91c9338651
봉 데이터 갱신 후 02~04 재실행. BB 저점 수집 시 _row_at_ts로 스칼라 추출. hybrid Go/No-Go 및 matched_rules·fire_outcomes 동기화. Co-authored-by: Cursor <cursoragent@cursor.com>
1567 lines
36 KiB
JSON
1567 lines
36 KiB
JSON
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"count": 19029,
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},
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|
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}
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},
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}
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},
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}
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}
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},
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"go": true,
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{
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{
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}
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],
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},
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{
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||
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|
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},
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{
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{
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||
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{
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{
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||
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|
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}
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||
]
|
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},
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||
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|
||
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||
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||
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||
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||
{
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||
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|
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|
||
},
|
||
{
|
||
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|
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{
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{
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{
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"note": "체결가 슬리피지 반영 후에도 흑자"
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{
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||
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|
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|
||
},
|
||
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|
||
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|
||
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||
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||
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|
||
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|
||
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|
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||
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||
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|
||
"mark_price": 786.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5048,
|
||
"max_drawdown_pct": 19.76,
|
||
"peak_asset_krw": 2685460.0,
|
||
"trough_asset_krw": 2154801.0,
|
||
"sizing_mode": "monitor_dd_tier",
|
||
"sizing_note": "monitor buy+sell + drawdown·past-leg tier (미래 미사용)",
|
||
"alloc_stats": {
|
||
"buy_executed": 761,
|
||
"buy_skipped": 268,
|
||
"sell_executed": 4019,
|
||
"sell_skipped": 0,
|
||
"buy_total_krw": 195156416.0,
|
||
"large_leg_count": 750,
|
||
"large_tier_buy_count": 750,
|
||
"buy_amount_avg_krw": 256447.0,
|
||
"buy_amount_min_krw": 5000,
|
||
"buy_amount_max_krw": 3067511.0
|
||
},
|
||
"input_fires": 5048
|
||
},
|
||
"hybrid_dd_params": {
|
||
"dd_large_pct": 5.0,
|
||
"dd_medium_pct": 2.0
|
||
},
|
||
"sim_tier_enhanced": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 542410.0,
|
||
"pnl_krw": 142410.0,
|
||
"pnl_pct": 35.6,
|
||
"total_fees_krw": 58472.0,
|
||
"cash_krw": 542395.0,
|
||
"holding_qty": 0.019611,
|
||
"holding_value_krw": 15.0,
|
||
"mark_price": 786.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5048,
|
||
"max_drawdown_pct": 60.86,
|
||
"peak_asset_krw": 844144.0,
|
||
"trough_asset_krw": 330412.0,
|
||
"sizing_mode": "monitor_tier_enhanced",
|
||
"sizing_note": "monitor buy+sell + past-leg·drawdown tier + conviction (미래 미사용)",
|
||
"alloc_stats": {
|
||
"buy_executed": 150,
|
||
"buy_skipped": 879,
|
||
"sell_executed": 4019,
|
||
"sell_skipped": 0,
|
||
"buy_total_krw": 58371500.0,
|
||
"large_leg_count": 113,
|
||
"large_tier_buy_count": 113,
|
||
"buy_amount_avg_krw": 389143.0,
|
||
"buy_amount_min_krw": 5000,
|
||
"buy_amount_max_krw": 843688.0
|
||
},
|
||
"input_fires": 5048
|
||
},
|
||
"sim_sized_holdout": {
|
||
"initial_asset_krw": 559081.0,
|
||
"final_asset_krw": 632472.0,
|
||
"pnl_krw": 73391.0,
|
||
"pnl_pct": 13.13,
|
||
"trade_count": 913,
|
||
"note": "전기간 복리(causal tier) 후 holdout 구간 자산 증감"
|
||
},
|
||
"sim_hybrid_holdout": {
|
||
"initial_asset_krw": 2612582.0,
|
||
"final_asset_krw": 5262393.0,
|
||
"pnl_krw": 2649811.0,
|
||
"pnl_pct": 101.42,
|
||
"trade_count": 913,
|
||
"note": "전기간 복리(hybrid DD tier) 후 holdout 구간 자산 증감"
|
||
},
|
||
"sim_hybrid_fee_stress": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 4663063.0,
|
||
"pnl_krw": 4263063.0,
|
||
"pnl_pct": 1065.77,
|
||
"total_fees_krw": 365943.0,
|
||
"cash_krw": 4663059.0,
|
||
"holding_qty": 0.005146,
|
||
"holding_value_krw": 4.0,
|
||
"mark_price": 786.0,
|
||
"fee_rate": 0.001,
|
||
"trade_count": 5048,
|
||
"max_drawdown_pct": 20.13,
|
||
"peak_asset_krw": 2445202.0,
|
||
"trough_asset_krw": 1953065.0
|
||
},
|
||
"sim_hybrid_slippage_stress": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 764640.0,
|
||
"pnl_krw": 364640.0,
|
||
"pnl_pct": 91.16,
|
||
"total_fees_krw": 197687.0,
|
||
"cash_krw": 764640.0,
|
||
"holding_qty": 0.0,
|
||
"holding_value_krw": 0.0,
|
||
"mark_price": 786.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5048,
|
||
"max_drawdown_pct": 46.47,
|
||
"peak_asset_krw": 1421723.0,
|
||
"trough_asset_krw": 761079.0,
|
||
"slippage_pct": 0.05,
|
||
"sizing_mode": "hybrid_slippage_stress"
|
||
},
|
||
"hybrid_portfolio_walk_forward": [
|
||
{
|
||
"month": "2025-06",
|
||
"pnl_pct": 15.0,
|
||
"start_asset_krw": 400000.0,
|
||
"end_asset_krw": 459985.0
|
||
},
|
||
{
|
||
"month": "2025-07",
|
||
"pnl_pct": 57.74,
|
||
"start_asset_krw": 459985.0,
|
||
"end_asset_krw": 725559.0
|
||
},
|
||
{
|
||
"month": "2025-08",
|
||
"pnl_pct": 21.52,
|
||
"start_asset_krw": 725559.0,
|
||
"end_asset_krw": 881721.0
|
||
},
|
||
{
|
||
"month": "2025-09",
|
||
"pnl_pct": 42.03,
|
||
"start_asset_krw": 881721.0,
|
||
"end_asset_krw": 1252333.0
|
||
},
|
||
{
|
||
"month": "2025-10",
|
||
"pnl_pct": 8.51,
|
||
"start_asset_krw": 1252333.0,
|
||
"end_asset_krw": 1358874.0
|
||
},
|
||
{
|
||
"month": "2025-11",
|
||
"pnl_pct": 8.1,
|
||
"start_asset_krw": 1358874.0,
|
||
"end_asset_krw": 1468941.0
|
||
},
|
||
{
|
||
"month": "2025-12",
|
||
"pnl_pct": -3.67,
|
||
"start_asset_krw": 1468941.0,
|
||
"end_asset_krw": 1415055.0
|
||
},
|
||
{
|
||
"month": "2026-01",
|
||
"pnl_pct": 34.57,
|
||
"start_asset_krw": 1415055.0,
|
||
"end_asset_krw": 1904276.0
|
||
},
|
||
{
|
||
"month": "2026-02",
|
||
"pnl_pct": 21.04,
|
||
"start_asset_krw": 1904276.0,
|
||
"end_asset_krw": 2304943.0
|
||
},
|
||
{
|
||
"month": "2026-03",
|
||
"pnl_pct": 1.08,
|
||
"start_asset_krw": 2304943.0,
|
||
"end_asset_krw": 2329782.0
|
||
},
|
||
{
|
||
"month": "2026-04",
|
||
"pnl_pct": 21.17,
|
||
"start_asset_krw": 2329782.0,
|
||
"end_asset_krw": 2822903.0
|
||
},
|
||
{
|
||
"month": "2026-05",
|
||
"pnl_pct": 41.14,
|
||
"start_asset_krw": 2822903.0,
|
||
"end_asset_krw": 3984211.0
|
||
},
|
||
{
|
||
"month": "2026-06",
|
||
"pnl_pct": 32.08,
|
||
"start_asset_krw": 3984211.0,
|
||
"end_asset_krw": 5262393.0
|
||
}
|
||
],
|
||
"hybrid_portfolio_wf_summary": {
|
||
"months": 13,
|
||
"positive_months": 12,
|
||
"positive_ratio": 0.9231,
|
||
"mean_pnl_pct": 23.1
|
||
},
|
||
"primary_sizing": "hybrid",
|
||
"sim_primary": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 5262393.0,
|
||
"pnl_krw": 4862393.0,
|
||
"pnl_pct": 1215.6,
|
||
"total_fees_krw": 197687.0,
|
||
"cash_krw": 5262393.0,
|
||
"holding_qty": 0.0,
|
||
"holding_value_krw": 0.0,
|
||
"mark_price": 786.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5048,
|
||
"max_drawdown_pct": 19.76,
|
||
"peak_asset_krw": 2685460.0,
|
||
"trough_asset_krw": 2154801.0,
|
||
"sizing_mode": "primary_hybrid_dd_tier",
|
||
"sizing_note": "권장: monitor + past-leg·drawdown tier (검증 통과, 미래 미사용)",
|
||
"alloc_stats": {
|
||
"buy_executed": 761,
|
||
"buy_skipped": 268,
|
||
"sell_executed": 4019,
|
||
"sell_skipped": 0,
|
||
"buy_total_krw": 195156416.0,
|
||
"large_leg_count": 750,
|
||
"large_tier_buy_count": 750,
|
||
"buy_amount_avg_krw": 256447.0,
|
||
"buy_amount_min_krw": 5000,
|
||
"buy_amount_max_krw": 3067511.0
|
||
},
|
||
"input_fires": 5048
|
||
},
|
||
"gt_capture_ratio": 0.0097,
|
||
"gt_pnl_pct": 6022.03,
|
||
"sim_sized_pnl_pct": 58.12,
|
||
"gt_model_capture_ratio": 0.0035,
|
||
"causal_gt_capture_ratio": 0.0024,
|
||
"sim_causal_gt_pnl_pct": 14.39,
|
||
"causal_hybrid_capture_ratio": 0.2019,
|
||
"sim_causal_hybrid_pnl_pct": 1215.6,
|
||
"tier_enhanced_capture_ratio": 0.0059,
|
||
"sim_tier_enhanced_pnl_pct": 35.6,
|
||
"causal_gt_params": {
|
||
"peak_mode": "local",
|
||
"pivot_order": 8,
|
||
"buy_swing_pct": 2.0,
|
||
"sell_swing_pct": 3.0,
|
||
"bb_max": 0.55,
|
||
"min_leg_pct": 8.0,
|
||
"min_bars_between_legs": 60,
|
||
"use_local_trough": false
|
||
},
|
||
"gt_allocation_analysis": {
|
||
"large_leg_ids": [
|
||
3,
|
||
5,
|
||
18,
|
||
19,
|
||
20,
|
||
21,
|
||
22,
|
||
33,
|
||
40,
|
||
46,
|
||
49,
|
||
52,
|
||
53,
|
||
72,
|
||
74,
|
||
76,
|
||
78
|
||
],
|
||
"large_leg_count": 17,
|
||
"config_pct_large": 1.0,
|
||
"config_pct_small": 0.05,
|
||
"observed_implied_scale": {
|
||
"all": {
|
||
"count": 18,
|
||
"mean": 0.1404,
|
||
"median": 0.0667,
|
||
"p25": 0.0539,
|
||
"p75": 0.1318
|
||
},
|
||
"large_leg": {
|
||
"count": 1,
|
||
"mean": 1.1008,
|
||
"median": 1.1008,
|
||
"p25": 1.1008,
|
||
"p75": 1.1008
|
||
},
|
||
"small_leg": {
|
||
"count": 17,
|
||
"mean": 0.0839,
|
||
"median": 0.0583,
|
||
"p25": 0.0539,
|
||
"p75": 0.119
|
||
}
|
||
},
|
||
"recommended_pct_large_leg": 1.1008,
|
||
"recommended_pct_small_leg": 0.0583,
|
||
"note": "implied_scale = amount / (pre_buy_total_asset × weight_share); 시뮬 tier는 GT 분석 median 사용"
|
||
},
|
||
"causal_mode": {
|
||
"gt_signal_causal": true,
|
||
"sim_causal_tier": true,
|
||
"note": "인과적: t 시점까지 데이터만 사용 (운영 정합)"
|
||
}
|
||
},
|
||
"gt_model": {
|
||
"selection_mode": "split_buy_peak_sell",
|
||
"leg_definition": "이전 고점 매도 ~ 다음 고점 매도 구간 = leg_id; 기간말 잔여 구간은 마지막 leg",
|
||
"entry": {
|
||
"pivot": "trough",
|
||
"price": "Low",
|
||
"weight_rule": "inverse_price_normalized",
|
||
"weight_formula": "w_i = (1/price_i) / sum(1/price_j)",
|
||
"max_buys_per_leg": 12,
|
||
"min_bars_between_buys": 24,
|
||
"bb_filter": "bb_pos <= 0.45"
|
||
},
|
||
"exit": {
|
||
"pivot": "peak",
|
||
"price": "High",
|
||
"weight_rule": "fixed_split_or_full",
|
||
"weights_split": [
|
||
0.65,
|
||
0.35
|
||
],
|
||
"split_gap_pct": 2.5,
|
||
"max_sells_per_leg": 2
|
||
},
|
||
"capital": {
|
||
"buy": "target = total_asset * (weight/remaining_weights) * tier_scale; amount = min(target, available_cash/(1+fee))",
|
||
"optimal_buy_rate": "weight / sum(remaining_buy_weights_in_leg)",
|
||
"large_leg_top_pct": 0.2,
|
||
"pct_large_leg": 1.0,
|
||
"pct_small_leg": 0.05,
|
||
"min_order_krw": 5000.0,
|
||
"sell": "sell_base_qty * sell_weight * price (last sell = full leg_qty)"
|
||
},
|
||
"execution": {
|
||
"chrono": "amount_krw 배분·summary.pnl_pct = 시각순 체결(매도 후 현금 → 다음 매수 반영)",
|
||
"leg_block_json": "JSON 저장 순서 = leg별 매수 전량 → 매도 전량 (차트·테이블 leg 정합)"
|
||
}
|
||
},
|
||
"gt_weight_policy": {
|
||
"entry_weight_rule": "inverse_price_normalized",
|
||
"exit_split_weights": [
|
||
0.65,
|
||
0.35
|
||
],
|
||
"capital_large_pct": 1.0,
|
||
"capital_small_pct": 0.05,
|
||
"large_leg_top_pct": 0.2
|
||
},
|
||
"gt_leg_weight_validation": {
|
||
"legs": {
|
||
"0": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 1,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"1": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 12,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"2": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 4,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"3": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 1,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"4": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 3,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"5": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 5,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"6": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 3,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"7": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 5,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"8": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 2,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"9": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 4,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"10": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 5,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"11": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 3,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"12": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 2,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"13": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 7,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"14": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 2,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"15": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 3,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"16": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 7,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"17": {
|
||
"buy_sum": 1.0,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 4,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"18": {
|
||
"buy_sum": 0.999,
|
||
"sell_sum": 1.0,
|
||
"n_buy": 6,
|
||
"n_sell": 2,
|
||
"valid": true
|
||
},
|
||
"19": {
|
||
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||
"wf_positive_ratio": 0.5,
|
||
"wf_min_months": 3,
|
||
"hybrid_min_holdout_pnl_pct": 0.0,
|
||
"hybrid_max_mdd_pct": 30.0,
|
||
"option_c_target_pnl_pct": 300.0,
|
||
"option_c_phase2_target_pnl_pct": 1000.0,
|
||
"option_c_phase2_fee_stress_ratio": 0.85,
|
||
"option_c_min_gt_capture": 0.23
|
||
}
|
||
} |