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Bithumb/docs/04_matching/simulation_report.json
dsyoon c6888c9228 40만 원 기준 시뮬·dry-run 정합 및 hybrid 체결 엔진 통합. 
초기 자금 GT_INITIAL_CASH_KRW=400000과 원화 한도 비율(알림·LIVE_ORDER·일한도·손실한도)을 맞추고, dry-run/live 체결을 sim_causal_hybrid(replay)와 동일 경로로 통합한다. 시뮬 리포트 갱신, Phase C 슈퍼바이저·매수매도 리허설 스크립트를 추가한다.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-06-03 11:31:24 +09:00

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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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},
"gt_capture_ratio": 0.0052,
"gt_pnl_pct": 7038.74,
"sim_sized_pnl_pct": 36.56,
"gt_model_capture_ratio": 0.0006,
"causal_gt_capture_ratio": 0.0021,
"sim_causal_gt_pnl_pct": 14.99,
"causal_hybrid_capture_ratio": 0.1587,
"sim_causal_hybrid_pnl_pct": 1116.87,
"tier_enhanced_capture_ratio": -0.0059,
"sim_tier_enhanced_pnl_pct": -41.83,
"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,
14,
18,
19,
20,
21,
22,
33,
40,
46,
49,
52,
53,
72,
74
],
"large_leg_count": 16,
"config_pct_large": 1.0,
"config_pct_small": 0.05,
"observed_implied_scale": {
"all": {
"count": 18,
"mean": 0.3111,
"median": 0.1346,
"p25": 0.1309,
"p75": 0.1509
},
"large_leg": {
"count": 1,
"mean": 3.2206,
"median": 3.2206,
"p25": 3.2206,
"p75": 3.2206
},
"small_leg": {
"count": 17,
"mean": 0.14,
"median": 0.1323,
"p25": 0.1309,
"p75": 0.1502
}
},
"recommended_pct_large_leg": 3.2206,
"recommended_pct_small_leg": 0.1323,
"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": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"20": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"21": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"22": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"23": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"24": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 4,
"n_sell": 2,
"valid": true
},
"25": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"26": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"27": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 1,
"valid": true
},
"28": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"29": {
"buy_sum": 0.999,
"sell_sum": 1.0,
"n_buy": 5,
"n_sell": 2,
"valid": true
},
"30": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 5,
"n_sell": 2,
"valid": true
},
"31": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"32": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"33": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"34": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"35": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 7,
"n_sell": 2,
"valid": true
},
"36": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 4,
"n_sell": 2,
"valid": true
},
"37": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"38": {
"buy_sum": 0.999,
"sell_sum": 1.0,
"n_buy": 7,
"n_sell": 2,
"valid": true
},
"39": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"40": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"41": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 12,
"n_sell": 2,
"valid": true
},
"42": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 11,
"n_sell": 2,
"valid": true
},
"43": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 5,
"n_sell": 2,
"valid": true
},
"44": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"45": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 7,
"n_sell": 2,
"valid": true
},
"46": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 5,
"n_sell": 2,
"valid": true
},
"47": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"48": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 8,
"n_sell": 2,
"valid": true
},
"49": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 10,
"n_sell": 2,
"valid": true
},
"50": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 4,
"n_sell": 2,
"valid": true
},
"51": {
"buy_sum": 0.999,
"sell_sum": 1.0,
"n_buy": 5,
"n_sell": 2,
"valid": true
},
"52": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 6,
"n_sell": 2,
"valid": true
},
"53": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 6,
"n_sell": 2,
"valid": true
},
"54": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 6,
"n_sell": 2,
"valid": true
},
"55": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"56": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"57": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"58": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 6,
"n_sell": 2,
"valid": true
},
"59": {
"buy_sum": 0.999,
"sell_sum": 1.0,
"n_buy": 9,
"n_sell": 2,
"valid": true
},
"60": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 5,
"n_sell": 2,
"valid": true
},
"61": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 4,
"n_sell": 2,
"valid": true
},
"62": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 4,
"n_sell": 2,
"valid": true
},
"63": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"64": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 7,
"n_sell": 2,
"valid": true
},
"65": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 2,
"n_sell": 2,
"valid": true
},
"66": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"67": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"68": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"69": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 1,
"n_sell": 2,
"valid": true
},
"70": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 4,
"n_sell": 2,
"valid": true
},
"71": {
"buy_sum": 0.999,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"72": {
"buy_sum": 1.001,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 2,
"valid": true
},
"73": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 6,
"n_sell": 2,
"valid": true
},
"74": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 4,
"n_sell": 2,
"valid": true
},
"75": {
"buy_sum": 1.0,
"sell_sum": 1.0,
"n_buy": 3,
"n_sell": 1,
"valid": true
}
},
"invalid_leg_ids": [],
"all_valid": true
},
"monitor_rules": [
{
"rule_id": "buy_compound_tight",
"side": "buy",
"kind": "compound_tight",
"conditions": [
{
"col": "m10_bb_pos",
"op": "between",
"lo": 0.020269805294580265,
"hi": 0.1573047482613718
},
{
"col": "m10_ga_cci_20",
"op": "between",
"lo": -176.0610418573743,
"hi": -134.25322440673844
},
{
"col": "m5_bb_pos",
"op": "between",
"lo": 0.04935035261803711,
"hi": 0.1678449416858898
}
],
"valid_fire_rate": 0.0143,
"metrics": {
"all": {
"count": 2287,
"ev_pct": 5.0966,
"win_rate": 0.6891,
"profit_factor": 3.1319
},
"train": {
"count": 1446,
"ev_pct": 4.3319,
"win_rate": 0.6812,
"profit_factor": 3.0046
},
"valid": {
"count": 620,
"ev_pct": 6.6782,
"win_rate": 0.7226,
"profit_factor": 3.3483
},
"holdout": {
"count": 221,
"ev_pct": 5.6633,
"win_rate": 0.6471,
"profit_factor": 3.1592
}
},
"pass_valid": true,
"pass_holdout": true
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"kind": "mtf_cross",
"conditions": [
{
"col": "m3_ga_cci_20",
"op": "between",
"lo": 71.08020816708225,
"hi": 152.0239279574577
},
{
"col": "m5_bb_pos",
"op": "between",
"lo": 0.7812942210429725,
"hi": 0.979827466617936
},
{
"col": "m10_bb_pos",
"op": "between",
"lo": 0.8052954063070535,
"hi": 1.0
},
{
"col": "m15_bb_pos",
"op": "between",
"lo": 0.8266597207479214,
"hi": 1.0
},
{
"col": "m30_ga_ha_bull",
"op": "eq_int",
"value": 1
},
{
"col": "m60_ga_ha_bull",
"op": "eq_int",
"value": 1
},
{
"col": "m240_ga_ha_bull",
"op": "eq_int",
"value": 1
},
{
"col": "d1_ga_ha_bull",
"op": "eq_int",
"value": 1
}
],
"valid_fire_rate": 0.013,
"metrics": {
"all": {
"count": 2938,
"ev_pct": 7.2232,
"win_rate": 1.0,
"profit_factor": 21221.6254
},
"train": {
"count": 1749,
"ev_pct": 7.1667,
"win_rate": 1.0,
"profit_factor": 12534.5465
},
"valid": {
"count": 565,
"ev_pct": 7.4984,
"win_rate": 1.0,
"profit_factor": 4236.5917
},
"holdout": {
"count": 624,
"ev_pct": 7.1322,
"win_rate": 1.0,
"profit_factor": 4450.4872
}
},
"pass_valid": true,
"pass_holdout": true
}
],
"gt_portfolio_calibration": {
"portfolio": {
"gt_final_asset_krw": 28785435.0,
"subset_final_asset_krw": 400000.0,
"asset_ratio": 0.0139,
"asset_accuracy_pct": 1.39,
"target_met_90": false,
"legs_total": 76,
"legs_covered": 0,
"leg_coverage_ratio": 0.0,
"full_pnl_pct": 7096.36,
"subset_pnl_pct": 0.0
},
"note": "캘리브레이션 미실행 — scripts/04_calibrate_gt_assets.py"
},
"criteria": {
"min_holdout_ev": 0.0,
"min_holdout_pf": 1.0,
"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
}
}
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