upbit-trader/wf_cmp2.py

"""WF 윈도우 비교 시뮬레이션 v2 - 실거래 + 이후 시뮬 거래 통합.

Phase 1: 실제 42건 거래를 WF 설정별로 허용/차단 재생
Phase 2: 마지막 실거래 이후 price_history 기반 신호로 추가 거래 시뮬
          (추세 2h+5% + 15분 워치리스트, 모멘텀은 API 한계로 생략)
          → WF 상태는 Phase1에서 이어짐

비교 설정:
  A: WF=2 (min_wr=0.0, 즉 2연패시만 차단 — last2=[L,L]이면 차단)
  B: WF=3 (min_wr=0.34)
  C: WF=5 현행 (min_wr=0.40)
  D: WF 없음
"""

import os, time
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
TREND_MIN_PCT     = 5.0
CONFIRM_MINUTES   = 15
FEE               = 0.0005

def get_conn():
    return oracledb.connect(
        user=os.getenv('ORACLE_USER'), password=os.getenv('ORACLE_PASSWORD'),
        dsn=os.getenv('ORACLE_DSN'), config_dir=os.getenv('ORACLE_WALLET'))

# ── WF 판단 ───────────────────────────────────────────
def is_wf_blocked(hist, window, min_wr):
    if window == 0: return False
    if len(hist) < window: return False
    wr = sum(hist[-window:]) / window
    return wr < min_wr

# ── 추세 체크 (price_history 기반) ────────────────────
def check_trend(prices, idx):
    lb = 12  # 2h = 12 * 10분봉
    if idx < lb: return False
    curr, past = prices[idx][0], prices[idx-lb][0]
    return past > 0 and (curr-past)/past*100 >= TREND_MIN_PCT

# ── 포지션 시뮬 ───────────────────────────────────────
def simulate_pos(prices, buy_idx, buy_price):
    buy_dt = prices[buy_idx][1]
    peak = buy_price
    for price, ts in prices[buy_idx+1:]:
        if price > peak: peak = price
        elapsed_h = (ts - buy_dt).total_seconds() / 3600
        pnl = (price - buy_price) / buy_price
        if (peak - price) / peak >= STOP_LOSS_PCT:
            net = (price*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
            return net>0, price, ts, f"트레일링({pnl*100:+.1f}%)", net
        if elapsed_h >= TIME_STOP_HOURS and pnl < TIME_STOP_MIN_PCT:
            net = (price*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
            return net>0, price, ts, "타임스탑", net
    lp, lt = prices[-1]
    net = (lp*(1-FEE) - buy_price*(1+FEE)) / (buy_price*(1+FEE)) * 100
    return net>0, lp, lt, "데이터종료", net

# ── Phase1: 실거래 재생 ───────────────────────────────
def phase1(real_trades, window, min_wr):
    """42건 실거래 재생. Returns (허용목록, 차단목록, history_per_ticker)"""
    history = {}
    allowed = []
    blocked = []
    for t in real_trades:
        ticker, is_win, pnl, profit, dt = t
        hist = history.get(ticker, [])
        if is_wf_blocked(hist, window, min_wr):
            blocked.append(('block', ticker, is_win, pnl, profit, dt))
        else:
            allowed.append(('real', ticker, is_win, pnl, profit, dt))
            hist = hist + [bool(is_win)]
            if window > 0 and len(hist) > window * 2:
                hist = hist[-window:]
            history[ticker] = hist
    return allowed, blocked, history

# ── Phase2: price_history 신호 시뮬 ──────────────────
def phase2(cur, history, real_last_dt, window, min_wr):
    """실거래 종료 이후 price_history 기반 신호 시뮬레이션."""
    # 스캔 대상: 실거래에 등장한 종목 전체
    tickers = list(history.keys()) if history else []

    # 실거래 후 WF 해제 가능한 종목만
    # (차단됐어도 shadow 없이는 해제 불가 → 차단 상태 종목 제외)
    active_tickers = []
    for ticker in tickers:
        hist = history.get(ticker, [])
        if not is_wf_blocked(hist, window, min_wr):
            active_tickers.append(ticker)

    if not active_tickers:
        return [], history

    sim_trades = []
    for ticker in active_tickers:
        cur.execute("""
            SELECT price, recorded_at FROM price_history
            WHERE ticker=:t AND recorded_at > :dt
            ORDER BY recorded_at
        """, t=ticker, dt=real_last_dt)
        prices = cur.fetchall()
        if len(prices) < 13: continue

        hist = list(history.get(ticker, []))
        watchlist_dt = None
        in_pos = False
        buy_idx = buy_price = None
        idx = 0

        while idx < len(prices):
            price, dt = prices[idx]

            if in_pos:
                is_win, sp, sdt, reason, pnl = simulate_pos(prices, buy_idx, buy_price)
                next_idx = next((i for i,(_, ts) in enumerate(prices) if ts > sdt), len(prices))
                profit = pnl * 3333333 / 100  # 포지션당 예산 기준 근사
                sim_trades.append(('sim', ticker, is_win, pnl, profit, dt))
                hist = hist + [bool(is_win)]
                if window > 0 and len(hist) > window * 2:
                    hist = hist[-window:]
                history[ticker] = hist
                in_pos = False
                watchlist_dt = None
                idx = next_idx
                continue

            if is_wf_blocked(hist, window, min_wr):
                idx += 1
                continue

            trend_ok = check_trend(prices, idx)
            if trend_ok:
                if watchlist_dt is None:
                    watchlist_dt = dt
                elif (dt - watchlist_dt).total_seconds() >= CONFIRM_MINUTES * 60:
                    in_pos = True
                    buy_idx = idx
                    buy_price = price
                    watchlist_dt = None
            else:
                watchlist_dt = None
            idx += 1

    return sim_trades, history

# ── 요약 출력 ─────────────────────────────────────────
def print_summary(label, p1_allowed, p1_blocked, p2_trades):
    all_trades = p1_allowed + p2_trades
    total  = len(all_trades)
    wins   = sum(1 for t in all_trades if t[2])
    pnl    = sum(t[4] for t in all_trades)
    wr     = wins/total*100 if total else 0
    blk    = len(p1_blocked)
    p2_cnt = len(p2_trades)
    p2_win = sum(1 for t in p2_trades if t[2])
    print(f"\n[{label}]")
    print(f"  실거래 허용: {len(p1_allowed)}건 | 차단: {blk}건")
    print(f"  추가 시뮬:   {p2_cnt}건 ({p2_win}승)")
    print(f"  ─────────────────────────────────────")
    print(f"  합계: {total}건 | 승률={wr:.1f}% | KRW={pnl:+,.0f}원")
    return {'label': label, 'total': total, 'wins': wins, 'wr': wr, 'pnl': pnl,
            'blk': blk, 'p2': p2_cnt}

def main():
    conn = get_conn()
    cur  = conn.cursor()

    cur.execute("""
        SELECT ticker, is_win, pnl_pct, NVL(krw_profit,0), traded_at
        FROM trade_results ORDER BY traded_at
    """)
    real_trades = cur.fetchall()
    real_last_dt = real_trades[-1][4]
    print(f"실거래: {len(real_trades)}건 (마지막: {real_last_dt.strftime('%m-%d %H:%M')})")

    cur.execute("SELECT MAX(recorded_at) FROM price_history")
    ph_last = cur.fetchone()[0]
    print(f"price_history 끝: {ph_last.strftime('%m-%d %H:%M')}\n")

    configs = [
        (2, 0.01, "WF=2  (2연패→차단)"),
        (3, 0.34, "WF=3"),
        (5, 0.40, "WF=5  현행"),
        (0, 0.00, "WF없음"),
    ]

    summary = []
    for window, min_wr, label in configs:
        p1_allowed, p1_blocked, history = phase1(real_trades, window, min_wr)
        p2_trades, _ = phase2(cur, history, real_last_dt, window, min_wr)
        s = print_summary(label, p1_allowed, p1_blocked, p2_trades)
        summary.append(s)

    print(f"\n{'='*62}")
    print(f"{'설정':<22} {'허용':>5} {'차단':>5} {'추가시뮬':>8} {'승률':>7} {'KRW수익':>13}")
    print(f"{'─'*62}")
    for s in summary:
        print(f"{s['label']:<22} {s['total']-s['p2']:>5}건 {s['blk']:>5}건 "
              f"{s['p2']:>6}건  {s['wr']:>6.1f}%  {s['pnl']:>+12,.0f}원")

    conn.close()

if __name__ == "__main__":
    main()