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>
361 lines
15 KiB
Python
361 lines
15 KiB
Python
"""최근 N일 볼륨 가속 시그널 확인 + ATR trail stop 시뮬레이션.
|
||
|
||
4봉 연속 가격+볼륨 가속 시그널 발생 후 실제 trail stop 로직을 돌려
|
||
진입가·청산가·PNL을 표시.
|
||
|
||
최적 파라미터 (sweep_volaccel 기준):
|
||
N봉=4, VOL≥5.0x, ATR_MULT=1.5, ATR_MIN=1.5%, ATR_MAX=2.0%
|
||
"""
|
||
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
|
||
|
||
# ── 파라미터 ──────────────────────────────────────────────────────────────────
|
||
VOL_LOOKBACK = 61
|
||
ATR_LOOKBACK = 28
|
||
LOOKBACK_DAYS = 3 # 오늘 기준 며칠 전까지 시그널 탐색
|
||
VOL_MIN_LIST = [8.0]
|
||
VOL_MIN = min(VOL_MIN_LIST)
|
||
|
||
# ATR 비교 목록: (MULT, MIN%, MAX%) — 타이트→여유 순
|
||
ATR_SCENARIOS = [
|
||
(1.0, 0.010, 0.020), # 타이트: 1.0×ATR, 1.0~2.0%
|
||
(1.5, 0.015, 0.025), # 기존최적: 1.5×ATR, 1.5~2.5%
|
||
(1.0, 0.020, 0.030), # 고정 2.0~3.0%
|
||
(1.0, 0.030, 0.050), # 느슨: 3.0~5.0%
|
||
]
|
||
ATR_MULT = ATR_SCENARIOS[0][0]
|
||
ATR_MIN_R = ATR_SCENARIOS[0][1]
|
||
ATR_MAX_R = ATR_SCENARIOS[0][2]
|
||
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)
|
||
|
||
# ── 시그널 SQL (4봉 가속 조건 전부 Oracle SQL에서 처리) ───────────────────────
|
||
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) prev_close_1,
|
||
LAG(open_p, 1) OVER (PARTITION BY ticker ORDER BY ts) prev_open_1,
|
||
LAG(volume_p, 1) OVER (PARTITION BY ticker ORDER BY ts) prev_vol_1,
|
||
LAG(close_p, 2) OVER (PARTITION BY ticker ORDER BY ts) prev_close_2,
|
||
LAG(open_p, 2) OVER (PARTITION BY ticker ORDER BY ts) prev_open_2,
|
||
LAG(volume_p, 2) OVER (PARTITION BY ticker ORDER BY ts) prev_vol_2,
|
||
LAG(close_p, 3) OVER (PARTITION BY ticker ORDER BY ts) prev_close_3,
|
||
LAG(open_p, 3) OVER (PARTITION BY ticker ORDER BY ts) prev_open_3,
|
||
LAG(volume_p, 3) OVER (PARTITION BY ticker ORDER BY ts) prev_vol_3,
|
||
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(:warmup_since, 'YYYY-MM-DD HH24:MI:SS')
|
||
AND ticker IN ({_TK})
|
||
),
|
||
indicators AS (
|
||
SELECT ticker, ts, open_p, close_p,
|
||
volume_p / NULLIF(
|
||
AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
|
||
ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
|
||
) vr0,
|
||
prev_vol_1 / NULLIF(
|
||
AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
|
||
ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
|
||
) vr1,
|
||
prev_vol_2 / NULLIF(
|
||
AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
|
||
ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
|
||
) vr2,
|
||
prev_vol_3 / NULLIF(
|
||
AVG(volume_p) OVER (PARTITION BY ticker ORDER BY ts
|
||
ROWS BETWEEN {VOL_LOOKBACK} PRECEDING AND 2 PRECEDING), 0
|
||
) vr3,
|
||
prev_close_1, prev_open_1,
|
||
prev_close_2, prev_open_2,
|
||
prev_close_3, prev_open_3,
|
||
AVG(tr) OVER (PARTITION BY ticker ORDER BY ts
|
||
ROWS BETWEEN {ATR_LOOKBACK} PRECEDING AND 1 PRECEDING)
|
||
/ NULLIF(prev_close_1, 0) atr_raw
|
||
FROM base
|
||
)
|
||
SELECT ticker, ts sig_ts, close_p sig_price,
|
||
vr0, vr1, vr2, vr3, atr_raw,
|
||
prev_close_3, prev_close_2, prev_close_1, close_p
|
||
FROM indicators
|
||
WHERE ts >= TO_TIMESTAMP(:check_since, 'YYYY-MM-DD HH24:MI:SS')
|
||
AND vr0 >= :min_vol
|
||
-- 4봉 연속: 양봉
|
||
AND close_p > open_p
|
||
AND prev_close_1 > prev_open_1
|
||
AND prev_close_2 > prev_open_2
|
||
AND prev_close_3 > prev_open_3
|
||
-- 4봉 연속: 가격 가속
|
||
AND close_p > prev_close_1
|
||
AND prev_close_1 > prev_close_2
|
||
AND prev_close_2 > prev_close_3
|
||
-- 4봉 연속: 볼륨 가속
|
||
AND vr0 > vr1
|
||
AND vr1 > vr2
|
||
AND vr2 > vr3
|
||
ORDER BY ticker, ts
|
||
"""
|
||
|
||
|
||
def _get_conn():
|
||
kwargs = dict(user=os.environ["ORACLE_USER"],
|
||
password=os.environ["ORACLE_PASSWORD"],
|
||
dsn=os.environ["ORACLE_DSN"])
|
||
wallet = os.environ.get("ORACLE_WALLET")
|
||
if wallet:
|
||
kwargs["config_dir"] = wallet
|
||
return oracledb.connect(**kwargs)
|
||
|
||
|
||
def simulate_trail(cur, ticker: str, entry_ts, entry_price: float,
|
||
atr_raw: float,
|
||
mult: float = None, min_r: float = None, max_r: float = None) -> dict:
|
||
"""entry_ts 봉부터 trail stop 시뮬. 상세 결과 dict 반환."""
|
||
m = mult if mult is not None else ATR_MULT
|
||
n = min_r if min_r is not None else ATR_MIN_R
|
||
x = max_r if max_r is not None else ATR_MAX_R
|
||
ar = atr_raw if (atr_raw and atr_raw == atr_raw) else 0.0
|
||
atr_stop = max(n, min(x, ar * m)) if ar > 0 else x
|
||
|
||
cur.execute(
|
||
"""SELECT ts, close_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": entry_ts, "n": MAX_TRAIL_BARS + 1}
|
||
)
|
||
bars = cur.fetchall()
|
||
if not bars:
|
||
return dict(status="데이터없음", exit_ts=entry_ts, exit_price=entry_price,
|
||
peak=entry_price, peak_pct=0.0, pnl=0.0, atr_stop=atr_stop,
|
||
held_bars=0)
|
||
|
||
running_peak = entry_price
|
||
for i, (ts, close_p) in enumerate(bars):
|
||
close_p = float(close_p)
|
||
running_peak = max(running_peak, close_p)
|
||
drop = (running_peak - close_p) / running_peak if running_peak > 0 else 0.0
|
||
if drop >= atr_stop:
|
||
pnl = (close_p - entry_price) / entry_price * 100
|
||
peak_pct = (running_peak - entry_price) / entry_price * 100
|
||
return dict(status="손절", exit_ts=ts, exit_price=close_p,
|
||
peak=running_peak, peak_pct=peak_pct,
|
||
pnl=pnl, atr_stop=atr_stop, held_bars=i + 1)
|
||
|
||
last_ts, last_price = bars[-1][0], float(bars[-1][1])
|
||
pnl = (last_price - entry_price) / entry_price * 100
|
||
peak_pct = (running_peak - entry_price) / entry_price * 100
|
||
status = "타임아웃" if len(bars) >= MAX_TRAIL_BARS else "진행중"
|
||
return dict(status=status, exit_ts=last_ts, exit_price=last_price,
|
||
peak=running_peak, peak_pct=peak_pct,
|
||
pnl=pnl, atr_stop=atr_stop, held_bars=len(bars))
|
||
|
||
|
||
def apply_pos_limit(sim_results: list, vol_thr: float) -> tuple:
|
||
"""VOL 필터 + MAX_POS 동시 포지션 제한 적용. (taken, skipped) 반환."""
|
||
filtered = [r for r in sim_results if r['vr'][3] >= vol_thr]
|
||
open_positions = []
|
||
taken, skipped = [], []
|
||
for r in filtered:
|
||
open_positions = [ex for ex in open_positions if ex > r['entry_ts']]
|
||
if len(open_positions) < MAX_POS:
|
||
open_positions.append(r['exit_ts'])
|
||
taken.append(r)
|
||
else:
|
||
skipped.append(r)
|
||
return taken, skipped
|
||
|
||
|
||
def print_detail(vol_thr: float, taken: list, skipped: list):
|
||
div = "─" * 120
|
||
|
||
print(f"\n{'━'*120}")
|
||
print(f" 4봉 VOL≥{vol_thr:.0f}x | ATR={ATR_MULT}×[{ATR_MIN_R*100:.1f}~{ATR_MAX_R*100:.1f}%] "
|
||
f"| 자본 {BUDGET//10000}만원 / 포지션 {PER_POS//10000}만원 / 동시 {MAX_POS}개")
|
||
print(f"{'━'*120}\n")
|
||
|
||
total_krw, total_wins = 0.0, 0
|
||
|
||
for i, r in enumerate(taken, 1):
|
||
vr = r['vr']
|
||
entry_str = str(r['entry_ts'])[:16]
|
||
exit_str = str(r['exit_ts'])[:16]
|
||
krw = PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2
|
||
total_krw += krw
|
||
won = r['pnl'] > 0
|
||
if won:
|
||
total_wins += 1
|
||
|
||
pr = r['prices']
|
||
# 봉별 가격 변화율 (봉1→2, 2→3, 3→4)
|
||
pchg = [
|
||
(pr[1] - pr[0]) / pr[0] * 100 if pr[0] else 0,
|
||
(pr[2] - pr[1]) / pr[1] * 100 if pr[1] else 0,
|
||
(pr[3] - pr[2]) / pr[2] * 100 if pr[2] else 0,
|
||
]
|
||
|
||
sign = "▲" if won else "▼"
|
||
print(f" #{i:02d} {r['ticker']:12s} [{sign}]")
|
||
print(f" 가격흐름 {pr[0]:,.0f} → {pr[1]:,.0f} ({pchg[0]:+.2f}%)"
|
||
f" → {pr[2]:,.0f} ({pchg[1]:+.2f}%)"
|
||
f" → {pr[3]:,.0f} ({pchg[2]:+.2f}%)")
|
||
print(f" 볼륨흐름 {vr[0]:.1f}x → {vr[1]:.1f}x → {vr[2]:.1f}x → {vr[3]:.1f}x "
|
||
f"(ATR손절 {r['atr_stop']*100:.1f}%)")
|
||
print(f" 진입 {entry_str} @ {r['entry_price']:>13,.0f}원")
|
||
print(f" 고점 {r['peak']:>13,.0f}원 ({r['peak_pct']:>+.2f}%까지 상승)")
|
||
print(f" 청산 {exit_str} @ {r['exit_price']:>13,.0f}원"
|
||
f" ({r['status']}, {r['held_bars']}봉 보유)")
|
||
print(f" 손익 {r['pnl']:>+.2f}% → {krw:>+,.0f}원")
|
||
print()
|
||
|
||
if skipped:
|
||
print(f" ── 스킵 {len(skipped)}건 (포지션 한도 초과) ──")
|
||
for r in skipped:
|
||
vr = r['vr']
|
||
krw_if = PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2
|
||
print(f" SKIP {r['ticker']:12s} 진입 {str(r['entry_ts'])[:16]} "
|
||
f"vol {vr[3]:.1f}x → {r['pnl']:>+.2f}% ({krw_if:>+,.0f}원 기회손실)")
|
||
print()
|
||
|
||
n = len(taken)
|
||
win_rate = total_wins / n * 100 if n else 0
|
||
ret_rate = total_krw / BUDGET * 100
|
||
print(div)
|
||
print(f" ◆ 실거래 {n}건 | 승률 {win_rate:.0f}% ({total_wins}/{n}) | "
|
||
f"합산 {total_krw:>+,.0f}원 | 수익률 {ret_rate:>+.2f}%")
|
||
print(div)
|
||
|
||
|
||
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')
|
||
|
||
print(f"=== 4봉 볼륨 가속 시뮬 — VOL {VOL_MIN_LIST} 비교 ===")
|
||
print(f"ATR={ATR_MULT}×[{ATR_MIN_R*100:.1f}~{ATR_MAX_R*100:.1f}%], "
|
||
f"자본 {BUDGET/10000:.0f}만원 / 포지션당 {PER_POS/10000:.0f}만원 / 동시 {MAX_POS}개")
|
||
print(f"조회 기간: {check_since[:10]} ~ 현재\n")
|
||
|
||
conn = _get_conn()
|
||
cur = conn.cursor()
|
||
cur.arraysize = 10_000
|
||
|
||
# ── 1회 조회 (VOL_MIN = 가장 낮은 값) ────────────────────────────────────────
|
||
cur.execute(SIGNAL_SQL, {
|
||
"warmup_since": warmup_since,
|
||
"check_since": check_since,
|
||
"min_vol": VOL_MIN,
|
||
})
|
||
rows = cur.fetchall()
|
||
|
||
if not rows:
|
||
print(f"해당 기간 VOL>={VOL_MIN}x 4봉 가속 시그널 없음")
|
||
conn.close()
|
||
return
|
||
|
||
# 진입봉 조회
|
||
signals = []
|
||
for row in rows:
|
||
ticker, sig_ts, sig_price, vr0, vr1, vr2, vr3, atr_raw, \
|
||
p3, p2, p1, p0 = 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}
|
||
)
|
||
entry_row = cur.fetchone()
|
||
if not entry_row:
|
||
continue
|
||
entry_price, entry_ts = float(entry_row[0]), entry_row[1]
|
||
signals.append({
|
||
'ticker': ticker,
|
||
'sig_ts': sig_ts,
|
||
'entry_ts': entry_ts,
|
||
'entry_price': entry_price,
|
||
'vr': [float(x) if x else 0.0 for x in [vr3, vr2, vr1, vr0]],
|
||
'prices': [float(x) if x else 0.0 for x in [p3, p2, p1, p0]],
|
||
'atr_raw': float(atr_raw) if atr_raw else 0.0,
|
||
})
|
||
|
||
if not signals:
|
||
print("진입봉을 찾을 수 없음")
|
||
conn.close()
|
||
return
|
||
|
||
# ── trail stop 시뮬 — 시나리오별 ─────────────────────────────────────────────
|
||
signals.sort(key=lambda x: x['entry_ts'])
|
||
vol_thr = VOL_MIN_LIST[0]
|
||
|
||
# 각 시나리오에 맞는 bars를 재사용하기 위해 기본(가장 느슨한) 시나리오로 bars 캐시
|
||
# (atr_stop 달라도 bars 조회는 동일하므로 1회만 fetch)
|
||
print(f"시그널 {len(signals)}건 trail stop 시뮬 중 ({len(ATR_SCENARIOS)}가지 ATR 비교)...", flush=True)
|
||
|
||
# 시나리오별 결과 수집
|
||
scenario_results = []
|
||
for mult, min_r, max_r in ATR_SCENARIOS:
|
||
sim = []
|
||
for s in signals:
|
||
trail = simulate_trail(cur, s['ticker'], s['entry_ts'], s['entry_price'],
|
||
s['atr_raw'], mult=mult, min_r=min_r, max_r=max_r)
|
||
sim.append({**s, **trail})
|
||
taken, skipped = apply_pos_limit(sim, vol_thr)
|
||
scenario_results.append((mult, min_r, max_r, taken, skipped))
|
||
|
||
# ── 시나리오 요약 비교표 ──────────────────────────────────────────────────────
|
||
print(f"\n{'━'*95}")
|
||
print(f" {'ATR 설정':22s} {'거래':>4s} {'승률':>5s} {'합산손익':>12s} {'수익률':>6s} {'평균보유(분)':>10s}")
|
||
print(f"{'━'*95}")
|
||
best_krw = max(sum(PER_POS*(r['pnl']/100) - PER_POS*FEE*2 for r in taken)
|
||
for _, _, _, taken, _ in scenario_results)
|
||
for mult, min_r, max_r, taken, skipped in scenario_results:
|
||
n = len(taken)
|
||
if n == 0:
|
||
continue
|
||
wins = 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_held = sum(r['held_bars'] for r in taken) / n
|
||
ret = total / BUDGET * 100
|
||
label = f"{mult:.1f}×ATR [{min_r*100:.1f}~{max_r*100:.1f}%]"
|
||
star = " ★" if abs(total - best_krw) < 1 else ""
|
||
print(f" {label:22s} {n:>4d}건 {wins/n*100:>4.0f}% {total:>+12,.0f}원 {ret:>+5.2f}%"
|
||
f" {avg_held:>6.0f}봉{star}")
|
||
print(f"{'━'*95}")
|
||
|
||
# ── 최적 시나리오 건별 상세 출력 ─────────────────────────────────────────────
|
||
best_idx = max(range(len(scenario_results)),
|
||
key=lambda i: sum(PER_POS*(r['pnl']/100) - PER_POS*FEE*2
|
||
for r in scenario_results[i][3]))
|
||
bm, bn, bx, best_taken, best_skipped = scenario_results[best_idx]
|
||
print(f"\n[최적 시나리오 건별 상세: {bm:.1f}×ATR {bn*100:.1f}~{bx*100:.1f}%]")
|
||
print_detail(vol_thr, best_taken, best_skipped)
|
||
|
||
conn.close()
|
||
|
||
|
||
if __name__ == '__main__':
|
||
main()
|