upbit-trader/shadow_sim2.py

"""Shadow 재활 이후 실제 진입 성과 시뮬레이션."""

import os
from datetime import datetime
from dotenv import load_dotenv
load_dotenv()
import oracledb

STOP_LOSS_PCT     = float(os.getenv("STOP_LOSS_PCT", "1.5")) / 100
TIME_STOP_HOURS   = int(os.getenv("TIME_STOP_HOURS", "8"))
TIME_STOP_MIN_PCT = float(os.getenv("TIME_STOP_MIN_GAIN_PCT", "3")) / 100
FEE = 0.0005
REHABILITATE_WINS = 2


def get_price_series(cur, ticker, from_dt):
    cur.execute("""
        SELECT price, recorded_at FROM price_history
        WHERE ticker = :t AND recorded_at >= :dt
        ORDER BY recorded_at
    """, t=ticker, dt=from_dt)
    return cur.fetchall()


def simulate_one(prices, buy_price, buy_dt):
    """단일 포지션 시뮬레이션. Returns (is_win, sell_price, sell_dt, reason, pnl_pct)"""
    peak = buy_price
    for price, ts in prices:
        if price > peak:
            peak = price
        elapsed_h = (ts - buy_dt).total_seconds() / 3600
        pnl = (price - buy_price) / buy_price
        drop_from_peak = (peak - price) / peak
        if drop_from_peak >= STOP_LOSS_PCT:
            sell_pnl = (price*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
            return (sell_pnl > 0, price, ts, f"트레일링({pnl*100:+.1f}%)", sell_pnl)
        if elapsed_h >= TIME_STOP_HOURS and pnl < TIME_STOP_MIN_PCT:
            sell_pnl = (price*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
            return (sell_pnl > 0, price, ts, f"타임스탑({elapsed_h:.1f}h)", sell_pnl)
    last_price, last_ts = prices[-1]
    sell_pnl = (last_price*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
    return (sell_pnl > 0, last_price, last_ts, "데이터종료(보유중)", sell_pnl)


def run_shadow_then_real(cur, ticker, wf_trigger_dt):
    """shadow로 재활 후, 재활 시점 이후 실제 거래 성과 시뮬레이션."""
    prices = get_price_series(cur, ticker, wf_trigger_dt)
    if not prices:
        return None

    # 1단계: shadow로 재활 시점 찾기
    shadow_wins = 0
    cursor_idx = 0
    rehab_dt = None

    while cursor_idx < len(prices):
        buy_price, buy_dt = prices[cursor_idx]
        remaining = prices[cursor_idx + 1:]
        if not remaining:
            break

        is_win, sell_price, sell_dt, reason, pnl = simulate_one(remaining, buy_price, buy_dt)
        if is_win:
            shadow_wins += 1
        else:
            shadow_wins = 0

        if shadow_wins >= REHABILITATE_WINS:
            rehab_dt = sell_dt
            break

        next_idx = next((i for i, (_, ts) in enumerate(prices) if ts > sell_dt), None)
        if next_idx is None:
            break
        cursor_idx = next_idx

    if rehab_dt is None:
        return None  # 재활 실패

    # 2단계: 재활 이후 실제 거래 시뮬레이션
    print(f"\n  ★ WF 해제 시점: {rehab_dt.strftime('%m-%d %H:%M')}")
    print(f"  ─ 이후 실제 진입 시뮬레이션 ─")

    post_prices = get_price_series(cur, ticker, rehab_dt)
    if not post_prices:
        print("  → 재활 이후 가격 데이터 없음")
        return

    cursor_idx = 0
    trade_no = 0
    wins = 0
    total_pnl = 0.0

    while cursor_idx < len(post_prices):
        buy_price, buy_dt = post_prices[cursor_idx]
        remaining = post_prices[cursor_idx + 1:]
        if not remaining:
            break

        is_win, sell_price, sell_dt, reason, pnl = simulate_one(remaining, buy_price, buy_dt)
        trade_no += 1
        if is_win:
            wins += 1
        total_pnl += pnl

        mark = "✅" if is_win else "❌"
        print(f"  실제#{trade_no}: {buy_price:.4f}→{sell_price:.4f}원 | {mark} {pnl:+.2f}% | {reason} ({sell_dt.strftime('%m-%d %H:%M')})")

        next_idx = next((i for i, (_, ts) in enumerate(post_prices) if ts > sell_dt), None)
        if next_idx is None:
            break
        cursor_idx = next_idx

    if trade_no > 0:
        wr = wins / trade_no * 100
        print(f"\n  📊 재활 후 성과: {trade_no}건 중 {wins}승 | 승률={wr:.0f}% | 누적PnL={total_pnl:+.2f}%")
        return {'trades': trade_no, 'wins': wins, 'win_rate': wr, 'total_pnl': total_pnl}
    return None


def run():
    conn = oracledb.connect(
        user=os.getenv('ORACLE_USER'),
        password=os.getenv('ORACLE_PASSWORD'),
        dsn=os.getenv('ORACLE_DSN'),
        config_dir=os.getenv('ORACLE_WALLET')
    )
    cur = conn.cursor()

    results = {}
    for ticker in ['KRW-DKA', 'KRW-LAYER', 'KRW-SIGN']:
        cur.execute("""
            SELECT traded_at FROM trade_results
            WHERE ticker = :t ORDER BY traded_at
        """, t=ticker)
        rows = cur.fetchall()
        wf_trigger_dt = rows[4][0]

        print(f"\n{'='*60}")
        print(f"[{ticker}] WF차단 발동: {wf_trigger_dt.strftime('%m-%d %H:%M')}")
        r = run_shadow_then_real(cur, ticker, wf_trigger_dt)
        if r:
            results[ticker] = r

    print(f"\n{'='*60}")
    print("전체 요약")
    print(f"{'='*60}")
    for ticker, r in results.items():
        print(f"{ticker}: 재활 후 {r['trades']}건 | 승률={r['win_rate']:.0f}% | 누적={r['total_pnl']:+.2f}%")

    conn.close()


if __name__ == "__main__":
    run()