upbit-trader/fng_adaptive_backtest.py

"""F&G 구간별 맞춤 파라미터 백테스트

핵심 가설:
  극공포 구간은 시장이 불안정 → 더 엄격한 진입 기준 필요
  탐욕 구간은 상승 모멘텀이 지속 → 다소 느슨한 기준도 가능

테스트 방식:
  각 F&G 구간마다 다른 파라미터 조합을 적용하고 성과 비교.
  구간별 최적 파라미터 도출 → 실제 전략에 반영

결과를 Oracle DB에 저장.
데이터: 1년치 1h 캔들 (배치 수집)
"""
from __future__ import annotations

import datetime
import json
import sys
import time
import urllib.request

import pandas as pd
import pyupbit
from dataclasses import dataclass

# ── DB 저장 ─────────────────────────────────────────────────
try:
    from backtest_db import ensure_tables, insert_run, insert_result, insert_trades_bulk
    DB_ENABLED = True
except Exception as e:
    print(f"  [DB 비활성화] {e}")
    DB_ENABLED = False

TICKERS = [
    "KRW-BTC", "KRW-ETH", "KRW-XRP", "KRW-SOL", "KRW-DOGE",
    "KRW-ADA", "KRW-DOT", "KRW-NEAR", "KRW-AVAX", "KRW-LINK",
    "KRW-SUI", "KRW-HBAR",
    "KRW-VIRTUAL", "KRW-SXP", "KRW-CFG", "KRW-HOLO",
    "KRW-KAVA", "KRW-KNC",
]

# ── F&G 구간별 파라미터 조합 ─────────────────────────────────
# (fng_lo, fng_hi, label, vol_mult, quiet_2h, sig_to_h, mom_thr, sig_cancel, trail_stop, time_h, time_min)
ADAPTIVE_CONFIGS = [
    # 기준선 (F&G 무관, 단일 파라미터)
    (None, None, "기준선(전체/현행파라미터)",   2.0, 2.0, 8, 3.0, 3.0, 0.015, 24, 3.0),

    # ── 극공포 (0~25) 구간 ── 엄격한 기준 ──
    # 극공포에서는 변동성 급증이 흔함 → 볼륨 기준 올리고, 모멘텀 강화
    (None, 25, "극공포/기준(2x vol+3%mom)",     2.0, 2.0, 8, 3.0, 3.0, 0.015, 24, 3.0),
    (None, 25, "극공포/엄격(3x vol+4%mom)",     3.0, 2.0, 8, 4.0, 3.0, 0.010, 24, 3.0),
    (None, 25, "극공포/매우엄격(3x+5%+1%스탑)", 3.0, 2.0, 6, 5.0, 3.0, 0.010, 24, 3.0),
    (None, 25, "극공포/넓은스탑(2x+3%+2%스탑)", 2.0, 2.0, 8, 3.0, 3.0, 0.020, 24, 3.0),
    (None, 25, "극공포/짧은신호(3x+4%+4h유효)", 3.0, 2.0, 4, 4.0, 3.0, 0.015, 24, 3.0),

    # ── 공포 (26~45) ── 중간 기준 ──
    (26, 45, "공포/기준(2x vol+3%mom)",          2.0, 2.0, 8, 3.0, 3.0, 0.015, 24, 3.0),
    (26, 45, "공포/약강화(2.5x vol+3.5%mom)",    2.5, 2.0, 8, 3.5, 3.0, 0.015, 24, 3.0),
    (26, 45, "공포/엄격(3x vol+4%mom)",          3.0, 2.0, 8, 4.0, 3.0, 0.010, 24, 3.0),

    # ── 중립 이상 (46~100) ── 완화된 기준 가능 ──
    (46, None, "중립이상/기준(2x vol+3%mom)",    2.0, 2.0, 8, 3.0, 3.0, 0.015, 24, 3.0),
    (46, None, "중립이상/완화(1.5x vol+2.5%mom)",1.5, 2.0, 8, 2.5, 3.0, 0.015, 24, 3.0),
    (46, None, "중립이상/엄격(2.5x+3.5%)",       2.5, 2.0, 8, 3.5, 3.0, 0.015, 24, 3.0),

    # ── 탐욕+ (56~100) ──
    (56, None, "탐욕이상/기준",                   2.0, 2.0, 8, 3.0, 3.0, 0.015, 24, 3.0),
    (56, None, "탐욕이상/완화(1.5x+2.5%)",        1.5, 2.0, 8, 2.5, 3.0, 0.015, 24, 3.0),
]


# ── 데이터 수집 ──────────────────────────────────────────────
def fetch_1y(ticker: str, total_days: int = 365) -> pd.DataFrame | None:
    all_dfs = []
    end = datetime.datetime.now()
    batch = 1440  # 60일치씩
    prev_oldest = None

    while True:
        df = pyupbit.get_ohlcv(
            ticker, interval="minute60", count=batch,
            to=end.strftime("%Y-%m-%d %H:%M:%S"),
        )
        if df is None or df.empty:
            break
        all_dfs.append(df)
        oldest = df.index[0]
        # 상장 초기 종목: oldest가 진전되지 않으면 더 이상 오래된 데이터 없음
        if prev_oldest is not None and oldest >= prev_oldest:
            break
        prev_oldest = oldest
        cutoff = datetime.datetime.now() - datetime.timedelta(days=total_days)
        if oldest <= cutoff:
            break
        end = oldest
        time.sleep(0.12)

    if not all_dfs:
        return None
    combined = pd.concat(all_dfs).sort_index()
    combined = combined[~combined.index.duplicated(keep="last")]
    cutoff = datetime.datetime.now() - datetime.timedelta(days=total_days)
    return combined[combined.index >= cutoff]


def load_fng() -> dict[str, int]:
    url = "https://api.alternative.me/fng/?limit=400&format=json"
    with urllib.request.urlopen(url, timeout=10) as r:
        data = json.loads(r.read())
    return {
        datetime.datetime.fromtimestamp(int(d["timestamp"])).strftime("%Y-%m-%d"):
        int(d["value"])
        for d in data["data"]
    }


def fng_val(fng_map, ts) -> int:
    return fng_map.get(ts.strftime("%Y-%m-%d"), 50)


# ── 시뮬레이션 ──────────────────────────────────────────────
@dataclass
class Trade:
    pnl:  float
    h:    int
    fng:  int
    exit: str


def simulate(
    df, fng_map,
    fng_lo=None, fng_hi=None,
    vol_mult=2.0, quiet_2h=2.0, sig_to_h=8,
    mom_thr=3.0, sig_cancel=3.0, trail_stop=0.015,
    time_h=24, time_min=3.0,
) -> list[Trade]:
    closes = df["close"].values
    vols   = df["volume"].values
    idx    = df.index
    trades: list[Trade] = []
    sig_px = sig_i = None
    pos_buy = pos_peak = pos_i = pos_fng = None

    for i in range(7, len(closes) - max(time_h + 4, 10)):
        if pos_buy is not None:
            cur = closes[i]
            if cur > pos_peak:
                pos_peak = cur
            if (pos_peak - cur) / pos_peak >= trail_stop:
                trades.append(Trade((cur - pos_buy) / pos_buy * 100,
                                    i - pos_i, pos_fng, "trail"))
                pos_buy = pos_peak = pos_i = pos_fng = sig_px = sig_i = None
                continue
            if i - pos_i >= time_h:
                pnl = (cur - pos_buy) / pos_buy * 100
                if pnl < time_min:
                    trades.append(Trade(pnl, i - pos_i, pos_fng, "time"))
                    pos_buy = pos_peak = pos_i = pos_fng = sig_px = sig_i = None
                    continue
            continue

        if sig_px is not None:
            if i - sig_i > sig_to_h:
                sig_px = sig_i = None
            elif (closes[i] - sig_px) / sig_px * 100 < -sig_cancel:
                sig_px = sig_i = None

        if sig_px is None:
            vol_avg = vols[i - 6:i - 1].mean()
            if vol_avg <= 0:
                continue
            if vols[i - 1] / vol_avg >= vol_mult:
                if abs(closes[i] - closes[i - 2]) / closes[i - 2] * 100 < quiet_2h:
                    sig_px = closes[i]
                    sig_i  = i
            continue

        fv = fng_val(fng_map, idx[i])
        if fng_lo is not None and fv < fng_lo:
            continue
        if fng_hi is not None and fv > fng_hi:
            continue

        if (closes[i] - sig_px) / sig_px * 100 >= mom_thr:
            pos_buy = pos_peak = closes[i]
            pos_i   = i
            pos_fng = fv
            sig_px  = sig_i = None

    return trades


def stats(trades):
    if not trades:
        return dict(n=0, wr=0, avg_pnl=0, total_pnl=0, rr=0,
                    avg_win=0, avg_loss=0, max_dd=0)
    wins   = [t for t in trades if t.pnl > 0]
    losses = [t for t in trades if t.pnl <= 0]
    aw = sum(t.pnl for t in wins)   / len(wins)   if wins   else 0
    al = sum(t.pnl for t in losses) / len(losses) if losses else 0
    cum = pk = max_dd = 0.0
    for t in trades:
        cum += t.pnl
        if cum > pk: pk = cum
        if pk - cum > max_dd: max_dd = pk - cum
    return dict(
        n=len(trades), wr=len(wins) / len(trades) * 100,
        avg_pnl=sum(t.pnl for t in trades) / len(trades),
        total_pnl=sum(t.pnl for t in trades),
        rr=abs(aw / al) if al else 0,
        avg_win=aw, avg_loss=al, max_dd=max_dd,
    )


def main():
    print("F&G 데이터 로드...")
    fng_map = load_fng()

    print(f"종목 1년치 데이터 수집 중 ({len(TICKERS)}개)...")
    datasets = {}
    for i, tk in enumerate(TICKERS):
        try:
            df = fetch_1y(tk, total_days=365)
            if df is not None and len(df) > 100:
                datasets[tk] = df
                sys.stderr.write(f"\r  {i+1}/{len(TICKERS)} {tk} ({len(df)}h)   ")
        except Exception as e:
            sys.stderr.write(f"\r  {tk} 실패: {e}   ")
    sys.stderr.write("\n")
    print(f"  완료: {len(datasets)}개 종목\n")

    # ── DB 준비 ───────────────────────────────────────────
    run_id = None
    if DB_ENABLED:
        ensure_tables()
        params = {
            "tickers": len(datasets),
            "days": 365,
            "candle": "1h",
            "stop": "trail+time",
        }
        run_id = insert_run(
            run_name="fng_adaptive_1y",
            description="F&G 구간별 맞춤 파라미터 1년 백테스트",
            params=params,
        )
        print(f"  DB run_id: {run_id}\n")

    # ── 결과 출력 ─────────────────────────────────────────
    print("=" * 92)
    print(" F&G 구간별 맞춤 파라미터 성과 비교 (1년치 / 1h 캔들)")
    print("=" * 92)
    print(f"  {'조건':<42} {'거래':>5}  {'승률':>6}  {'평균PnL':>8}  "
          f"{'손익비':>5}  {'총PnL':>9}  {'MaxDD':>7}")
    print("  " + "-" * 86)

    best_by_zone: dict[str, tuple] = {}

    for cfg in ADAPTIVE_CONFIGS:
        fng_lo, fng_hi, label, vol_mult, quiet_2h, sig_to_h, mom_thr, sig_cancel, trail_stop, time_h, time_min = cfg

        all_trades: list[Trade] = []
        per_ticker: dict[str, list[Trade]] = {}
        for tk, df in datasets.items():
            t = simulate(
                df, fng_map,
                fng_lo=fng_lo, fng_hi=fng_hi,
                vol_mult=vol_mult, quiet_2h=quiet_2h, sig_to_h=sig_to_h,
                mom_thr=mom_thr, sig_cancel=sig_cancel, trail_stop=trail_stop,
                time_h=time_h, time_min=time_min,
            )
            all_trades.extend(t)
            per_ticker[tk] = t

        s = stats(all_trades)

        # 구분선 (기준선 다음)
        if label == "극공포/기준(2x vol+3%mom)":
            print()

        if s["n"] == 0:
            print(f"  {label:<42}  거래 없음")
            continue

        marker = " ★" if s["avg_pnl"] > 0 else ""
        print(
            f"  {label:<42} {s['n']:>5}건  {s['wr']:>5.1f}%  "
            f"{s['avg_pnl']:>+7.3f}%  {s['rr']:>4.2f}  "
            f"{s['total_pnl']:>+8.1f}%  -{s['max_dd']:>5.1f}%{marker}"
        )

        # DB 저장
        if DB_ENABLED and run_id:
            insert_result(run_id, label, s, fng_lo, fng_hi)
            for tk, t_list in per_ticker.items():
                insert_trades_bulk(run_id, label, tk, t_list)

        # 구간별 최고 avg_pnl 추적
        zone_key = label.split("/")[0]
        if zone_key not in best_by_zone or s["avg_pnl"] > best_by_zone[zone_key][1]:
            best_by_zone[zone_key] = (label, s["avg_pnl"], s)

    # ── 구간별 최적 요약 ──────────────────────────────────
    print()
    print("  ★ 구간별 최적 파라미터:")
    print(f"  {'구간':<14} {'최적 조건':<42} {'거래':>5}  {'승률':>6}  {'평균PnL':>8}")
    print("  " + "-" * 72)
    for zone, (label, best_pnl, s) in best_by_zone.items():
        if s["n"] > 0:
            print(f"  {zone:<14} {label:<42} {s['n']:>5}건  {s['wr']:>5.1f}%  {best_pnl:>+7.3f}%")

    if DB_ENABLED and run_id:
        print(f"\n  [DB 저장 완료] run_id: {run_id}")


if __name__ == "__main__":
    main()