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upbit-trader/archive/tests/sim_3bar.py
joungmin 6e0c4508fa refactor: MVC 구조 분리 + 미사용 파일 archive 정리 
- 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>
2026-03-06 20:46:47 +09:00

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"""3봉 vol가속 시그널 + 다양한 청산 전략 비교 시뮬 (30일)."""
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)
# ── 3봉 시그널 SQL ─────────────────────────────────────────────────────────────
SIGNAL_SQL_3BAR = 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}
-- 3봉 연속 양봉
AND close_p>open_p AND pc1>po1 AND pc2>po2
-- 3봉 연속 가격 가속
AND close_p>pc1 AND pc1>pc2
-- 3봉 연속 볼륨 가속
AND vr0>vr1 AND vr1>vr2
ORDER BY ticker, ts
"""
# ── 4봉 시그널 SQL (비교용) ────────────────────────────────────────────────────
SIGNAL_SQL_4BAR = 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,
LAG(close_p,3) OVER (PARTITION BY ticker ORDER BY ts) pc3,
LAG(open_p,3) OVER (PARTITION BY ticker ORDER BY ts) po3,
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,
LAG(volume_p,3) 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) vr3,
pc1,po1,pc2,po2,pc3,po3,
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 pc3>po3
AND close_p>pc1 AND pc1>pc2 AND pc2>pc3
AND vr0>vr1 AND vr1>vr2 AND vr2>vr3
ORDER BY ticker, ts
"""
def fetch_signals(cur, sql, warmup_since, check_since):
cur.execute(sql, {'ws': warmup_since, 'cs': check_since})
rows = cur.fetchall()
signals = []
for row in rows:
ticker, sig_ts, vr0, vr1, vr2, atr_raw = row[:6]
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]
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 함수들 ───────────────────────────────────────────────────────────
def sim_trail(bars, ep, ar):
stop = max(ATR_MIN_R, min(ATR_MAX_R, ar * ATR_MULT)) if ar > 0 else ATR_MAX_R
peak = ep
for i, (ts, cp, hp, lp) in enumerate(bars):
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_tp_trail(bars, ep, ar, tp_r):
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=f'익절+{tp_r*100:.0f}%', 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_tp_sl(bars, ep, tp_r, sl_r):
tp = ep * (1 + tp_r)
sl = ep * (1 - sl_r)
for i, (ts, cp, hp, lp) in enumerate(bars):
if lp <= sl:
return dict(status=f'손절-{sl_r*100:.0f}%', exit_ts=ts, exit_price=sl,
pnl=-sl_r * 100, held=i + 1)
if hp >= tp:
return dict(status=f'익절+{tp_r*100:.0f}%', exit_ts=ts, exit_price=tp,
pnl=tp_r * 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 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 run_strategies(signals, strategies):
results = {}
for label, mode, tp_r, sl_r in strategies:
sim = []
for s in signals:
if mode == 'trail':
r = sim_trail(s['bars'], s['entry_price'], s['atr_raw'])
elif mode == 'tp_trail':
r = sim_tp_trail(s['bars'], s['entry_price'], s['atr_raw'], tp_r)
else:
r = sim_tp_sl(s['bars'], s['entry_price'], tp_r, sl_r)
sim.append({**s, **r})
taken, _ = pos_limit(sim)
results[label] = taken
return results
def print_table(title, results, strategies):
print(f"\n{'━'*105}")
print(f" {title}")
print(f"{'━'*105}")
print(f" {'전략':32s} {'거래':>3s} {'승률':>4s} {'합산손익':>12s} {'수익률':>5s} {'평균보유':>5s} {'손익비':>5s}")
print(f"{'─'*105}")
for label, _, _, _ in strategies:
taken = results.get(label, [])
n = len(taken)
if n == 0:
print(f" {label:32s} 거래없음")
continue
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
rr = avg_w / avg_l
print(f" {label:32s} {n:>3d}건 {wins/n*100:>4.0f}% {total:>+12,.0f}원 "
f"{ret:>+5.2f}% {avg_h:>5.0f}봉 {rr:>4.1f}:1")
print(f"{'━'*105}")
def print_detail(label, taken):
print(f"\n[{label} 건별 상세]")
print(f"{'─'*105}")
for i, r in enumerate(taken, 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"→ {r['status']:14s} {r['held']:3d}봉 {r['pnl']:>+.2f}% ({krw:>+,.0f}원)")
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 vs 4봉 진입 비교 시뮬 ===")
print(f"기간: {check_since[:10]} ~ {now.strftime('%Y-%m-%d')} (30일)")
print(f"VOL≥{VOL_MIN}x | 자본 {BUDGET//10000}만원 / 포지션 {PER_POS//10000}만원 / 동시 {MAX_POS}개\n")
# 시그널 수집
print("3봉 시그널 수집 중...", flush=True)
sigs_3 = fetch_signals(cur, SIGNAL_SQL_3BAR, warmup_since, check_since)
print("4봉 시그널 수집 중...", flush=True)
sigs_4 = fetch_signals(cur, SIGNAL_SQL_4BAR, warmup_since, check_since)
print(f" → 3봉: {len(sigs_3)}건 / 4봉: {len(sigs_4)}건\n")
strategies = [
('TP 3% + Trail Stop [3~5%]', 'tp_trail', 0.03, None ),
('TP 2% + Trail Stop [3~5%]', 'tp_trail', 0.02, None ),
('TP 2% + SL 2%', 'tp_sl', 0.02, 0.02 ),
('TP 2% + SL 3%', 'tp_sl', 0.02, 0.03 ),
('TP 3% + SL 2%', 'tp_sl', 0.03, 0.02 ),
('TP 3% + SL 3%', 'tp_sl', 0.03, 0.03 ),
]
res_3 = run_strategies(sigs_3, strategies)
res_4 = run_strategies(sigs_4, strategies)
print_table(f"【3봉 진입】 시그널 {len(sigs_3)}건", res_3, strategies)
print_table(f"【4봉 진입】 시그널 {len(sigs_4)}건", res_4, strategies)
# 3봉에서 가장 나은 전략 상세
best_label = max(res_3, key=lambda k: sum(
PER_POS * (r['pnl'] / 100) - PER_POS * FEE * 2 for r in res_3[k]))
print_detail(f"3봉 최적: {best_label}", res_3[best_label])
conn.close()
if __name__ == '__main__':
main()
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