d7848df6f7
Phase C/dry-run·미사용 모듈·재생성 HTML을 제거하고, 운영 체결을 sim_causal_hybrid와 동일한 hybrid 로직으로 통합한다. Co-authored-by: Cursor <cursoragent@cursor.com>
1552 lines
36 KiB
JSON
1552 lines
36 KiB
JSON
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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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"holding_value_krw": 0.0,
|
||
"mark_price": 769.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5941,
|
||
"max_drawdown_pct": 31.7,
|
||
"peak_asset_krw": 412983.0,
|
||
"trough_asset_krw": 282062.0,
|
||
"sizing_mode": "monitor_dd_tier",
|
||
"sizing_note": "monitor buy+sell + drawdown·past-leg tier (미래 미사용)",
|
||
"alloc_stats": {
|
||
"buy_executed": 1641,
|
||
"buy_skipped": 820,
|
||
"sell_executed": 3480,
|
||
"sell_skipped": 0,
|
||
"buy_total_krw": 180666607.0,
|
||
"large_leg_count": 1631,
|
||
"large_tier_buy_count": 1631,
|
||
"buy_amount_avg_krw": 110095.0,
|
||
"buy_amount_min_krw": 118.0,
|
||
"buy_amount_max_krw": 2120528.0
|
||
},
|
||
"input_fires": 5941
|
||
},
|
||
"hybrid_dd_params": {
|
||
"dd_large_pct": 5.0,
|
||
"dd_medium_pct": 2.0
|
||
},
|
||
"sim_tier_enhanced": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 249533.0,
|
||
"pnl_krw": -150467.0,
|
||
"pnl_pct": -37.62,
|
||
"total_fees_krw": 39271.0,
|
||
"cash_krw": 249530.0,
|
||
"holding_qty": 0.003368,
|
||
"holding_value_krw": 3.0,
|
||
"mark_price": 769.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5941,
|
||
"max_drawdown_pct": 74.65,
|
||
"peak_asset_krw": 627420.0,
|
||
"trough_asset_krw": 159062.0,
|
||
"sizing_mode": "monitor_tier_enhanced",
|
||
"sizing_note": "monitor buy+sell + past-leg·drawdown tier + conviction (미래 미사용)",
|
||
"alloc_stats": {
|
||
"buy_executed": 142,
|
||
"buy_skipped": 2319,
|
||
"sell_executed": 3480,
|
||
"sell_skipped": 0,
|
||
"buy_total_krw": 39326201.0,
|
||
"large_leg_count": 132,
|
||
"large_tier_buy_count": 132,
|
||
"buy_amount_avg_krw": 276945.0,
|
||
"buy_amount_min_krw": 5000,
|
||
"buy_amount_max_krw": 627090.0
|
||
},
|
||
"input_fires": 5941
|
||
},
|
||
"sim_sized_holdout": {
|
||
"initial_asset_krw": 385338.0,
|
||
"final_asset_krw": 406851.0,
|
||
"pnl_krw": 21513.0,
|
||
"pnl_pct": 5.58,
|
||
"trade_count": 1002,
|
||
"note": "전기간 복리(causal tier) 후 holdout 구간 자산 증감"
|
||
},
|
||
"sim_hybrid_holdout": {
|
||
"initial_asset_krw": 2109733.0,
|
||
"final_asset_krw": 4145923.0,
|
||
"pnl_krw": 2036190.0,
|
||
"pnl_pct": 96.51,
|
||
"trade_count": 1002,
|
||
"note": "전기간 복리(hybrid DD tier) 후 holdout 구간 자산 증감"
|
||
},
|
||
"sim_hybrid_fee_stress": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 3626229.0,
|
||
"pnl_krw": 3226229.0,
|
||
"pnl_pct": 806.56,
|
||
"total_fees_krw": 335315.0,
|
||
"cash_krw": 3626226.0,
|
||
"holding_qty": 0.003685,
|
||
"holding_value_krw": 3.0,
|
||
"mark_price": 769.0,
|
||
"fee_rate": 0.001,
|
||
"trade_count": 5941,
|
||
"max_drawdown_pct": 31.7,
|
||
"peak_asset_krw": 412770.0,
|
||
"trough_asset_krw": 281917.0
|
||
},
|
||
"sim_hybrid_slippage_stress": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 547080.0,
|
||
"pnl_krw": 147080.0,
|
||
"pnl_pct": 36.77,
|
||
"total_fees_krw": 182631.0,
|
||
"cash_krw": 547080.0,
|
||
"holding_qty": 0.0,
|
||
"holding_value_krw": 0.0,
|
||
"mark_price": 769.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5941,
|
||
"max_drawdown_pct": 48.63,
|
||
"peak_asset_krw": 1058643.0,
|
||
"trough_asset_krw": 543801.0,
|
||
"slippage_pct": 0.05,
|
||
"sizing_mode": "hybrid_slippage_stress"
|
||
},
|
||
"hybrid_portfolio_walk_forward": [
|
||
{
|
||
"month": "2025-06",
|
||
"pnl_pct": -16.21,
|
||
"start_asset_krw": 400000.0,
|
||
"end_asset_krw": 335174.0
|
||
},
|
||
{
|
||
"month": "2025-07",
|
||
"pnl_pct": 61.9,
|
||
"start_asset_krw": 335174.0,
|
||
"end_asset_krw": 542633.0
|
||
},
|
||
{
|
||
"month": "2025-08",
|
||
"pnl_pct": 15.34,
|
||
"start_asset_krw": 542633.0,
|
||
"end_asset_krw": 625856.0
|
||
},
|
||
{
|
||
"month": "2025-09",
|
||
"pnl_pct": 61.29,
|
||
"start_asset_krw": 625856.0,
|
||
"end_asset_krw": 1009446.0
|
||
},
|
||
{
|
||
"month": "2025-10",
|
||
"pnl_pct": 10.06,
|
||
"start_asset_krw": 1009446.0,
|
||
"end_asset_krw": 1111046.0
|
||
},
|
||
{
|
||
"month": "2025-11",
|
||
"pnl_pct": 6.2,
|
||
"start_asset_krw": 1111046.0,
|
||
"end_asset_krw": 1179936.0
|
||
},
|
||
{
|
||
"month": "2025-12",
|
||
"pnl_pct": 0.27,
|
||
"start_asset_krw": 1179936.0,
|
||
"end_asset_krw": 1183177.0
|
||
},
|
||
{
|
||
"month": "2026-01",
|
||
"pnl_pct": 35.33,
|
||
"start_asset_krw": 1183177.0,
|
||
"end_asset_krw": 1601182.0
|
||
},
|
||
{
|
||
"month": "2026-02",
|
||
"pnl_pct": 12.87,
|
||
"start_asset_krw": 1601182.0,
|
||
"end_asset_krw": 1807252.0
|
||
},
|
||
{
|
||
"month": "2026-03",
|
||
"pnl_pct": 0.45,
|
||
"start_asset_krw": 1807252.0,
|
||
"end_asset_krw": 1815423.0
|
||
},
|
||
{
|
||
"month": "2026-04",
|
||
"pnl_pct": 17.34,
|
||
"start_asset_krw": 1815423.0,
|
||
"end_asset_krw": 2130294.0
|
||
},
|
||
{
|
||
"month": "2026-05",
|
||
"pnl_pct": 56.23,
|
||
"start_asset_krw": 2130294.0,
|
||
"end_asset_krw": 3328225.0
|
||
},
|
||
{
|
||
"month": "2026-06",
|
||
"pnl_pct": 24.57,
|
||
"start_asset_krw": 3328225.0,
|
||
"end_asset_krw": 4145923.0
|
||
}
|
||
],
|
||
"hybrid_portfolio_wf_summary": {
|
||
"months": 13,
|
||
"positive_months": 12,
|
||
"positive_ratio": 0.9231,
|
||
"mean_pnl_pct": 21.97
|
||
},
|
||
"primary_sizing": "causal_tier",
|
||
"sim_primary": {
|
||
"initial_cash_krw": 400000,
|
||
"final_asset_krw": 406850.0,
|
||
"pnl_krw": 6850.0,
|
||
"pnl_pct": 1.71,
|
||
"total_fees_krw": 13503.0,
|
||
"cash_krw": 406791.0,
|
||
"holding_qty": 0.077013,
|
||
"holding_value_krw": 59.0,
|
||
"mark_price": 769.0,
|
||
"fee_rate": 0.0005,
|
||
"trade_count": 5941,
|
||
"max_drawdown_pct": 31.68,
|
||
"peak_asset_krw": 412757.0,
|
||
"trough_asset_krw": 281982.0,
|
||
"sizing_mode": "gt_model_compound_causal",
|
||
"sizing_note": "전기간 복리·GT tier·총자산×비중, 보유현금 한도; 인과적 신호·tier(미래 미사용)"
|
||
},
|
||
"gt_capture_ratio": 0.0003,
|
||
"gt_pnl_pct": 5254.7,
|
||
"sim_sized_pnl_pct": 1.71,
|
||
"gt_model_capture_ratio": 0.0039,
|
||
"causal_gt_capture_ratio": 0.0027,
|
||
"sim_causal_gt_pnl_pct": 14.39,
|
||
"causal_hybrid_capture_ratio": 0.1782,
|
||
"sim_causal_hybrid_pnl_pct": 936.48,
|
||
"tier_enhanced_capture_ratio": -0.0072,
|
||
"sim_tier_enhanced_pnl_pct": -37.62,
|
||
"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,
|
||
72,
|
||
74,
|
||
76,
|
||
78
|
||
],
|
||
"large_leg_count": 16,
|
||
"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": {
|
||
"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": {
|
||
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|
||
"option_c_phase2_fee_stress_ratio": 0.85,
|
||
"option_c_min_gt_capture": 0.23
|
||
}
|
||
} |