dsyoon
7276001700
매수만 건당 상한(2,000만 원)을 적용하고 초기 자본을 100만 원으로 올린 뒤, 현실적인 체결 규모로 spot·futures sim v1~v3를 재생성한다. Co-authored-by: Cursor <cursoragent@cursor.com>
223 lines
7.5 KiB
Python
223 lines
7.5 KiB
Python
#!/usr/bin/env python3
|
|
"""2단계: Ground Truth 타점 기준 1년 수익 시뮬 + 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 deepcoin.config import Settings, load_settings
|
|
from deepcoin.data.candle_loader import load_candles
|
|
from deepcoin.data.intervals import interval_label
|
|
from deepcoin.ground_truth.chart import render_ground_truth_sim_chart
|
|
from deepcoin.ground_truth.ground_truth import GtParams, build_ground_truth, save_ground_truth
|
|
from deepcoin.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=== 2단계 시뮬 {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="Ground Truth 1년 수익 시뮬 (2단계)")
|
|
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(
|
|
"2단계 시뮬: %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 2단계 수익 시뮬 ===")
|
|
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,
|
|
max_buy_order_krw=settings.gt_max_buy_order_krw,
|
|
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())
|