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Phase C dry-run·문서화·DB 증분 저장 및 운영 env 동기화

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- 1분봉 다운로드 제외, MONITOR_PERSIST로 05/06 수집 시 coins.db INSERT
- Phase C paper_fires 로그·07 모의 리포트, hybrid 시뮬 산출물·reference 문서 갱신
- .env Phase C(LIVE=0), bootstrap dotenv override=True

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dsyoon
2026-06-01 23:32:47 +09:00
parent 3cbfa40aab
commit b9ee241d14
19 changed files with 877 additions and 333 deletions
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300
docs/04_matching/simulation_report.json
View File

@@ -6,75 +6,75 @@
"walk_forward": [
{
"month": "2025-06",
"pnl_pct": 10.39,
"pnl_pct": 12.78,
"start_asset_krw": 1000000.0,
"end_asset_krw": 1103874.0
"end_asset_krw": 1127825.0
},
{
"month": "2025-07",
"pnl_pct": 60.89,
"start_asset_krw": 1103874.0,
"end_asset_krw": 1776051.0
"start_asset_krw": 1127825.0,
"end_asset_krw": 1814584.0
},
{
"month": "2025-08",
"pnl_pct": 22.9,
"start_asset_krw": 1776051.0,
"end_asset_krw": 2182728.0
"start_asset_krw": 1814584.0,
"end_asset_krw": 2230083.0
},
{
"month": "2025-09",
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"end_asset_krw": 3440648.0
"start_asset_krw": 2230083.0,
"end_asset_krw": 3515283.0
},
{
"month": "2025-10",
"pnl_pct": 9.29,
"start_asset_krw": 3440648.0,
"end_asset_krw": 3760442.0
"start_asset_krw": 3515283.0,
"end_asset_krw": 3842010.0
},
{
"month": "2025-11",
"pnl_pct": 11.24,
"start_asset_krw": 3760442.0,
"end_asset_krw": 4183047.0
"start_asset_krw": 3842010.0,
"end_asset_krw": 4273771.0
},
{
"month": "2025-12",
"pnl_pct": -0.87,
"start_asset_krw": 4183047.0,
"end_asset_krw": 4146498.0
"start_asset_krw": 4273771.0,
"end_asset_krw": 4236421.0
},
{
"month": "2026-01",
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"start_asset_krw": 4236421.0,
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},
{
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"start_asset_krw": 5666889.0,
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},
{
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{
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"pnl_pct": 22.85,
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{
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"pnl_pct": 47.57,
"start_asset_krw": 8782116.0,
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}
],
"walk_forward_summary": {
@@ -292,7 +292,7 @@
{
"name": "hybrid_holdout_pnl",
"pass": true,
"value": 62.36
"value": 62.35
},
{
"name": "hybrid_max_mdd",
@@ -302,19 +302,19 @@
{
"name": "hybrid_fee_stress_pnl",
"pass": true,
"value": 952.77
"value": 975.74
},
{
"name": "option_c_target_300pct",
"pass": true,
"value": 1120.97,
"value": 1147.3,
"optional": true
}
]
},
"go_no_go_option_c_phase2": {
"go": true,
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"targets": {
"phase2_pnl_pct": 1000.0,
"min_gt_capture": 0.23,
@@ -328,17 +328,17 @@
{
"name": "full_pnl_1000pct",
"pass": true,
"value": 1120.97
"value": 1147.3
},
{
"name": "gt_capture_23pct",
"pass": true,
"value": 0.2612
"value": 0.2674
},
{
"name": "holdout_pnl_positive",
"pass": true,
"value": 62.36
"value": 62.35
},
{
"name": "max_mdd",
@@ -348,13 +348,13 @@
{
"name": "fee_stress_ratio",
"pass": true,
"value": 952.77,
"value": 975.74,
"threshold": 850.0
},
{
"name": "slippage_stress_positive",
"pass": true,
"value": 27.66,
"value": 31.58,
"note": "체결가 슬리피지 반영 후에도 흑자"
},
{
@@ -434,19 +434,19 @@
},
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"leg_count": 17,
"sizing_mode": "causal_gt_leg_engine",
"sizing_note": "인과 GT leg: split_buy + peak_sell, causal tier 복리 (미래 미사용)",
@@ -461,46 +461,46 @@
"use_local_trough": false
},
"alloc_stats": {
"buy_executed": 101,
"buy_executed": 91,
"buy_skipped": 0,
"sell_executed": 33,
"sell_skipped": 0,
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"buy_total_krw": 1950020.0,
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"buy_amount_max_krw": 57216.0
}
},
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"pnl_pct": 1120.97,
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},
"input_fires": 5225
},
@@ -510,32 +510,32 @@
},
"sim_tier_enhanced": {
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"cash_krw": 0.0,
"holding_qty": 996.562036,
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"cash_krw": 1.0,
"holding_qty": 1000.895401,
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"sizing_note": "monitor buy+sell + past-leg·drawdown tier + conviction (미래 미사용)",
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"buy_amount_max_krw": 1540213.0
},
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},
@@ -548,156 +548,156 @@
"note": "전기간 복리(causal tier) 후 holdout 구간 자산 증감"
},
"sim_hybrid_holdout": {
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"pnl_pct": 62.36,
"initial_asset_krw": 7982769.0,
"final_asset_krw": 12959660.0,
"pnl_krw": 4976891.0,
"pnl_pct": 62.35,
"trade_count": 845,
"note": "전기간 복리(hybrid DD tier) 후 holdout 구간 자산 증감"
},
"sim_hybrid_fee_stress": {
"initial_cash_krw": 1000000,
"final_asset_krw": 10527724.0,
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"pnl_pct": 952.77,
"total_fees_krw": 1261948.0,
"final_asset_krw": 10757384.0,
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"holding_qty": 22089.084224,
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},
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"initial_cash_krw": 1000000,
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"holding_qty": 2701.755603,
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"mark_price": 487.0,
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"max_drawdown_pct": 59.37,
"peak_asset_krw": 3404596.0,
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},
"hybrid_portfolio_walk_forward": [
{
"month": "2025-06",
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{
"month": "2025-07",
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{
"month": "2025-08",
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},
{
"month": "2025-09",
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{
"month": "2025-10",
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},
{
"month": "2025-11",
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{
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},
{
"month": "2026-01",
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"start_asset_krw": 4236421.0,
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},
{
"month": "2026-02",
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},
{
"month": "2026-03",
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"start_asset_krw": 6551242.0,
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},
{
"month": "2026-04",
"pnl_pct": 22.86,
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"end_asset_krw": 8596129.0
"pnl_pct": 22.85,
"start_asset_krw": 7148390.0,
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},
{
"month": "2026-05",
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"pnl_pct": 47.57,
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"end_asset_krw": 12959660.0
}
],
"hybrid_portfolio_wf_summary": {
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"positive_months": 11,
"positive_ratio": 0.9167,
"mean_pnl_pct": 25.03
"mean_pnl_pct": 25.23
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"primary_sizing": "hybrid",
"sim_primary": {
"initial_cash_krw": 1000000,
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"pnl_pct": 1120.97,
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"holding_qty": 25611.975633,
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"sizing_mode": "primary_hybrid_dd_tier",
"sizing_note": "권장: monitor + past-leg·drawdown tier (검증 통과, 미래 미사용)",
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},
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},
@@ -706,11 +706,11 @@
"sim_sized_pnl_pct": 74.69,
"gt_model_capture_ratio": 0.0019,
"causal_gt_capture_ratio": 0.0034,
"sim_causal_gt_pnl_pct": 14.66,
"causal_hybrid_capture_ratio": 0.2612,
"sim_causal_hybrid_pnl_pct": 1120.97,
"tier_enhanced_capture_ratio": -0.012,
"sim_tier_enhanced_pnl_pct": -51.47,
"sim_causal_gt_pnl_pct": 14.79,
"causal_hybrid_capture_ratio": 0.2674,
"sim_causal_hybrid_pnl_pct": 1147.3,
"tier_enhanced_capture_ratio": -0.0119,
"sim_tier_enhanced_pnl_pct": -51.26,
"causal_gt_params": {
"peak_mode": "local",
"pivot_order": 8,