WLD DeepCoin 단계별 구조 재편 및 설정·문서 통합
로고스/루트 레거시를 제거하고 deepcoin 패키지·scripts 01~05 CLI·docs/reference로 데이터·GT·분석·매칭·운영 단계를 정리했다. config와 .env 기반 설정, trade_anaysis.html 동기화 포함. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
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deepcoin/ops/simulation.py
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595
deepcoin/ops/simulation.py
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"""
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WLD 볼린저 밴드 차트.
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python scripts/05_chart_bb.py
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python scripts/05_chart_truth.py
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python scripts/02_ground_truth.py
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"""
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from __future__ import annotations
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import sys
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import webbrowser
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from pathlib import Path
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import numpy as np
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import pandas as pd
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import plotly.graph_objs as go
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from plotly.subplots import make_subplots
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from config import (
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CHART_LOOKBACK_DAYS,
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COIN_NAME,
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DISPARITY_OVERBOUGHT,
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DISPARITY_OVERSOLD,
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DISPARITY_PERIODS,
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ENTRY_INTERVAL,
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GROUND_TRUTH_FILE,
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GT_INITIAL_CASH_KRW,
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GT_MARKER_SIZE_MAX,
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GT_MARKER_SIZE_MIN,
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MACD_FAST,
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MACD_SIGNAL,
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MACD_SLOW,
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STOCH_D_PERIOD,
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STOCH_K_PERIOD,
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SYMBOL,
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TRADING_FEE_RATE,
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TREND_INTERVAL_1D,
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TREND_INTERVAL_1H,
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)
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from deepcoin.common.indicators import apply_bar_indicators, disparity_column, get_trend
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from deepcoin.ops.monitor import Monitor
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from deepcoin.data.mtf_bb import interval_label, load_frames_from_db
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from deepcoin.paths import CHART_BB_HTML, CHART_TRUTH_HTML, resolve_ground_truth_file
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OUTPUT_HTML = CHART_BB_HTML
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TRUTH_HTML = CHART_TRUTH_HTML
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GROUND_TRUTH_PATH = resolve_ground_truth_file()
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REPORT_DIR = CHART_BB_HTML.parent
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def interval_chart_label(interval_min: int) -> str:
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"""차트 제목용 봉 라벨."""
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if interval_min >= 1440:
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return "일봉"
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return f"{interval_min}분봉"
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def _marker_sizes(trades: list[dict], action: str) -> list[float]:
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"""비중(weight, 0~1)에 비례한 삼각형 크기."""
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pts = [t for t in trades if t.get("action") == action]
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if not pts:
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return []
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lo, hi = float(GT_MARKER_SIZE_MIN), float(GT_MARKER_SIZE_MAX)
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return [
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lo + (hi - lo) * min(max(float(t.get("weight", 1.0)), 0.05), 1.0)
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for t in pts
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]
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def _add_truth_markers(fig, trades: list[dict], row: int = 1) -> None:
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"""정답 매수·매도 마커 (삼각형 크기 = 비중)."""
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for action, color, symbol, label in [
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("buy", "#16a34a", "triangle-up", "정답 매수"),
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("sell", "#dc2626", "triangle-down", "정답 매도"),
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]:
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pts = [t for t in trades if t.get("action") == action]
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if not pts:
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continue
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sizes = _marker_sizes(trades, action)
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fig.add_trace(
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go.Scatter(
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x=[pd.Timestamp(t["dt"]) for t in pts],
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y=[t["price"] for t in pts],
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mode="markers",
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name=label,
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legendgroup=label,
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marker=dict(
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symbol=symbol,
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size=sizes,
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sizemode="diameter",
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color=color,
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line=dict(width=1.5, color="#111"),
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),
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hovertext=[
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f"{label}<br>{t['dt'][:16]}<br>₩{t['price']:,.0f}"
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f"<br>비중 {float(t.get('weight', 1))*100:.0f}%"
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f"<br>{t.get('memo', '')}"
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for t in pts
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],
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hovertemplate="%{hovertext}<extra></extra>",
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),
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row=row,
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col=1,
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)
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def build_chart_html(
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df: pd.DataFrame,
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trend: str,
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interval_min: int = ENTRY_INTERVAL,
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note: str = "",
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truth_trades: list[dict] | None = None,
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title_suffix: str = "BB 차트",
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pnl_summary: dict | None = None,
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) -> str:
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"""BB·이격도·RSI·MACD·스토캐스틱·거래량 차트 HTML."""
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df = apply_bar_indicators(df.copy())
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iv_label = interval_chart_label(interval_min)
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close_last = float(df["Close"].iloc[-1])
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bb_pos = None
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if "bb_pos" in df.columns and pd.notna(df["bb_pos"].iloc[-1]):
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bb_pos = float(df["bb_pos"].iloc[-1])
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disp_title = "이격도 " + ",".join(str(p) for p in DISPARITY_PERIODS)
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fig = make_subplots(
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rows=6,
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cols=1,
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shared_xaxes=True,
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vertical_spacing=0.03,
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row_heights=[0.42, 0.11, 0.11, 0.11, 0.13, 0.12],
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subplot_titles=(
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f"{COIN_NAME} ({SYMBOL}) {iv_label}",
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disp_title,
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f"Stochastic ({STOCH_K_PERIOD},{STOCH_D_PERIOD})",
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"RSI (14)",
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f"MACD ({MACD_FAST},{MACD_SLOW},{MACD_SIGNAL})",
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"거래량",
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),
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)
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disp_colors = ("#0d9488", "#7c3aed", "#ca8a04")
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fig.add_trace(
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go.Candlestick(
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x=df.index,
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open=df["Open"],
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high=df["High"],
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low=df["Low"],
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close=df["Close"],
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name=f"{iv_label} 캔들",
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increasing_line_color="#ef4444",
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decreasing_line_color="#3b82f6",
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),
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row=1,
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col=1,
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)
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if "MA" in df.columns:
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["MA"],
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name="BB 중심",
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line=dict(color="#64748b", width=1, dash="dot"),
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),
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row=1,
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col=1,
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)
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if "Upper" in df.columns:
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["Upper"],
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name="BB 상단",
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line=dict(color="#94a3b8", width=1),
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),
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row=1,
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col=1,
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)
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if "Lower" in df.columns:
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["Lower"],
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name="BB 하단",
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line=dict(color="#94a3b8", width=1),
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),
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row=1,
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col=1,
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)
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if truth_trades:
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_add_truth_markers(fig, truth_trades, row=1)
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disp_row = 2
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for i, p in enumerate(DISPARITY_PERIODS):
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col = disparity_column(p)
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if col not in df.columns:
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continue
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color = disp_colors[i % len(disp_colors)]
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df[col],
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name=f"D.I. {p}",
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line=dict(color=color, width=1),
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),
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row=disp_row,
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col=1,
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)
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if any(disparity_column(p) in df.columns for p in DISPARITY_PERIODS):
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fig.add_hline(
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y=100, line_dash="solid", line_color="#64748b", row=disp_row, col=1
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)
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fig.add_hline(
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y=DISPARITY_OVERBOUGHT,
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line_dash="dot",
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line_color="#ef4444",
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row=disp_row,
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col=1,
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)
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fig.add_hline(
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y=DISPARITY_OVERSOLD,
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line_dash="dot",
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line_color="#16a34a",
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row=disp_row,
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col=1,
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)
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stoch_row = 3
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if "stoch_k" in df.columns:
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["stoch_k"],
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name="Stoch %K",
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line=dict(color="#0ea5e9", width=1),
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),
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row=stoch_row,
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col=1,
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)
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["stoch_d"],
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name="Stoch %D",
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line=dict(color="#f97316", width=1),
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),
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row=stoch_row,
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col=1,
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)
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fig.add_hline(y=80, line_dash="dot", line_color="#9ca3af", row=stoch_row, col=1)
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fig.add_hline(y=20, line_dash="dot", line_color="#9ca3af", row=stoch_row, col=1)
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rsi_row = 4
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if "RSI" in df.columns:
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["RSI"],
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name="RSI",
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line=dict(color="#7c3aed"),
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),
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row=rsi_row,
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col=1,
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)
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fig.add_hline(y=70, line_dash="dot", line_color="#9ca3af", row=rsi_row, col=1)
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fig.add_hline(y=30, line_dash="dot", line_color="#9ca3af", row=rsi_row, col=1)
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macd_row = 5
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vol_row = 6
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if "macd_hist" in df.columns:
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colors = np.where(df["macd_hist"].astype(float) >= 0, "#ef4444", "#3b82f6")
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fig.add_trace(
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go.Bar(
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x=df.index,
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y=df["macd_hist"],
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name="MACD Hist",
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marker_color=colors,
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),
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row=macd_row,
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col=1,
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)
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["macd_line"],
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name="MACD",
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line=dict(color="#2563eb", width=1),
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),
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row=macd_row,
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col=1,
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)
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fig.add_trace(
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go.Scatter(
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x=df.index,
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y=df["macd_signal"],
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name="Signal",
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line=dict(color="#ea580c", width=1, dash="dot"),
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),
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row=macd_row,
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col=1,
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)
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fig.add_trace(
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go.Bar(
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x=df.index,
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y=df["Volume"],
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name="Volume",
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marker_color="#cbd5e1",
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),
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row=vol_row,
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col=1,
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)
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fig.update_layout(
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height=1180,
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template="plotly_white",
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xaxis_rangeslider_visible=False,
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legend=dict(orientation="h", y=1.05, x=0),
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margin=dict(l=60, r=30, t=90, b=40),
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)
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fig.update_yaxes(title_text="가격 (KRW)", row=1, col=1)
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fig.update_yaxes(title_text="이격도", row=2, col=1)
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fig.update_yaxes(title_text="Stoch", row=3, col=1, range=[0, 100])
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fig.update_yaxes(title_text="RSI", row=4, col=1, range=[0, 100])
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fig.update_yaxes(title_text="MACD", row=5, col=1)
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chart_html = fig.to_html(full_html=False, include_plotlyjs="cdn")
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note_html = f"<p class='note'>{note}</p>" if note else ""
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bb_pos_txt = f"{bb_pos:.2f}" if bb_pos is not None else "-"
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pnl = pnl_summary or {}
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if truth_trades and not pnl:
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from deepcoin.ground_truth.ground_truth import simulate_truth_portfolio
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pnl = simulate_truth_portfolio(
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truth_trades,
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initial_cash=GT_INITIAL_CASH_KRW,
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fee_rate=TRADING_FEE_RATE,
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last_price=close_last,
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)
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trade_rows = ""
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if truth_trades:
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from deepcoin.ground_truth.ground_truth import simulate_truth_portfolio_steps
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steps = simulate_truth_portfolio_steps(
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truth_trades,
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initial_cash=GT_INITIAL_CASH_KRW,
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fee_rate=TRADING_FEE_RATE,
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)
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step_key = {
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(s["dt"], s["action"], float(s["price"]), float(s["weight"])): s
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for s in steps
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}
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sorted_trades = sorted(truth_trades, key=lambda x: x["dt"])
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trade_rows += f"""
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<tr class="initial-row">
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<td>시작</td>
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<td>-</td>
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<td>-</td>
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<td>-</td>
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<td><b>₩{GT_INITIAL_CASH_KRW:,.0f}</b></td>
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<td>초기 현금 (보유 0)</td>
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</tr>"""
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for t in sorted_trades:
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cls = "buy" if t["action"] == "buy" else "sell"
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mark = "매수" if t["action"] == "buy" else "매도"
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ret = t.get("forward_return_pct")
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ret_s = f" (+{ret}%)" if ret is not None else ""
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w = float(t.get("weight", 1.0))
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key = (t["dt"], t["action"], float(t["price"]), w)
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step = step_key.get(key)
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if step:
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total_s = f"₩{step['total_asset_krw']:,.0f}"
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hold_s = f" (현금 ₩{step['cash_krw']:,.0f} + 코인 {step['holding_qty']:,.2f}개)"
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else:
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total_s = "-"
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hold_s = ""
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trade_rows += f"""
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<tr>
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<td>{t['dt'][:16]}</td>
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<td class="{cls}">{mark}</td>
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<td>{w*100:.0f}%</td>
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<td>₩{t['price']:,.0f}{ret_s}</td>
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<td><b>{total_s}</b>{hold_s}</td>
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<td>{t.get('memo', '')}</td>
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</tr>"""
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trade_table = ""
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if truth_trades:
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if not trade_rows:
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trade_rows = "<tr><td colspan='6'>타점 없음</td></tr>"
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mark_note = ""
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if pnl.get("mark_price"):
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mark_note = (
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f" 상단 최종 자산은 미청산 포함 종가 ₩{pnl['mark_price']:,.0f} 평가."
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)
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trade_table = f"""
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<h2>정답 타점 (ground_truth)</h2>
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<p class="meta">삼각형 크기 = 비중. 매수: 저점 분할 / 매도: 고점 1~2회.
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총평가 = 체결 직후 현금 + 보유×체결가.{mark_note}</p>
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<table>
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<thead><tr><th>시각</th><th>구분</th><th>비중</th><th>가격</th><th>총 평가금액</th><th>해석</th></tr></thead>
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<tbody>{trade_rows}</tbody>
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</table>"""
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pnl_cards = ""
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if truth_trades and pnl.get("initial_cash_krw") is not None:
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pnl_cards = f"""
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<div class="card"><span>시작</span><b>₩{pnl['initial_cash_krw']:,.0f}</b></div>
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<div class="card"><span>최종 자산</span><b>₩{pnl['final_asset_krw']:,.0f}</b></div>
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<div class="card"><span>수익금</span><b>₩{pnl['pnl_krw']:+,.0f}</b></div>
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<div class="card"><span>수익률</span><b>{pnl['pnl_pct']:+.2f}%</b></div>
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<div class="card"><span>수수료</span><b>₩{pnl['total_fees_krw']:,.0f}</b></div>"""
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if pnl.get("holding_qty", 0) > 0:
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pnl_cards += f"""
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<div class="card"><span>미청산</span><b>{pnl['holding_qty']}개 (₩{pnl['holding_value_krw']:,.0f})</b></div>"""
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return 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>{SYMBOL} {title_suffix}</title>
|
||||
<style>
|
||||
body {{ font-family: "Malgun Gothic", Arial, sans-serif; margin: 24px; background: #f8fafc; }}
|
||||
h1 {{ font-size: 1.35rem; }}
|
||||
.meta {{ color: #475569; font-size: 0.9rem; }}
|
||||
.note {{ background: #f1f5f9; border: 1px solid #cbd5e1; padding: 10px; border-radius: 6px; color: #334155; }}
|
||||
.cards {{ display: flex; flex-wrap: wrap; gap: 10px; margin: 16px 0; }}
|
||||
.card {{ background: #fff; border: 1px solid #e2e8f0; border-radius: 8px; padding: 10px 14px; }}
|
||||
.card span {{ font-size: 0.75rem; color: #64748b; display: block; }}
|
||||
.card b {{ font-size: 1.05rem; }}
|
||||
.chart-wrap {{ background:#fff; border:1px solid #e2e8f0; border-radius:8px; padding:8px; }}
|
||||
.legend-box {{ font-size:0.85rem; color:#475569; margin-bottom:10px; }}
|
||||
table {{ width:100%; border-collapse:collapse; background:#fff; font-size:0.85rem; }}
|
||||
th, td {{ border:1px solid #e2e8f0; padding:8px; text-align:left; }}
|
||||
th {{ background:#f1f5f9; }}
|
||||
td.buy {{ color:#16a34a; font-weight:600; }}
|
||||
td.sell {{ color:#dc2626; font-weight:600; }}
|
||||
</style>
|
||||
</head>
|
||||
<body>
|
||||
<h1>{COIN_NAME} ({SYMBOL}) {title_suffix}</h1>
|
||||
<p class="meta">추세(참고): {trend} | 기간: {df.index[0]} ~ {df.index[-1]} | 봉 수: {len(df)}</p>
|
||||
{note_html}
|
||||
<div class="legend-box">▲ 매수 · ▼ 매도 — 삼각형이 클수록 비중이 큽니다.</div>
|
||||
<div class="cards">
|
||||
<div class="card"><span>종가</span><b>₩{close_last:,.2f}</b></div>
|
||||
<div class="card"><span>BB %B</span><b>{bb_pos_txt}</b></div>
|
||||
<div class="card"><span>정답 타점</span><b>{len(truth_trades) if truth_trades else 0}건</b></div>
|
||||
{pnl_cards}
|
||||
</div>
|
||||
<div class="chart-wrap">{chart_html}</div>
|
||||
{trade_table}
|
||||
</body>
|
||||
</html>"""
|
||||
|
||||
|
||||
def _frames_to_mtf(
|
||||
frames: dict[int, pd.DataFrame],
|
||||
) -> tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame]:
|
||||
"""전 간격 frames에서 1d/1h/3m 추출."""
|
||||
df_3m = frames.get(ENTRY_INTERVAL)
|
||||
if df_3m is None or df_3m.empty:
|
||||
raise ValueError(f"{ENTRY_INTERVAL}분봉 데이터 없음")
|
||||
df_1d = frames.get(TREND_INTERVAL_1D)
|
||||
if df_1d is None or df_1d.empty:
|
||||
df_1d = df_3m
|
||||
df_1h = frames.get(TREND_INTERVAL_1H)
|
||||
if df_1h is None or df_1h.empty:
|
||||
df_1h = df_3m
|
||||
return df_1d, df_1h, df_3m
|
||||
|
||||
|
||||
def load_chart_frames() -> dict[int, pd.DataFrame] | None:
|
||||
"""coins.db 전 간격 로드. 부족 시 None."""
|
||||
monitor = Monitor(cooldown_file=None)
|
||||
print(f"DB 조회: 최근 {CHART_LOOKBACK_DAYS}일 (CHART_LOOKBACK_DAYS)")
|
||||
frames = load_frames_from_db(monitor, SYMBOL, lookback_days=CHART_LOOKBACK_DAYS)
|
||||
if ENTRY_INTERVAL not in frames:
|
||||
print("coins.db 데이터 부족. python scripts/01_download.py 실행 후 재시도.")
|
||||
return None
|
||||
return frames
|
||||
|
||||
|
||||
def run_ground_truth_chart(open_browser: bool = True) -> Path:
|
||||
"""
|
||||
정답 타점을 생성·저장하고 마커가 포함된 HTML 차트를 만듭니다.
|
||||
|
||||
Args:
|
||||
open_browser: True면 브라우저로 HTML을 엽니다.
|
||||
|
||||
Returns:
|
||||
HTML 파일 경로.
|
||||
"""
|
||||
from deepcoin.ground_truth.ground_truth import run_from_db
|
||||
|
||||
data = run_from_db()
|
||||
frames = load_chart_frames()
|
||||
if frames is None:
|
||||
raise RuntimeError("차트 데이터 로드 실패")
|
||||
|
||||
df_1d, df_1h, df_3m = _frames_to_mtf(frames)
|
||||
trend = get_trend(df_1d, df_1h)
|
||||
df_chart = apply_bar_indicators(df_3m)
|
||||
trades = data.get("trades") or []
|
||||
|
||||
summary = data.get("summary") or {}
|
||||
html = build_chart_html(
|
||||
df_chart,
|
||||
trend,
|
||||
note=data.get("note", ""),
|
||||
truth_trades=trades,
|
||||
title_suffix=f"정답 타점 ({CHART_LOOKBACK_DAYS}일)",
|
||||
pnl_summary=summary if summary.get("pnl_krw") is not None else None,
|
||||
)
|
||||
REPORT_DIR.mkdir(parents=True, exist_ok=True)
|
||||
TRUTH_HTML.write_text(html, encoding="utf-8")
|
||||
print(f"HTML: {TRUTH_HTML}")
|
||||
if open_browser:
|
||||
webbrowser.open(TRUTH_HTML.resolve().as_uri())
|
||||
return TRUTH_HTML
|
||||
|
||||
|
||||
def run_chart(open_browser: bool = True) -> Path:
|
||||
"""
|
||||
3분봉 BB 차트 HTML을 생성합니다.
|
||||
|
||||
Args:
|
||||
open_browser: True면 기본 브라우저로 HTML을 엽니다.
|
||||
|
||||
Returns:
|
||||
저장된 HTML 경로.
|
||||
"""
|
||||
frames = load_chart_frames()
|
||||
if frames is None:
|
||||
raise RuntimeError("차트 데이터 로드 실패")
|
||||
|
||||
df_1d, df_1h, df_3m = _frames_to_mtf(frames)
|
||||
trend = get_trend(df_1d, df_1h)
|
||||
df_chart = apply_bar_indicators(df_3m)
|
||||
print(f"\n추세(참고): {trend}")
|
||||
print(f"3분: {df_chart.index[0]} ~ {df_chart.index[-1]} ({len(df_chart)}봉)")
|
||||
|
||||
html = build_chart_html(
|
||||
df_chart,
|
||||
trend,
|
||||
note="자동 매수·매도 전략은 사용하지 않습니다.",
|
||||
)
|
||||
REPORT_DIR.mkdir(parents=True, exist_ok=True)
|
||||
OUTPUT_HTML.write_text(html, encoding="utf-8")
|
||||
print(f"HTML: {OUTPUT_HTML}")
|
||||
if open_browser:
|
||||
webbrowser.open(OUTPUT_HTML.resolve().as_uri())
|
||||
return OUTPUT_HTML
|
||||
|
||||
|
||||
def print_usage() -> None:
|
||||
print(
|
||||
"""
|
||||
DeepCoin simulation.py
|
||||
|
||||
python simulation.py
|
||||
WLD 3분봉 BB 차트 → docs/charts/wld_bb_chart.html
|
||||
|
||||
python simulation.py truth
|
||||
정답 타점 생성 → ground_truth_trades.json
|
||||
차트 → docs/02_ground_truth/wld_ground_truth_chart.html
|
||||
"""
|
||||
)
|
||||
|
||||
|
||||
def main() -> None:
|
||||
if len(sys.argv) > 1 and sys.argv[1] in ("-h", "--help", "help"):
|
||||
print_usage()
|
||||
return
|
||||
if len(sys.argv) > 1 and sys.argv[1] in ("truth", "ground-truth", "gt"):
|
||||
print("=" * 60)
|
||||
print("정답 타점 생성 + 차트")
|
||||
print("=" * 60)
|
||||
run_ground_truth_chart()
|
||||
print("\n완료.")
|
||||
return
|
||||
if len(sys.argv) > 1:
|
||||
print(f"알 수 없는 옵션: {sys.argv[1]}\n")
|
||||
print_usage()
|
||||
return
|
||||
print("=" * 60)
|
||||
print("WLD BB 차트 (매매 전략 없음)")
|
||||
print("=" * 60)
|
||||
run_chart()
|
||||
print("\n완료.")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Reference in New Issue
Block a user