83bd51117f
Strategy C: volatility breakout (Larry Williams K=0.5) AND momentum (MA20 + 2x volume surge) must both trigger for a buy signal. Hard rules: - Trailing stop: sell when price drops -10% from peak - Max budget: 1,000,000 KRW total, up to 3 positions (333,333 KRW each) - Scan top 20 KRW tickers by 24h trading volume every 60s - Monitor positions every 10s Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
70 lines
2.0 KiB
Python
70 lines
2.0 KiB
Python
"""Strategy C: 변동성 돌파 AND 모멘텀 동시 충족 시 매수 신호."""
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import logging
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from .market import get_current_price, get_ohlcv
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logger = logging.getLogger(__name__)
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# 변동성 돌파 계수 (래리 윌리엄스 기본값)
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BREAKOUT_K = 0.5
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# 모멘텀 이동평균 기간
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MA_PERIOD = 20
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# 거래량 급증 배수
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VOLUME_MULTIPLIER = 2.0
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def check_volatility_breakout(ticker: str) -> bool:
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"""변동성 돌파 조건: 현재가 > 오늘 시가 + 전일 변동폭 × K."""
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df = get_ohlcv(ticker, count=2)
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if df is None or len(df) < 2:
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return False
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prev = df.iloc[-2]
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today = df.iloc[-1]
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target = today["open"] + (prev["high"] - prev["low"]) * BREAKOUT_K
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current = get_current_price(ticker)
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if current is None:
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return False
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result = current > target
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if result:
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logger.debug(f"[변동성돌파] {ticker} 현재가={current:,.0f} 목표가={target:,.0f}")
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return result
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def check_momentum(ticker: str) -> bool:
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"""모멘텀 조건: 현재가 > MA20 AND 오늘 거래량 > 20일 평균 × 2."""
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df = get_ohlcv(ticker, count=MA_PERIOD + 1)
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if df is None or len(df) < MA_PERIOD + 1:
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return False
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ma = df["close"].iloc[-MA_PERIOD:].mean()
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avg_vol = df["volume"].iloc[:-1].mean() # 오늘 제외한 20일 평균
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today_vol = df["volume"].iloc[-1]
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current = get_current_price(ticker)
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if current is None:
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return False
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price_ok = current > ma
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vol_ok = today_vol > avg_vol * VOLUME_MULTIPLIER
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result = price_ok and vol_ok
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if result:
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logger.debug(
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f"[모멘텀] {ticker} 현재가={current:,.0f} MA20={ma:,.0f} "
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f"오늘거래량={today_vol:.1f} 평균={avg_vol:.1f}"
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)
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return result
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def should_buy(ticker: str) -> bool:
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"""Strategy C: 변동성 돌파 AND 모멘텀 모두 충족 시 True."""
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vb = check_volatility_breakout(ticker)
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if not vb:
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return False
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mo = check_momentum(ticker)
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return vb and mo
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