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Bithumb/docs/04_matching/simulation_report.json
xavis 7e305f480f docs 산출물(GT·분석·매칭·시뮬)을 Git 추적 대상에 포함한다. 
.gitignore에서 docs 하위 제외 규칙을 제거하고 최신 HTML·CSV·JSON 리포트를 원격에 공유한다.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-05-31 19:56:17 +09:00

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"month": "2026-03",
"count": 205,
"ev_pct": 4.4932,
"win_rate": 0.9415,
"profit_factor": 16.1177
},
{
"rule_id": "sell_compound_tight",
"side": "sell",
"month": "2026-04",
"count": 199,
"ev_pct": 2.6254,
"win_rate": 0.8492,
"profit_factor": 12.0323
},
{
"rule_id": "sell_compound_tight",
"side": "sell",
"month": "2026-05",
"count": 312,
"ev_pct": 6.6931,
"win_rate": 0.9776,
"profit_factor": 139.9974
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2025-06",
"count": 1046,
"ev_pct": 5.3143,
"win_rate": 0.9694,
"profit_factor": 60.8886
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2025-07",
"count": 1503,
"ev_pct": 5.2952,
"win_rate": 0.9501,
"profit_factor": 27.4175
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2025-08",
"count": 1327,
"ev_pct": 5.2946,
"win_rate": 0.9661,
"profit_factor": 117.1986
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2025-09",
"count": 1279,
"ev_pct": 5.1417,
"win_rate": 0.9312,
"profit_factor": 32.1165
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2025-10",
"count": 1258,
"ev_pct": 3.7386,
"win_rate": 0.9316,
"profit_factor": 33.5529
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2025-11",
"count": 1277,
"ev_pct": 5.0646,
"win_rate": 0.9507,
"profit_factor": 51.1384
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2025-12",
"count": 1269,
"ev_pct": 3.9295,
"win_rate": 0.963,
"profit_factor": 34.6971
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2026-01",
"count": 1398,
"ev_pct": 4.7231,
"win_rate": 0.9599,
"profit_factor": 64.7014
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2026-02",
"count": 1163,
"ev_pct": 5.8176,
"win_rate": 0.9948,
"profit_factor": 727.6797
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2026-03",
"count": 1303,
"ev_pct": 3.5755,
"win_rate": 0.8979,
"profit_factor": 6.9266
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2026-04",
"count": 1319,
"ev_pct": 2.857,
"win_rate": 0.8855,
"profit_factor": 11.4726
},
{
"rule_id": "sell_compound_top3",
"side": "sell",
"month": "2026-05",
"count": 1657,
"ev_pct": 5.4517,
"win_rate": 0.9572,
"profit_factor": 68.7177
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2025-06",
"count": 1055,
"ev_pct": 5.3027,
"win_rate": 0.9716,
"profit_factor": 69.0846
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2025-07",
"count": 1516,
"ev_pct": 5.2797,
"win_rate": 0.9459,
"profit_factor": 33.0648
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2025-08",
"count": 1412,
"ev_pct": 5.1394,
"win_rate": 0.9441,
"profit_factor": 67.903
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2025-09",
"count": 1232,
"ev_pct": 4.8002,
"win_rate": 0.9091,
"profit_factor": 23.4189
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2025-10",
"count": 1323,
"ev_pct": 3.7359,
"win_rate": 0.9327,
"profit_factor": 40.3843
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2025-11",
"count": 1287,
"ev_pct": 4.9171,
"win_rate": 0.9301,
"profit_factor": 31.5454
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2025-12",
"count": 1318,
"ev_pct": 3.5399,
"win_rate": 0.9317,
"profit_factor": 18.8513
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2026-01",
"count": 1469,
"ev_pct": 4.2984,
"win_rate": 0.9469,
"profit_factor": 42.8817
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2026-02",
"count": 1223,
"ev_pct": 5.6511,
"win_rate": 0.9853,
"profit_factor": 229.8736
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2026-03",
"count": 1292,
"ev_pct": 3.5037,
"win_rate": 0.8916,
"profit_factor": 7.1733
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2026-04",
"count": 1350,
"ev_pct": 2.7395,
"win_rate": 0.883,
"profit_factor": 9.8467
},
{
"rule_id": "sell_contrast_m10_bb_pos",
"side": "sell",
"month": "2026-05",
"count": 1627,
"ev_pct": 5.49,
"win_rate": 0.9521,
"profit_factor": 65.1094
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2025-06",
"count": 136,
"ev_pct": 6.9499,
"win_rate": 1.0,
"profit_factor": 945.1828
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2025-07",
"count": 438,
"ev_pct": 7.6836,
"win_rate": 1.0,
"profit_factor": 3365.4343
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2025-08",
"count": 231,
"ev_pct": 7.696,
"win_rate": 1.0,
"profit_factor": 1777.7845
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2025-09",
"count": 241,
"ev_pct": 8.0974,
"win_rate": 1.0,
"profit_factor": 1951.4689
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2025-10",
"count": 122,
"ev_pct": 4.2755,
"win_rate": 1.0,
"profit_factor": 521.6132
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2025-11",
"count": 204,
"ev_pct": 6.5692,
"win_rate": 1.0,
"profit_factor": 1340.1171
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2025-12",
"count": 181,
"ev_pct": 6.2362,
"win_rate": 1.0,
"profit_factor": 1128.7579
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2026-01",
"count": 244,
"ev_pct": 8.4765,
"win_rate": 1.0,
"profit_factor": 2068.2637
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2026-02",
"count": 199,
"ev_pct": 8.3106,
"win_rate": 1.0,
"profit_factor": 1653.8078
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2026-03",
"count": 233,
"ev_pct": 6.8041,
"win_rate": 1.0,
"profit_factor": 1585.3489
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2026-04",
"count": 237,
"ev_pct": 5.097,
"win_rate": 1.0,
"profit_factor": 1207.9774
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"month": "2026-05",
"count": 472,
"ev_pct": 7.7879,
"win_rate": 1.0,
"profit_factor": 3675.8689
}
],
"walk_forward_summary": {
"buy_compound_tight": {
"months": 12,
"positive_months": 9,
"positive_ratio": 0.75,
"mean_ev_pct": 5.7974
},
"buy_compound_top3": {
"months": 12,
"positive_months": 9,
"positive_ratio": 0.75,
"mean_ev_pct": 5.5076
},
"buy_contrast_m10_bb_pos": {
"months": 12,
"positive_months": 9,
"positive_ratio": 0.75,
"mean_ev_pct": 5.4605
},
"buy_mtf_cross_all_tf": {
"months": 12,
"positive_months": 11,
"positive_ratio": 0.9167,
"mean_ev_pct": 6.007
},
"gt_model_buy_trough_local": {
"months": 12,
"positive_months": 10,
"positive_ratio": 0.8333,
"mean_ev_pct": 6.2957
},
"gt_model_buy_zigzag_bb": {
"months": 8,
"positive_months": 8,
"positive_ratio": 1.0,
"mean_ev_pct": 10.2649
},
"gt_model_sell_peak_local": {
"months": 12,
"positive_months": 12,
"positive_ratio": 1.0,
"mean_ev_pct": 2.6379
},
"gt_model_sell_zigzag_peak": {
"months": 2,
"positive_months": 2,
"positive_ratio": 1.0,
"mean_ev_pct": 11.6154
},
"sell_compound_tight": {
"months": 12,
"positive_months": 12,
"positive_ratio": 1.0,
"mean_ev_pct": 4.7678
},
"sell_compound_top3": {
"months": 12,
"positive_months": 12,
"positive_ratio": 1.0,
"mean_ev_pct": 4.6836
},
"sell_contrast_m10_bb_pos": {
"months": 12,
"positive_months": 12,
"positive_ratio": 1.0,
"mean_ev_pct": 4.5331
},
"sell_mtf_cross_all_tf": {
"months": 12,
"positive_months": 12,
"positive_ratio": 1.0,
"mean_ev_pct": 6.9987
}
},
"fee_stress_mult": 2.0,
"fee_stress_by_rule": {
"buy_compound_top3": {
"count": 17631,
"ev_pct": 5.2063,
"win_rate": 0.7138,
"profit_factor": 3.4418
},
"buy_compound_tight": {
"count": 2287,
"ev_pct": 4.9966,
"win_rate": 0.6874,
"profit_factor": 3.0632
},
"buy_contrast_m10_bb_pos": {
"count": 17993,
"ev_pct": 5.2294,
"win_rate": 0.7098,
"profit_factor": 3.4977
},
"buy_mtf_cross_all_tf": {
"count": 3533,
"ev_pct": 5.3986,
"win_rate": 0.7085,
"profit_factor": 3.899
},
"sell_compound_top3": {
"count": 15799,
"ev_pct": 4.5906,
"win_rate": 0.9455,
"profit_factor": 29.2716
},
"sell_compound_tight": {
"count": 2547,
"ev_pct": 4.7878,
"win_rate": 0.9458,
"profit_factor": 38.8127
},
"sell_contrast_m10_bb_pos": {
"count": 16104,
"ev_pct": 4.4385,
"win_rate": 0.9343,
"profit_factor": 25.8628
},
"sell_mtf_cross_all_tf": {
"count": 2938,
"ev_pct": 7.1232,
"win_rate": 1.0,
"profit_factor": 20927.8254
},
"gt_model_buy_zigzag_bb": {
"count": 25,
"ev_pct": 8.5824,
"win_rate": 0.84,
"profit_factor": 41.1466
},
"gt_model_buy_trough_local": {
"count": 1505,
"ev_pct": 5.9624,
"win_rate": 0.7302,
"profit_factor": 4.588
},
"gt_model_sell_zigzag_peak": {
"count": 8,
"ev_pct": 11.7981,
"win_rate": 1.0,
"profit_factor": 94.3851
},
"gt_model_sell_peak_local": {
"count": 6554,
"ev_pct": 2.3084,
"win_rate": 0.8184,
"profit_factor": 4.8039
}
},
"live_order_cap_sim": {
"assumptions": {
"slippage_pct": 0.05,
"sizing": "gt_model_compound_no_daily_cap"
},
"taken_count": 845,
"total_count": 845,
"rules": {
"buy_compound_tight": {
"taken_count": 221,
"total_count": 221,
"metrics": {
"count": 221,
"ev_pct": 5.6133,
"win_rate": 0.6471,
"profit_factor": 3.1259
}
},
"sell_mtf_cross_all_tf": {
"taken_count": 624,
"total_count": 624,
"metrics": {
"count": 624,
"ev_pct": 7.0822,
"win_rate": 1.0,
"profit_factor": 4419.2872
}
}
},
"portfolio_adj_ev_pct": 6.698
},
"go_no_go": {
"go": true,
"checks": [
{
"rule_id": "buy_compound_tight",
"side": "buy",
"pass": true,
"holdout_ev": 5.6633,
"holdout_pf": 3.1592,
"wf_positive_ratio": 0.75,
"fee_stress_ev": 4.9966
},
{
"rule_id": "sell_mtf_cross_all_tf",
"side": "sell",
"pass": true,
"holdout_ev": 7.1322,
"holdout_pf": 4450.4872,
"wf_positive_ratio": 1.0,
"fee_stress_ev": 7.1232
}
],
"live_cap_taken_ratio": 1.0
},
"portfolio_compare": {
"ground_truth_chrono": {
"initial_cash_krw": 1000000,
"final_asset_krw": 43913514.0,
"pnl_krw": 42913514.0,
"pnl_pct": 4291.35,
"total_fees_krw": 240578.0,
"cash_krw": 43913514.0,
"holding_qty": 0.0,
"holding_value_krw": 0.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 456,
"max_drawdown_pct": 6.17,
"peak_asset_krw": 1234838.0,
"trough_asset_krw": 1158619.0
},
"sim_sized": {
"initial_cash_krw": 1000000,
"final_asset_krw": 1746868.0,
"pnl_krw": 746868.0,
"pnl_pct": 74.69,
"total_fees_krw": 29780.0,
"cash_krw": 1509979.0,
"holding_qty": 486.425998,
"holding_value_krw": 236889.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 5225,
"max_drawdown_pct": 9.53,
"peak_asset_krw": 1023021.0,
"trough_asset_krw": 925549.0,
"sizing_mode": "gt_model_compound_causal",
"sizing_note": "전기간 복리·GT tier·총자산×비중, 보유현금 한도; 인과적 신호·tier(미래 미사용)"
},
"sim_fixed_order": {
"initial_cash_krw": 1000000,
"final_asset_krw": 58389.0,
"pnl_krw": -941611.0,
"pnl_pct": -94.16,
"total_fees_krw": 43869.0,
"cash_krw": -0.0,
"holding_qty": 119.896264,
"holding_value_krw": 58389.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"order_krw": 100000.0,
"sizing_mode": "fixed",
"trade_count": 5225
},
"sim_gt_model": {
"initial_cash_krw": 1000000,
"final_asset_krw": 1081984.0,
"pnl_krw": 81984.0,
"pnl_pct": 8.2,
"total_fees_krw": 240.0,
"cash_krw": 881042.0,
"holding_qty": 412.612808,
"holding_value_krw": 200942.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 33,
"max_drawdown_pct": 4.38,
"peak_asset_krw": 1072413.0,
"trough_asset_krw": 1025457.0,
"sizing_mode": "gt_model_compound_causal",
"sizing_note": "전기간 복리·GT tier·총자산×비중, 보유현금 한도; 인과적 신호·tier(미래 미사용)"
},
"sim_sized_holdout": {
"initial_asset_krw": 1605322.0,
"final_asset_krw": 1751246.0,
"pnl_krw": 145924.0,
"pnl_pct": 9.09,
"note": "전기간 복리 후 holdout 구간 자산 증감 (1M 재시작 아님)",
"trade_count": 845
},
"gt_capture_ratio": 0.0174,
"gt_pnl_pct": 4291.35,
"sim_sized_pnl_pct": 74.69,
"gt_model_capture_ratio": 0.0019,
"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": 0.1106,
"median": 0.0527,
"p25": 0.051,
"p75": 0.054
},
"large_leg": {
"count": 1,
"mean": 1.0812,
"median": 1.0812,
"p25": 1.0812,
"p75": 1.0812
},
"small_leg": {
"count": 17,
"mean": 0.0535,
"median": 0.051,
"p25": 0.051,
"p75": 0.0539
}
},
"recommended_pct_large_leg": 1.0812,
"recommended_pct_small_leg": 0.051,
"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,
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"note": "캘리브레이션 미실행 — scripts/04_calibrate_gt_assets.py"
},
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}
}
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