feat(spot): fractal_swing live 운영 — 슬리피지·증분 sync·신호 tail 갱신
운영 백테스트(+1,873,140%)과 live/paper 체결 규칙을 맞추고, 캔들 증분 sync· tail 신호 갱신·일일 체결 상한·슬리피지를 반영한다. docs/live 차트 생성 스크립트와 .env.example·README를 갱신한다. Co-authored-by: Cursor <cursoragent@cursor.com>
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xavis
135
scripts/3_render_live_chart.py
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135
scripts/3_render_live_chart.py
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#!/usr/bin/env python3
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"""3단계: 운영 백테스트(+1,873,140%) 매수·매도 타점 HTML 차트 생성."""
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from __future__ import annotations
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import argparse
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import logging
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import sys
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from pathlib import Path
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ROOT = Path(__file__).resolve().parents[1]
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SRC = ROOT / "src"
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if str(SRC) not in sys.path:
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sys.path.insert(0, str(SRC))
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from deepcoin.config import load_settings
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from deepcoin.operations.chart import render_ops_live_chart
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def _configure_logging(verbose: bool) -> None:
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level = logging.DEBUG if verbose else logging.INFO
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logging.basicConfig(
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level=level,
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format="%(asctime)s [%(levelname)s] %(message)s",
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datefmt="%Y-%m-%d %H:%M:%S",
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)
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def _write_index_html(
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index_path: Path,
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chart_name: str,
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report: dict,
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) -> Path:
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"""docs/live 인덱스 HTML을 생성한다."""
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sim = report["filtered_sim"]
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ret = sim.get("total_return_pct", 0)
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index_path.parent.mkdir(parents=True, exist_ok=True)
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html = f"""<!DOCTYPE html>
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<html lang="ko">
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<head>
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<meta charset="UTF-8">
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<title>DeepCoin Live — 운영 백테스트 차트</title>
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<style>
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body {{ font-family: "Malgun Gothic", Arial, sans-serif; margin: 32px; color: #333; background: #f5f5f5; }}
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h1 {{ font-size: 22px; margin-bottom: 8px; }}
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.meta {{ color: #666; font-size: 14px; margin-bottom: 20px; line-height: 1.6; }}
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.card {{ background: #fff; border: 1px solid #ddd; border-radius: 4px; padding: 20px 24px; max-width: 720px; }}
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.stat {{ font-size: 28px; font-weight: bold; color: #2e7d32; margin: 8px 0 16px; }}
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a {{ color: #1565c0; text-decoration: none; font-size: 16px; }}
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a:hover {{ text-decoration: underline; }}
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ul {{ margin: 12px 0 0; padding-left: 20px; font-size: 14px; color: #555; }}
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</style>
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</head>
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<body>
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<h1>DeepCoin Live — 운영 백테스트</h1>
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<p class="meta">
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{report.get("symbol", "BTC")} · {report.get("technique_name", "")} ({report.get("technique_id", "")})<br>
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sim 기간: 최근 {report.get("sim_lookback_days", 1095)}일 ·
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슬리피지 {report.get("slippage_rate", 0) * 100:.2f}% ·
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일 체결 상한 {report.get("daily_max_trades", "-")} ·
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MTF {"on" if report.get("mtf_enabled") else "off"}
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</p>
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<div class="card">
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<div>3년 수익률 (운영 규칙 sim)</div>
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<div class="stat">{ret:+.2f}%</div>
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<p>
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<a href="{chart_name}">매수·매도 타점 차트 열기</a>
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</p>
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<ul>
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<li>매수 {sim.get("buys_executed", 0):,} / 매도 {sim.get("sells_executed", 0):,} 체결</li>
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<li>초기 {sim.get("initial_cash_krw", 0):,.0f}원 → 최종 {sim.get("final_equity_krw", 0):,.0f}원</li>
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<li>차트: B=매수 S=매도 마커, 이전/다음 타점 탐색, 기간 줌</li>
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</ul>
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</div>
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</body>
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</html>"""
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index_path.write_text(html, encoding="utf-8")
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return index_path
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def main() -> int:
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"""CLI 진입점."""
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parser = argparse.ArgumentParser(
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description="운영 백테스트 매수·매도 타점 HTML 차트 (docs/live)",
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)
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parser.add_argument(
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"-o",
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"--output",
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type=str,
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default=None,
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help="HTML 출력 경로 (기본: docs/live/{technique}_ops_chart.html)",
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)
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parser.add_argument(
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"--chart-days",
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type=int,
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default=None,
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help="차트 캔들 표시 일수 (기본: GT_SIM_LOOKBACK_DAYS)",
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)
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parser.add_argument("-v", "--verbose", action="store_true")
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args = parser.parse_args()
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_configure_logging(args.verbose)
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settings = load_settings()
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live_dir = ROOT / "docs" / "live"
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default_name = f"{settings.ops_technique_id}_ops_chart.html"
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output_path = Path(args.output) if args.output else live_dir / default_name
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if not output_path.is_absolute():
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output_path = ROOT / output_path
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print("\n=== 운영 백테스트 차트 생성 ===", flush=True)
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print(
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f"기법: {settings.ops_technique_id} · 슬리피지 {settings.ops_slippage_rate} · "
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f"일 상한 {settings.ops_daily_max_trades}",
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flush=True,
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)
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chart_path, report = render_ops_live_chart(
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settings,
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output_path,
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chart_lookback_days=args.chart_days,
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)
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data_js = chart_path.with_name(f"{chart_path.stem}_data.js")
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index_path = _write_index_html(live_dir / "index.html", chart_path.name, report)
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sim = report["filtered_sim"]
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print(f"\n3년 수익률: {sim.get('total_return_pct'):+.2f}%")
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print(f"매수/매도: {sim.get('buys_executed')}/{sim.get('sells_executed')}")
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print(f"HTML: {chart_path}")
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print(f"데이터: {data_js} ({data_js.stat().st_size / 1e6:.1f} MB)")
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print(f"인덱스: {index_path}")
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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@@ -43,6 +43,7 @@ def main() -> int:
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raw = report["raw_sim"]
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print("\n=== 3단계 MTF 필터 백테스트 ===")
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print(f"기법: {report['technique_id']}")
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print(f"슬리피지: {report.get('slippage_rate')} · 일일체결상한: {report.get('daily_max_trades')}")
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print(f"원시 신호: {report['raw_signal_count']} → 필터 통과: {report['filtered_signal_count']}")
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print(f"원시 3년 sim: {raw.get('total_return_pct')}%")
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print(f"필터 3년 sim: {filt.get('total_return_pct')}%")
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12
scripts/3_run_fractal_ops.sh
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scripts/3_run_fractal_ops.sh
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#!/usr/bin/env bash
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# fractal_swing paper 운영 — 3분봉 tick (180초 간격)
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set -euo pipefail
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cd "$(dirname "$0")/.."
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export PYTHONPATH=src
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echo "=== fractal 현실적 백테스트 ==="
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python scripts/3_run_fractal_realistic_backtest.py
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echo ""
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echo "=== paper 운영 (180초 loop) — Ctrl+C 종료 ==="
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python scripts/3_run_operations.py --loop 180
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scripts/3_run_fractal_realistic_backtest.py
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scripts/3_run_fractal_realistic_backtest.py
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#!/usr/bin/env python3
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"""fractal_swing 현실적 백테스트 — 슬리피지·일일체결 상한 시나리오."""
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from __future__ import annotations
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import argparse
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import json
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import logging
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import sys
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from pathlib import Path
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ROOT = Path(__file__).resolve().parents[1]
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SRC = ROOT / "src"
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if str(SRC) not in sys.path:
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sys.path.insert(0, str(SRC))
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from deepcoin.config import load_settings
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from deepcoin.evaluation.causal_sim import normalize_signals_for_sim
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from deepcoin.ground_truth.pnl import simulate_gt_signals_pnl
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from deepcoin.operations.signal_pipeline import (
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_signals_in_lookback,
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generate_raw_signals,
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load_ops_candles,
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)
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def _configure_logging(verbose: bool) -> None:
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level = logging.DEBUG if verbose else logging.INFO
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logging.basicConfig(
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level=level,
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format="%(asctime)s [%(levelname)s] %(message)s",
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datefmt="%Y-%m-%d %H:%M:%S",
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)
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def main() -> int:
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"""fractal_swing 슬리피지 시나리오 백테스트."""
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parser = argparse.ArgumentParser(description="fractal_swing 현실적 3년 백테스트")
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parser.add_argument("-v", "--verbose", action="store_true")
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args = parser.parse_args()
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_configure_logging(args.verbose)
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settings = load_settings()
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df = load_ops_candles(settings)
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gen = generate_raw_signals(settings, df=df, use_cache=True)
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end = gen["data_end"]
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price = gen["last_price"]
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scoped = _signals_in_lookback(gen["raw_signals"], end, settings.gt_sim_lookback_days)
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normalized = normalize_signals_for_sim(scoped)
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scenarios = [
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{"label": "stage2_ideal", "slippage_rate": 0.0, "daily_max_trades": None},
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{"label": "ops_default", "slippage_rate": settings.ops_slippage_rate, "daily_max_trades": settings.ops_daily_max_trades},
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{"label": "slippage_0.1pct", "slippage_rate": 0.001, "daily_max_trades": settings.ops_daily_max_trades},
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{"label": "slippage_0.1pct_no_cap", "slippage_rate": 0.001, "daily_max_trades": None},
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]
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rows = []
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for sc in scenarios:
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sim = simulate_gt_signals_pnl(
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signals=normalized,
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initial_cash_krw=settings.gt_initial_cash_krw,
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fee_rate=settings.gt_trading_fee_rate,
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min_order_krw=settings.ops_min_order_krw,
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slippage_rate=sc["slippage_rate"],
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daily_max_trades=sc["daily_max_trades"],
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sim_lookback_days=settings.gt_sim_lookback_days,
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data_end=end,
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last_mark_price=price,
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)
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buys = sim["buys_executed"]
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rows.append({
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**sc,
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"return_pct": sim["total_return_pct"],
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"final_equity_krw": sim["final_equity_krw"],
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"buys_executed": buys,
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"sells_executed": sim["sells_executed"],
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"buys_skipped": sim["buys_skipped"],
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"daily_buys_avg": round(buys / settings.gt_sim_lookback_days, 2),
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})
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report = {
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"technique_id": settings.ops_technique_id,
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"symbol": settings.symbol,
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"sim_lookback_days": settings.gt_sim_lookback_days,
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"initial_cash_krw": settings.gt_initial_cash_krw,
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"signals_in_period": len(scoped),
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"scenarios": rows,
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}
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out = Path("docs/spot/3_operations/fractal_realistic_backtest.json")
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out.parent.mkdir(parents=True, exist_ok=True)
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out.write_text(json.dumps(report, ensure_ascii=False, indent=2), encoding="utf-8")
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print("\n=== fractal_swing 현실적 백테스트 (3년) ===")
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for row in rows:
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print(
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f"{row['label']}: {row['return_pct']}% "
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f"(슬리피지 {row['slippage_rate']}, 일상한 {row['daily_max_trades']}) "
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f"매수 {row['buys_executed']} (일 {row['daily_buys_avg']})"
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)
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print(f"\nJSON: {out}")
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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