6b2c962ed8
- Move all backtest/simulation scripts to tests/ - Add sys.path.insert to each script for correct import resolution - Move pkl cache files to data/ (git-ignored) - Move log files to logs/ (git-ignored) - Update main.py: trading.log path → logs/trading.log - Add ecosystem.config.js: pm2 log paths → logs/pm2*.log - Update .gitignore: ignore data/ and logs/ instead of *.pkl/*.log - core/fng.py: increase cache TTL 3600→86400s (API updates daily at KST 09:00) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
230 lines
8.6 KiB
Python
230 lines
8.6 KiB
Python
"""365일 복리 KRW 시뮬레이션.
|
||
|
||
- 상위 20개 종목 × vol-lead +4.8% 전략
|
||
- MAX_POSITIONS=3, 복리 포지션 크기 (이득 시 증가 / 손실 시 차감)
|
||
- 최소 예산 = 초기 예산의 30%
|
||
- 데이터: Oracle ADB ohlcv_hourly 테이블
|
||
"""
|
||
|
||
import pickle
|
||
import sys
|
||
from pathlib import Path
|
||
|
||
from dotenv import load_dotenv
|
||
|
||
load_dotenv(dotenv_path=Path(__file__).parent / ".env")
|
||
|
||
sys.path.insert(0, str(Path(__file__).parent))
|
||
from ohlcv_db import load_from_db
|
||
from vol_lead_sim import run_vol_lead_thresh
|
||
|
||
# ── 파라미터 ───────────────────────────────────────────
|
||
BUDGET = 15_000_000
|
||
MIN_BUDGET = BUDGET * 3 // 10 # 하한 30% = 4,500,000원
|
||
MAX_POS = 3
|
||
THRESH = 4.8
|
||
FROM_DATE = "2025-03-02"
|
||
TOP30_FILE = Path("top30_tickers.pkl")
|
||
|
||
|
||
def load_data() -> dict:
|
||
top30 = pickle.load(open(TOP30_FILE, "rb"))
|
||
print(f"DB 로드 중... ({len(top30)}종목)")
|
||
data = load_from_db(top30, from_date=FROM_DATE)
|
||
valid = {t: df for t, df in data.items() if len(df) >= 500}
|
||
print(f"유효 종목: {len(valid)}개 로드 완료")
|
||
return valid
|
||
|
||
pickle.dump(data, open(CACHE_FILE, "wb"))
|
||
print(f"\n캐시 저장: {CACHE_FILE} ({len(data)}종목)\n")
|
||
return data
|
||
|
||
|
||
# ── WF 필터 (종목별 적용) ──────────────────────────────
|
||
WF_WINDOW = 4
|
||
WF_MIN_WIN_RATE = 0.01
|
||
WF_SHADOW_WINS = 2
|
||
|
||
|
||
def apply_wf(trades: list) -> tuple:
|
||
"""종목별 WF 필터: 2연패 시 차단, shadow 2연승 시 복귀."""
|
||
history = []
|
||
shadow_streak = 0
|
||
blocked = False
|
||
accepted = []
|
||
blocked_cnt = 0
|
||
|
||
for trade in trades:
|
||
is_win = int(trade[0])
|
||
|
||
if not blocked:
|
||
accepted.append(trade)
|
||
history.append(is_win)
|
||
if len(history) >= WF_WINDOW:
|
||
wr = sum(history[-WF_WINDOW:]) / WF_WINDOW
|
||
if wr < WF_MIN_WIN_RATE:
|
||
blocked = True
|
||
shadow_streak = 0
|
||
else:
|
||
blocked_cnt += 1
|
||
if is_win:
|
||
shadow_streak += 1
|
||
if shadow_streak >= WF_SHADOW_WINS:
|
||
blocked = False
|
||
history = []
|
||
shadow_streak = 0
|
||
else:
|
||
shadow_streak = 0
|
||
|
||
return accepted, blocked_cnt
|
||
|
||
|
||
# ── MAX_POSITIONS 필터 ─────────────────────────────────
|
||
def collect_trades(data: dict, tickers: list) -> list:
|
||
all_trades = []
|
||
wf_total_blocked = 0
|
||
for t in tickers:
|
||
if t not in data:
|
||
continue
|
||
raw = [(is_win, pnl, buy_dt, sell_dt, reason)
|
||
for is_win, pnl, buy_dt, sell_dt, reason
|
||
in run_vol_lead_thresh(data[t], THRESH)]
|
||
filtered, blocked = apply_wf(raw)
|
||
wf_total_blocked += blocked
|
||
for is_win, pnl, buy_dt, sell_dt, reason in filtered:
|
||
all_trades.append((buy_dt, sell_dt, t, is_win, pnl, reason))
|
||
print(f" WF 필터 차단: {wf_total_blocked}건")
|
||
all_trades.sort(key=lambda x: x[0])
|
||
return all_trades
|
||
|
||
|
||
def apply_max_positions(all_trades: list) -> tuple:
|
||
open_exits, accepted, skipped = [], [], []
|
||
for trade in all_trades:
|
||
buy_dt, sell_dt = trade[0], trade[1]
|
||
open_exits = [s for s in open_exits if s > buy_dt]
|
||
if len(open_exits) < MAX_POS:
|
||
open_exits.append(sell_dt)
|
||
accepted.append(trade)
|
||
else:
|
||
skipped.append(trade)
|
||
return accepted, skipped
|
||
|
||
|
||
# ── 복리 시뮬레이션 ────────────────────────────────────
|
||
def simulate(accepted: list) -> dict:
|
||
portfolio = float(BUDGET)
|
||
total_krw = 0.0
|
||
monthly = {}
|
||
trade_log = []
|
||
|
||
for buy_dt, sell_dt, ticker, is_win, pnl, reason in accepted:
|
||
pos_size = max(portfolio, MIN_BUDGET) / MAX_POS
|
||
krw_profit = pos_size * pnl / 100
|
||
portfolio = max(portfolio + krw_profit, MIN_BUDGET)
|
||
total_krw += krw_profit
|
||
|
||
ym = buy_dt.strftime("%Y-%m")
|
||
if ym not in monthly:
|
||
monthly[ym] = {"trades": 0, "wins": 0, "pnl_krw": 0.0}
|
||
monthly[ym]["trades"] += 1
|
||
monthly[ym]["wins"] += int(is_win)
|
||
monthly[ym]["pnl_krw"] += krw_profit
|
||
|
||
trade_log.append({
|
||
"buy_dt": buy_dt,
|
||
"sell_dt": sell_dt,
|
||
"ticker": ticker,
|
||
"is_win": is_win,
|
||
"pnl_pct": pnl,
|
||
"pos_size": pos_size,
|
||
"krw_profit": krw_profit,
|
||
"portfolio": portfolio,
|
||
"reason": reason,
|
||
})
|
||
|
||
wins = sum(1 for t in accepted if t[3])
|
||
return {
|
||
"portfolio": portfolio,
|
||
"total_krw": total_krw,
|
||
"roi_pct": (portfolio - BUDGET) / BUDGET * 100,
|
||
"total": len(accepted),
|
||
"wins": wins,
|
||
"wr": wins / len(accepted) * 100 if accepted else 0,
|
||
"monthly": monthly,
|
||
"trade_log": trade_log,
|
||
}
|
||
|
||
|
||
# ── 메인 ──────────────────────────────────────────────
|
||
def main() -> None:
|
||
data = load_data()
|
||
top30 = pickle.load(open(TOP30_FILE, "rb"))
|
||
valid = [t for t in top30 if t in data and len(data[t]) >= 500]
|
||
use20 = valid[:20]
|
||
|
||
print(f"{'='*65}")
|
||
print(f"365일 복리 시뮬레이션 | vol-lead +{THRESH}% | {len(use20)}종목")
|
||
print(f"초기 예산: {BUDGET:,}원 | 최소 예산(하한): {MIN_BUDGET:,}원")
|
||
print(f"기간: {FROM_DATE[:10]} ~ 2026-03-02")
|
||
print(f"{'='*65}")
|
||
|
||
all_trades = collect_trades(data, use20)
|
||
accepted, skipped = apply_max_positions(all_trades)
|
||
result = simulate(accepted)
|
||
|
||
print(f"\n── 전체 결과 ──────────────────────────────────────────")
|
||
print(f" 신호 발생: {len(all_trades):>4}건")
|
||
print(f" 실제 진입: {result['total']:>4}건 ({len(skipped)}건 MAX_POS 스킵)")
|
||
print(f" 승/패: {result['wins']}승 {result['total']-result['wins']}패 (승률 {result['wr']:.0f}%)")
|
||
print(f" ─────────────────────────────────────────────────")
|
||
print(f" 초기 예산: {BUDGET:>14,}원")
|
||
print(f" 최종 자산: {result['portfolio']:>14,.0f}원")
|
||
print(f" 순수익: {result['total_krw']:>+14,.0f}원")
|
||
print(f" 수익률: {result['roi_pct']:>+13.2f}%")
|
||
print(f" 연환산: {result['roi_pct']:>+13.2f}% (이미 1년)")
|
||
|
||
# 최대 낙폭
|
||
peak = BUDGET
|
||
max_dd = 0.0
|
||
for t in result["trade_log"]:
|
||
peak = max(peak, t["portfolio"])
|
||
dd = (peak - t["portfolio"]) / peak * 100
|
||
max_dd = max(max_dd, dd)
|
||
print(f" 최대 낙폭: {-max_dd:>+13.2f}% ({-max_dd/100*BUDGET:>+,.0f}원)")
|
||
|
||
# 월별
|
||
print(f"\n── 월별 수익 ──────────────────────────────────────────")
|
||
print(f" {'월':^8} │ {'거래':>4} {'승률':>5} │ {'월수익(KRW)':>14} {'누적수익(KRW)':>15} {'예산':>14}")
|
||
print(f" {'─'*70}")
|
||
cum = 0.0
|
||
budget_now = float(BUDGET)
|
||
for ym, m in sorted(result["monthly"].items()):
|
||
wr = m["wins"] / m["trades"] * 100 if m["trades"] else 0
|
||
cum += m["pnl_krw"]
|
||
budget_now = max(BUDGET + cum, MIN_BUDGET)
|
||
print(f" {ym:^8} │ {m['trades']:>4}건 {wr:>4.0f}% │ "
|
||
f"{m['pnl_krw']:>+14,.0f}원 {cum:>+14,.0f}원 {budget_now:>13,.0f}원")
|
||
|
||
# 종목별
|
||
print(f"\n── 종목별 기여 ({len(use20)}종목) ──────────────────────────")
|
||
print(f" {'종목':<14} │ {'거래':>4} {'승률':>5} │ {'KRW수익':>14} {'평균/건':>10}")
|
||
print(f" {'─'*58}")
|
||
stats: dict = {}
|
||
for t in result["trade_log"]:
|
||
k = t["ticker"]
|
||
if k not in stats:
|
||
stats[k] = {"n": 0, "wins": 0, "krw": 0.0}
|
||
stats[k]["n"] += 1
|
||
stats[k]["wins"] += int(t["is_win"])
|
||
stats[k]["krw"] += t["krw_profit"]
|
||
for t, s in sorted(stats.items(), key=lambda x: -x[1]["krw"]):
|
||
wr = s["wins"] / s["n"] * 100 if s["n"] else 0
|
||
avg = s["krw"] / s["n"] if s["n"] else 0
|
||
print(f" {t:<14} │ {s['n']:>4}건 {wr:>4.0f}% │ "
|
||
f"{s['krw']:>+14,.0f}원 {avg:>+9,.0f}원/건")
|
||
|
||
|
||
if __name__ == "__main__":
|
||
main()
|