dsyoon
b7c4ec0de5
0~3단계 산출물을 docs/0_ground_truth~3_causal로 정리하고, sim 초기 40만원·총평가 구간별 매수 상한을 적용한다. MTF 상관 분석, composite+MTF, 워크포워드 인과 sim과 2·3단계 리포트를 추가·재생성한다. Co-authored-by: Cursor <cursoragent@cursor.com>
108 lines
2.5 KiB
JSON
108 lines
2.5 KiB
JSON
{
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"generated_at": "2026-06-10 15:34:59",
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"strategy_id": "causal_mtf_v3",
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"technique_id": "composite_v3+mtf",
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"symbol": "BTC",
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"interval_label": "3분",
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"lookback_days": 3447,
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"sim_lookback_days": 1095,
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"gt_tier": "v3",
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"causal_signals": {
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"buy": 762,
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"sell": 725,
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"legs": 210
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},
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"gt_alignment": {
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"buy_recall": 0.2795,
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"sell_recall": 0.3012,
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"leg_recall": 0.037,
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"score": 0.1581,
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"by_signal_type": {
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"swing_low": 0.2913,
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"pullback": 0.5357,
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"breakout": 0.4035,
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"div_bull": 0.3211,
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"swing_high": 0.2946,
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"div_bear": 0.3741
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}
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},
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"futures_sim": {
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"gt_benchmark": {
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"return_pct": 271840.99,
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"final_equity_krw": 1087763944.0,
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"trades": 597
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},
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"causal_with_stops": {
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"return_pct": -67.81,
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"final_equity_krw": 128748.0,
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"atr_stops": 1784,
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"use_atr_stops": true,
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"atr_period": 14,
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"atr_mult": 2.0
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},
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"causal_no_stops": {
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"return_pct": -108.19,
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"final_equity_krw": -32768.0
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},
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"return_capture_ratio": -0.0002,
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"comparison": [
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{
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"label": "0단계 GT 벤치마크 (사후 타점)",
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"return_pct": 271840.99,
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"final_equity_krw": 1087763944.0,
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"long_opens": 207,
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"long_closes": 120,
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"short_opens": 151,
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"short_closes": 119
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},
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{
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"label": "3단계 인과 (손절 없음)",
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"return_pct": -108.19,
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"final_equity_krw": -32768.0,
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"long_opens": 13,
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"long_closes": 13,
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"short_opens": 18,
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"short_closes": 13
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},
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{
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"label": "3단계 인과 시뮬 (composite_v3)",
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"return_pct": -67.81,
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"final_equity_krw": 128748.0,
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"long_opens": 926,
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"long_closes": 926,
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"short_opens": 943,
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"short_closes": 925,
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"atr_stops": 1784
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}
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]
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},
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"params": {
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"min_score": 2.0,
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"merge_bars": 3,
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"trend_ema_span": 60,
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"reversal_pct": 5.0,
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"min_bars_between": 1440,
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"mtf_min_rules_pass": 2,
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"mtf_min_cohens_d": 1.2,
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"mtf_rules_per_type": 4,
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"htf_gate_enabled": true
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},
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"mtf": {
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"rules_path": "/Users/dsyoon/workspace/ncue/DeepCoin/data/mtf/mtf_rules_v3.json",
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"min_rules_pass": 2,
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"htf_gate_enabled": true,
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"rules_by_type": {
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"swing_low": 4,
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"pullback": 4,
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"breakout": 4,
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"div_bull": 4,
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"swing_high": 4,
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"div_bear": 4
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},
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"rejected_signals": 3841
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},
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"baseline_composite": {
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"return_pct": -88.28,
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"final_equity_krw": 46894.0
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}
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} |