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hybrid DD tier와 Option C 2차(+1000%) 검증을 추가하고 실거래 사이징을 정합한다.

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인과 GT leg 엔진·drawdown tier·train 캘리브레이션, Phase 2 Go/No-Go 및 시뮬 리포트를 반영한다.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
xavis
2026-06-01 16:09:18 +09:00
parent 9b00ef34c6
commit d385456867
21 changed files with 3315 additions and 1178 deletions
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26
config.py
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@@ -223,6 +223,21 @@ SIM_CAUSAL_TIER = _getenv("SIM_CAUSAL_TIER", "1").strip().lower() in (
"true",
"yes",
)
# 인과 GT leg 엔진 (Option C +300% 경로)
CAUSAL_GT_PEAK_MODE = _getenv("CAUSAL_GT_PEAK_MODE", "local").strip().lower()
if CAUSAL_GT_PEAK_MODE not in ("local", "zigzag"):
CAUSAL_GT_PEAK_MODE = "local"
CAUSAL_GT_MIN_LEG_PCT = _getenv_float("CAUSAL_GT_MIN_LEG_PCT", "5.0")
CAUSAL_GT_MIN_BARS_BETWEEN_LEGS = _getenv_int("CAUSAL_GT_MIN_BARS_BETWEEN_LEGS", "60")
CAUSAL_GT_USE_LOCAL_TROUGH = _getenv("CAUSAL_GT_USE_LOCAL_TROUGH", "1").strip().lower() in (
"1",
"true",
"yes",
)
CAUSAL_GT_DD_LARGE_PCT = _getenv_float("CAUSAL_GT_DD_LARGE_PCT", "8.0")
CAUSAL_GT_DD_MEDIUM_PCT = _getenv_float("CAUSAL_GT_DD_MEDIUM_PCT", "4.0")
GT_BUY_PCT_MEDIUM_LEG = _getenv_float("GT_BUY_PCT_MEDIUM_LEG", "0.25")
SIM_TIER_CONVICTION_DD_PCT = _getenv_float("SIM_TIER_CONVICTION_DD_PCT", "10.0")
TRADING_FEE_RATE = _getenv_float("TRADING_FEE_RATE", "0.0005")
# --- 모니터 / API 수집 ---
@@ -347,6 +362,17 @@ SIM_FEE_STRESS_MULT = _getenv_float("SIM_FEE_STRESS_MULT", "2.0")
SIM_GO_MIN_HOLDOUT_EV = _getenv_float("SIM_GO_MIN_HOLDOUT_EV", "0.0")
SIM_GO_MIN_HOLDOUT_PF = _getenv_float("SIM_GO_MIN_HOLDOUT_PF", "1.0")
SIM_GO_WF_POSITIVE_RATIO = _getenv_float("SIM_GO_WF_POSITIVE_RATIO", "0.5")
# hybrid DD tier 승격·검증 (Option C +300%)
SIM_HYBRID_MIN_HOLDOUT_PNL_PCT = _getenv_float("SIM_HYBRID_MIN_HOLDOUT_PNL_PCT", "0.0")
SIM_HYBRID_MAX_MDD_PCT = _getenv_float("SIM_HYBRID_MAX_MDD_PCT", "30.0")
SIM_OPTION_C_TARGET_PNL_PCT = _getenv_float("SIM_OPTION_C_TARGET_PNL_PCT", "300.0")
SIM_OPTION_C_PHASE2_TARGET_PNL_PCT = _getenv_float("SIM_OPTION_C_PHASE2_TARGET_PNL_PCT", "1000.0")
SIM_OPTION_C_PHASE2_FEE_STRESS_RATIO = _getenv_float("SIM_OPTION_C_PHASE2_FEE_STRESS_RATIO", "0.85")
SIM_OPTION_C_MIN_GT_CAPTURE = _getenv_float("SIM_OPTION_C_MIN_GT_CAPTURE", "0.23")
SIM_HYBRID_PORTFOLIO_WF_MIN_RATIO = _getenv_float("SIM_HYBRID_PORTFOLIO_WF_MIN_RATIO", "0.5")
SIM_PRIMARY_SIZING = _getenv("SIM_PRIMARY_SIZING", "auto").strip().lower()
if SIM_PRIMARY_SIZING not in ("auto", "hybrid", "causal_tier"):
SIM_PRIMARY_SIZING = "auto"
# --- 3단계 실거래 (오픈 전 문서·시뮬 Go 필수) ---
LIVE_TRADING_ENABLED = _getenv("LIVE_TRADING_ENABLED", "0").strip() in (