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40만 원 기준 시뮬·dry-run 정합 및 hybrid 체결 엔진 통합.

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초기 자금 GT_INITIAL_CASH_KRW=400000과 원화 한도 비율(알림·LIVE_ORDER·일한도·손실한도)을 맞추고, dry-run/live 체결을 sim_causal_hybrid(replay)와 동일 경로로 통합한다. 시뮬 리포트 갱신, Phase C 슈퍼바이저·매수매도 리허설 스크립트를 추가한다.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dsyoon
2026-06-03 11:31:24 +09:00
parent b9ee241d14
commit c6888c9228
24 changed files with 7707 additions and 6253 deletions
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494
docs/04_matching/simulation_report.json
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@@ -6,75 +6,75 @@
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@@ -292,29 +292,29 @@
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@@ -328,33 +328,33 @@
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{
@@ -366,87 +366,87 @@
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"sizing_note": "인과 GT leg: split_buy + peak_sell, causal tier 복리 (미래 미사용)",
@@ -461,46 +461,46 @@
"use_local_trough": false
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@@ -509,208 +509,208 @@
"dd_medium_pct": 2.0
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"month": "2026-05",
"pnl_pct": 47.57,
"start_asset_krw": 8782116.0,
"end_asset_krw": 12959660.0
"pnl_pct": 44.66,
"start_asset_krw": 3426893.0,
"end_asset_krw": 4957419.0
}
],
"hybrid_portfolio_wf_summary": {
"months": 12,
"positive_months": 11,
"positive_ratio": 0.9167,
"mean_pnl_pct": 25.23
"mean_pnl_pct": 24.8
},
"primary_sizing": "hybrid",
"sim_primary": {
"initial_cash_krw": 1000000,
"final_asset_krw": 12473032.0,
"pnl_krw": 11473032.0,
"pnl_pct": 1147.3,
"total_fees_krw": 710297.0,
"cash_krw": 0.0,
"holding_qty": 25611.975633,
"holding_value_krw": 12473032.0,
"initial_cash_krw": 400000,
"final_asset_krw": 4867465.0,
"pnl_krw": 4467465.0,
"pnl_pct": 1116.87,
"total_fees_krw": 277183.0,
"cash_krw": 3.0,
"holding_qty": 9994.789459,
"holding_value_krw": 4867462.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 5225,
"max_drawdown_pct": 19.22,
"peak_asset_krw": 1174413.0,
"trough_asset_krw": 948744.0,
"max_drawdown_pct": 19.89,
"peak_asset_krw": 3104956.0,
"trough_asset_krw": 2487267.0,
"sizing_mode": "primary_hybrid_dd_tier",
"sizing_note": "권장: monitor + past-leg·drawdown tier (검증 통과, 미래 미사용)",
"alloc_stats": {
"buy_executed": 1632,
"buy_skipped": 655,
"buy_executed": 1628,
"buy_skipped": 659,
"sell_executed": 2938,
"sell_skipped": 0,
"buy_total_krw": 710442254.0,
"large_leg_count": 1535,
"large_tier_buy_count": 1535,
"buy_amount_avg_krw": 435320.0,
"buy_amount_min_krw": 828.0,
"buy_amount_max_krw": 8620153.0
"buy_total_krw": 277244801.0,
"large_leg_count": 1532,
"large_tier_buy_count": 1532,
"buy_amount_avg_krw": 170298.0,
"buy_amount_min_krw": 323.0,
"buy_amount_max_krw": 3363487.0
},
"input_fires": 5225
},
"gt_capture_ratio": 0.0174,
"gt_pnl_pct": 4291.35,
"sim_sized_pnl_pct": 74.69,
"gt_model_capture_ratio": 0.0019,
"causal_gt_capture_ratio": 0.0034,
"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,
"gt_capture_ratio": 0.0052,
"gt_pnl_pct": 7038.74,
"sim_sized_pnl_pct": 36.56,
"gt_model_capture_ratio": 0.0006,
"causal_gt_capture_ratio": 0.0021,
"sim_causal_gt_pnl_pct": 14.99,
"causal_hybrid_capture_ratio": 0.1587,
"sim_causal_hybrid_pnl_pct": 1116.87,
"tier_enhanced_capture_ratio": -0.0059,
"sim_tier_enhanced_pnl_pct": -41.83,
"causal_gt_params": {
"peak_mode": "local",
"pivot_order": 8,
@@ -746,28 +746,28 @@
"observed_implied_scale": {
"all": {
"count": 18,
"mean": 0.1106,
"median": 0.0527,
"p25": 0.051,
"p75": 0.054
"mean": 0.3111,
"median": 0.1346,
"p25": 0.1309,
"p75": 0.1509
},
"large_leg": {
"count": 1,
"mean": 1.0812,
"median": 1.0812,
"p25": 1.0812,
"p75": 1.0812
"mean": 3.2206,
"median": 3.2206,
"p25": 3.2206,
"p75": 3.2206
},
"small_leg": {
"count": 17,
"mean": 0.0535,
"median": 0.051,
"p25": 0.051,
"p75": 0.0539
"mean": 0.14,
"median": 0.1323,
"p25": 0.1309,
"p75": 0.1502
}
},
"recommended_pct_large_leg": 1.0812,
"recommended_pct_small_leg": 0.051,
"recommended_pct_large_leg": 3.2206,
"recommended_pct_small_leg": 0.1323,
"note": "implied_scale = amount / (pre_buy_total_asset × weight_share); 시뮬 tier는 GT 분석 median 사용"
},
"causal_mode": {
@@ -1499,15 +1499,15 @@
],
"gt_portfolio_calibration": {
"portfolio": {
"gt_final_asset_krw": 43913513.0,
"subset_final_asset_krw": 1000000.0,
"asset_ratio": 0.0228,
"asset_accuracy_pct": 2.28,
"gt_final_asset_krw": 28785435.0,
"subset_final_asset_krw": 400000.0,
"asset_ratio": 0.0139,
"asset_accuracy_pct": 1.39,
"target_met_90": false,
"legs_total": 76,
"legs_covered": 0,
"leg_coverage_ratio": 0.0,
"full_pnl_pct": 4291.35,
"full_pnl_pct": 7096.36,
"subset_pnl_pct": 0.0
},
"note": "캘리브레이션 미실행 — scripts/04_calibrate_gt_assets.py"