
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prev_vol_2 / NULLIF(
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AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
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ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
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) vr2,
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prev_vol_3 / NULLIF(
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AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
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ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
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) vr3,
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prev_close_1, prev_open_1,
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prev_close_2, prev_open_2,
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prev_close_3, prev_open_3,
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AVG(tr) OVER (PARTITION BY ticker ORDER BY ts
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ROWS BETWEEN {ATR_LOOKBACK} PRECEDING AND 1 PRECEDING)
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/ NULLIF(prev_close_1, 0) atr_raw
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FROM base
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)
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SELECT ticker, ts sig_ts, close_p sig_price,
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vr0, vr1, vr2, vr3, atr_raw,
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prev_close_3, prev_close_2, prev_close_1, close_p
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FROM indicators
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WHERE ts >= TO_TIMESTAMP(:check_since, 'YYYY-MM-DD HH24:MI:SS')
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AND vr0 >= :min_vol
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AND close_p > open_p
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AND prev_close_1 > prev_open_1
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AND prev_close_2 > prev_open_2
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AND prev_close_3 > prev_open_3
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AND close_p > prev_close_1
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AND prev_close_1 > prev_close_2
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AND prev_close_2 > prev_close_3
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AND vr0 > vr1 AND vr1 > vr2 AND vr2 > vr3
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ORDER BY ticker, ts
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"""
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def _get_conn():
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kwargs = dict(user=os.environ["ORACLE_USER"],
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password=os.environ["ORACLE_PASSWORD"],
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dsn=os.environ["ORACLE_DSN"])
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wallet = os.environ.get("ORACLE_WALLET")
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if wallet:
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kwargs["config_dir"] = wallet
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return oracledb.connect(**kwargs)
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def _fetch_bars(cur, ticker, entry_ts):
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"""진입 시점 이후 봉 데이터 조회 (캐시용)."""
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cur.execute(
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"""SELECT ts, close_p, high_p FROM backtest_ohlcv
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WHERE ticker=:t AND interval_cd='minute1'
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AND ts >= :entry
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ORDER BY ts FETCH FIRST :n ROWS ONLY""",
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{"t": ticker, "entry": entry_ts, "n": MAX_TRAIL_BARS + 1}
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)
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return [(ts, float(cp), float(hp)) for ts, cp, hp in cur.fetchall()]
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def simulate_trail_only(bars, entry_price, atr_raw):
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"""전략 A: Trail Stop만 사용."""
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ar = atr_raw if (atr_raw and atr_raw == atr_raw) else 0.0
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atr_stop = max(ATR_MIN_R, min(ATR_MAX_R, ar * ATR_MULT)) if ar > 0 else ATR_MAX_R
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running_peak = entry_price
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for i, (ts, close_p, _) in enumerate(bars):
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running_peak = max(running_peak, close_p)
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drop = (running_peak - close_p) / running_peak if running_peak > 0 else 0.0
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if drop >= atr_stop:
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pnl = (close_p - entry_price) / entry_price * 100
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peak_pct = (running_peak - entry_price) / entry_price * 100
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return dict(status="트레일손절", exit_ts=ts, exit_price=close_p,
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peak=running_peak, peak_pct=peak_pct,
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pnl=pnl, held_bars=i + 1)
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last_ts, last_price = bars[-1][0], bars[-1][1]
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pnl = (last_price - entry_price) / entry_price * 100
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peak_pct = (running_peak - entry_price) / entry_price * 100
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status = "타임아웃" if len(bars) >= MAX_TRAIL_BARS else "진행중"
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return dict(status=status, exit_ts=last_ts, exit_price=last_price,
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peak=running_peak, peak_pct=peak_pct,
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pnl=pnl, held_bars=len(bars))
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def simulate_tp_trail(bars, entry_price, atr_raw, tp_r):
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"""전략 B/C/D: 고정 익절 + Trail Stop 손절.
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먼저 +tp_r% 도달하면 익절.
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못 도달하고 trail stop 걸리면 손절.
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"""
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ar = atr_raw if (atr_raw and atr_raw == atr_raw) else 0.0
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atr_stop = max(ATR_MIN_R, min(ATR_MAX_R, ar * ATR_MULT)) if ar > 0 else ATR_MAX_R
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tp_price = entry_price * (1 + tp_r)
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running_peak = entry_price
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for i, (ts, close_p, high_p) in enumerate(bars):
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# 고가로 익절 체크 (봉 내 고가가 익절가 도달하면 익절)
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if high_p >= tp_price:
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pnl = tp_r * 100
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peak_pct = (max(running_peak, high_p) - entry_price) / entry_price * 100
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return dict(status=f"익절+{tp_r*100:.0f}%", exit_ts=ts, exit_price=tp_price,
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peak=max(running_peak, high_p), peak_pct=peak_pct,
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pnl=pnl, held_bars=i + 1)
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running_peak = max(running_peak, close_p)
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drop = (running_peak - close_p) / running_peak if running_peak > 0 else 0.0
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if drop >= atr_stop:
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pnl = (close_p - entry_price) / entry_price * 100
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peak_pct = (running_peak - entry_price) / entry_price * 100
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return dict(status="트레일손절", exit_ts=ts, exit_price=close_p,
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peak=running_peak, peak_pct=peak_pct,
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pnl=pnl, held_bars=i + 1)
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last_ts, last_price = bars[-1][0], bars[-1][1]
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pnl = (last_price - entry_price) / entry_price * 100
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peak_pct = (running_peak - entry_price) / entry_price * 100
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status = "타임아웃" if len(bars) >= MAX_TRAIL_BARS else "진행중"
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return dict(status=status, exit_ts=last_ts, exit_price=last_price,
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peak=running_peak, peak_pct=peak_pct,
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pnl=pnl, held_bars=len(bars))
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def apply_pos_limit(sim_results):
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open_positions = []
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taken, skipped = [], []
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for r in sim_results:
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open_positions = [ex for ex in open_positions if ex > r['entry_ts']]
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if len(open_positions) < MAX_POS:
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open_positions.append(r['exit_ts'])
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taken.append(r)
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else:
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skipped.append(r)
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return taken, skipped
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def print_summary(label, taken):
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n = len(taken)
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if n == 0:
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print(f" {label:35s} 거래없음")
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return
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wins = sum(1 for r in taken if r['pnl'] > 0)
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total = sum(PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2 for r in taken)
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avg_h = sum(r['held_bars'] for r in taken) / n
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ret = total / BUDGET * 100
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print(f" {label:35s} {n:>3d}건 {wins/n*100:>4.0f}% {total:>+12,.0f}원 {ret:>+5.2f}% {avg_h:>5.0f}봉")
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def print_detail(label, taken):
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print(f"\n{'━'*110}")
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print(f" {label}")
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print(f"{'━'*110}")
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for i, r in enumerate(taken, 1):
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krw = PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2
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sign = "▲" if r['pnl'] > 0 else "▼"
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print(f" #{i:02d} {r['ticker']:12s} [{sign}] 진입 {str(r['entry_ts'])[:16]} "
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f"고점 {r['peak_pct']:>+.2f}% → {r['status']} {r['held_bars']}봉 "
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f"PNL {r['pnl']:>+.2f}% ({krw:>+,.0f}원)")
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def main():
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now = datetime.now()
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check_since = (now - timedelta(days=LOOKBACK_DAYS)).strftime('%Y-%m-%d 00:00:00')
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warmup_since = (now - timedelta(days=LOOKBACK_DAYS + 1)).strftime('%Y-%m-%d 00:00:00')
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print(f"=== 고정 익절 vs Trail Stop 비교 시뮬 ===")
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print(f"기간: {check_since[:10]} ~ 현재 | 4봉 VOL≥{VOL_MIN}x | "
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f"손절: ATR {ATR_MULT}×[{ATR_MIN_R*100:.0f}~{ATR_MAX_R*100:.0f}%]")
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print(f"자본 {BUDGET//10000}만원 / 포지션 {PER_POS//10000}만원 / 동시 {MAX_POS}개\n")
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conn = _get_conn()
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cur = conn.cursor()
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cur.arraysize = 10_000
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cur.execute(SIGNAL_SQL, {
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"warmup_since": warmup_since,
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"check_since": check_since,
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"min_vol": VOL_MIN,
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})
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rows = cur.fetchall()
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if not rows:
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print(f"해당 기간 VOL>={VOL_MIN}x 4봉 가속 시그널 없음")
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conn.close()
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return
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# 진입봉 + bars 수집
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signals = []
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for row in rows:
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ticker, sig_ts, sig_price, vr0, vr1, vr2, vr3, atr_raw, \
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p3, p2, p1, p0 = row
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cur.execute(
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"""SELECT close_p, ts FROM backtest_ohlcv
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WHERE ticker=:t AND interval_cd='minute1'
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AND ts > :sig AND ts <= :sig + INTERVAL '3' MINUTE
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ORDER BY ts FETCH FIRST 1 ROWS ONLY""",
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{"t": ticker, "sig": sig_ts}
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)
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entry_row = cur.fetchone()
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if not entry_row:
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continue
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entry_price, entry_ts = float(entry_row[0]), entry_row[1]
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bars = _fetch_bars(cur, ticker, entry_ts)
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if not bars:
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continue
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signals.append({
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'ticker': ticker,
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'entry_ts': entry_ts,
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'entry_price': entry_price,
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'vr': [float(x) if x else 0.0 for x in [vr3, vr2, vr1, vr0]],
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'prices': [float(x) if x else 0.0 for x in [p3, p2, p1, p0]],
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'atr_raw': float(atr_raw) if atr_raw else 0.0,
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'bars': bars,
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})
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signals.sort(key=lambda x: x['entry_ts'])
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print(f"시그널 {len(signals)}건 → 전략별 시뮬 중...\n")
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# ── 전략별 시뮬 ───────────────────────────────────────────────────────────
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strategies = [
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("A. Trail Stop [3~5%]", None),
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("B. 익절 2% + Trail Stop", 0.02),
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("C. 익절 3% + Trail Stop", 0.03),
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("D. 익절 5% + Trail Stop", 0.05),
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]
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results = {}
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for label, tp_r in strategies:
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sim = []
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for s in signals:
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if tp_r is None:
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r = simulate_trail_only(s['bars'], s['entry_price'], s['atr_raw'])
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else:
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r = simulate_tp_trail(s['bars'], s['entry_price'], s['atr_raw'], tp_r)
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sim.append({**s, **r})
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taken, _ = apply_pos_limit(sim)
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results[label] = taken
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# ── 요약 비교표 ───────────────────────────────────────────────────────────
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print(f"{'━'*95}")
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print(f" {'전략':35s} {'거래':>3s} {'승률':>4s} {'합산손익':>12s} {'수익률':>5s} {'평균보유':>5s}")
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print(f"{'━'*95}")
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for label, taken in results.items():
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print_summary(label, taken)
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print(f"{'━'*95}")
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# ── 전략별 건별 상세 ──────────────────────────────────────────────────────
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for label, taken in results.items():
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print_detail(label, taken)
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conn.close()
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if __name__ == '__main__':
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main()
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