#!/usr/bin/env python3 """1단계: Ground Truth 타점 기준 3년 수익 sim + sim 차트 생성.""" from __future__ import annotations import argparse import json import logging import sys from dataclasses import replace from pathlib import Path from typing import Any ROOT = Path(__file__).resolve().parents[1] SRC = ROOT / "src" if str(SRC) not in sys.path: sys.path.insert(0, str(SRC)) from bithumb.config import Settings, load_settings from bithumb.data.candle_loader import load_candles from bithumb.data.intervals import interval_label from bithumb.ground_truth.chart import render_ground_truth_sim_chart from bithumb.ground_truth.ground_truth import GtParams, build_ground_truth, save_ground_truth from bithumb.ground_truth.pnl import simulate_gt_signals_pnl TIER_DESCRIPTIONS = { "v1": "스윙만 (최소 매수·매도)", "v2": "스윙 + 눌림목", "v3": "스윙 + 눌림목 + 돌파 + 다이버전스", } def _configure_logging(verbose: bool) -> None: """로깅 레벨을 설정한다.""" level = logging.DEBUG if verbose else logging.INFO logging.basicConfig( level=level, format="%(asctime)s [%(levelname)s] %(message)s", datefmt="%Y-%m-%d %H:%M:%S", ) def _base_params(settings: Settings, args: argparse.Namespace) -> GtParams: """CLI·환경 설정을 반영한 공통 GT 파라미터.""" return GtParams( interval_min=args.interval or settings.gt_interval_min, lookback_days=args.days or settings.gt_lookback_days, zigzag_reversal_pct=args.zigzag or settings.gt_zigzag_reversal_pct, min_leg_pct=args.min_leg or settings.gt_min_leg_pct, pullback_min_pct=settings.gt_pullback_min_pct, pullback_local_order=settings.gt_pullback_local_order, breakout_buffer_pct=settings.gt_breakout_buffer_pct, breakout_consolidation_bars=settings.gt_breakout_consolidation_bars, breakout_min_rally_pct=settings.gt_breakout_min_rally_pct, div_local_order=settings.gt_div_local_order, div_min_bars_between=settings.gt_div_min_bars_between, div_min_rsi_diff=settings.gt_div_min_rsi_diff, div_min_future_move_pct=settings.gt_div_min_future_move_pct, ) def _tier_targets(settings: Settings) -> list[tuple[str, Path, Path, Path]]: """티어별 (tier, json, chart, sim_chart) 경로.""" return [ ( "v1", settings.ground_truth_v1_file, settings.ground_truth_chart_v1_file, settings.ground_truth_chart_sim_v1_file, ), ( "v2", settings.ground_truth_v2_file, settings.ground_truth_chart_v2_file, settings.ground_truth_chart_sim_v2_file, ), ( "v3", settings.ground_truth_file, settings.ground_truth_chart_v3_file, settings.ground_truth_chart_sim_v3_file, ), ] def _load_or_build_gt( settings: Settings, params: GtParams, json_path: Path, rebuild: bool, ) -> dict[str, Any]: """GT JSON을 로드하거나 새로 생성한다.""" if json_path.exists() and not rebuild: with json_path.open(encoding="utf-8") as fp: return json.load(fp) result = build_ground_truth( db_path=settings.db_path, symbol=settings.symbol, coin_name=settings.coin_name, params=params, initial_cash_krw=settings.gt_initial_cash_krw, fee_rate=settings.gt_trading_fee_rate, ) save_ground_truth(result, json_path) return result def _print_sim_summary( tier: str, sim_pnl: dict[str, Any], sim_chart_path: Path, ) -> None: """티어별 시뮬 요약을 출력한다.""" print(f"\n=== 1단계 sim {tier.upper()} ({TIER_DESCRIPTIONS[tier]}) ===") print( f"기간: {sim_pnl['period_from']} ~ {sim_pnl['period_to']} " f"({sim_pnl['sim_lookback_days']}일)" ) print( f"초기 {sim_pnl['initial_cash_krw']:,.0f}원 → " f"최종 {sim_pnl['final_equity_krw']:,.0f}원 " f"({sim_pnl['total_return_pct']:+.2f}%)" ) print( f"현금 {sim_pnl['final_cash_krw']:,.0f}원 + " f"코인 {sim_pnl['final_coin_qty']:.8f} " f"(평가 {sim_pnl['final_coin_value_krw']:,.0f}원)" ) print( f"체결 매수 {sim_pnl['buys_executed']} / 매도 {sim_pnl['sells_executed']} | " f"스킵 매수 {sim_pnl['buys_skipped']} / 매도 {sim_pnl['sells_skipped']}" ) print(f"sim 차트: {sim_chart_path}") def main() -> int: """CLI 진입점.""" parser = argparse.ArgumentParser(description="1단계: Ground Truth 3년 sim") parser.add_argument("--interval", type=int, default=None, help="GT 인터벌(분)") parser.add_argument("--days", type=int, default=None, help="GT 타점 기간(일). 기본 730") parser.add_argument( "--sim-days", type=int, default=None, help="시뮬 기간(일). 기본 GT_SIM_LOOKBACK_DAYS 또는 365", ) parser.add_argument("--zigzag", type=float, default=None, help="ZigZag 되돌림 %%") parser.add_argument("--min-leg", type=float, default=None, help="최소 레그 수익률 %%") parser.add_argument( "--tier", choices=("v1", "v2", "v3", "all"), default="all", help="대상 GT 버전", ) parser.add_argument( "--rebuild-gt", action="store_true", help="GT JSON을 다시 생성 (없으면 자동 생성)", ) parser.add_argument("-v", "--verbose", action="store_true") args = parser.parse_args() _configure_logging(args.verbose) settings = load_settings() base = _base_params(settings, args) sim_days = args.sim_days or settings.gt_sim_lookback_days tiers = _tier_targets(settings) if args.tier != "all": tiers = [t for t in tiers if t[0] == args.tier] logging.info( "1단계 sim: %s %s, GT %s일, sim %s일, 초기=%s원", settings.symbol, interval_label(base.interval_min), base.lookback_days, sim_days, f"{settings.gt_initial_cash_krw:,.0f}", ) print("\n=== Ground Truth 1단계 sim ===") print(f"초기 자본: {settings.gt_initial_cash_krw:,.0f}원 | 시뮬 기간: 최근 {sim_days}일") for tier, json_path, _chart_path, sim_chart_path in tiers: params = replace(base, chart_tier=tier) gt_result = _load_or_build_gt(settings, params, json_path, args.rebuild_gt) df = load_candles( db_path=settings.db_path, symbol=settings.symbol, interval_min=params.interval_min, lookback_days=base.lookback_days, ) last_close = float(df["close"].iloc[-1]) sim_pnl = simulate_gt_signals_pnl( signals=gt_result.get("signals") or [], initial_cash_krw=settings.gt_initial_cash_krw, fee_rate=settings.gt_trading_fee_rate, sim_lookback_days=sim_days, data_end=gt_result["meta"]["data_to"], last_mark_price=last_close, ) gt_result["sim_pnl"] = sim_pnl save_ground_truth(gt_result, json_path) render_ground_truth_sim_chart( db_path=settings.db_path, symbol=settings.symbol, gt_result=gt_result, sim_pnl=sim_pnl, output_path=sim_chart_path, chart_lookback_days=settings.download_days, ) _print_sim_summary(tier, sim_pnl, sim_chart_path) return 0 if __name__ == "__main__": raise SystemExit(main())