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>
102 lines
4.5 KiB
Plaintext
102 lines
4.5 KiB
Plaintext
# DeepCoin — .env.example (비밀값 없음). 복사: cp .env.example .env
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# --- 빗썸 API (캔들 수집은 Public API, 키 선택) ---
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BITHUMB_ACCESS_KEY=
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BITHUMB_SECRET_KEY=
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BITHUMB_API_URL=https://api.bithumb.com
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BITHUMB_API_CANDLE_COUNT=200
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BITHUMB_MINUTE_INTERVALS=3,5,10,15,30,60,240
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HTS_API_RETRY_SLEEP_SEC=0.5
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# --- 텔레그램 (선택) ---
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COIN_TELEGRAM_BOT_TOKEN=
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COIN_TELEGRAM_CHAT_ID=
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# --- 거래 대상 ---
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SYMBOL=BTC
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COIN_NAME=비트코인
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# --- 데이터 수집 (2017-01-01~, DB 최신 기준 약 3447일) ---
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# 인터벌 코드: 분봉=분, 일봉=1440, 주봉=10080, 월봉=43200
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DB_PATH=coins.db
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DOWNLOAD_DAYS=3447
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DOWNLOAD_INTERVALS=3,5,10,15,30,60,240,1440,10080,43200
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API_REQUEST_SLEEP_SEC=0.35
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API_REQUEST_RETRIES=3
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# --- Ground Truth (0단계: GT 타점, 2017~) ---
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GT_INTERVAL_MIN=3
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GT_LOOKBACK_DAYS=3447
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GT_INITIAL_CASH_KRW=400000
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# 매수 상한: 총평가 1억↑ 현금 10% · 10억↑ 5% · 100억↑ 1% (order_sizing.py)
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GT_TRADING_FEE_RATE=0.0005
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GT_ZIGZAG_REVERSAL_PCT=5.0
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GT_MIN_LEG_PCT=3.0
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GT_PULLBACK_MIN_PCT=1.5
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GT_PULLBACK_LOCAL_ORDER=10
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GT_BREAKOUT_BUFFER_PCT=0.1
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GT_BREAKOUT_CONSOLIDATION_BARS=200
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GT_BREAKOUT_MIN_RALLY_PCT=2.0
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GT_DIV_LOCAL_ORDER=20
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GT_DIV_MIN_BARS_BETWEEN=1500
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GT_DIV_MIN_RSI_DIFF=5.0
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GT_DIV_MIN_FUTURE_MOVE_PCT=4.0
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GROUND_TRUTH_FILE=data/ground_truth/spot/ground_truth_trades_v3.json
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GROUND_TRUTH_V1_FILE=data/ground_truth/spot/ground_truth_trades_v1.json
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GROUND_TRUTH_V2_FILE=data/ground_truth/spot/ground_truth_trades_v2.json
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GROUND_TRUTH_CHART_V1_FILE=docs/0_ground_truth/spot/ground_truth_chart_v1.html
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GROUND_TRUTH_CHART_V2_FILE=docs/0_ground_truth/spot/ground_truth_chart_v2.html
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GROUND_TRUTH_CHART_V3_FILE=docs/0_ground_truth/spot/ground_truth_chart_v3.html
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# --- 1단계: GT 기반 sim (최근 3년) ---
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GT_SIM_LOOKBACK_DAYS=1095
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GROUND_TRUTH_CHART_SIM_V1_FILE=docs/1_simulation/spot/ground_truth_chart_sim_v1.html
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GROUND_TRUTH_CHART_SIM_V2_FILE=docs/1_simulation/spot/ground_truth_chart_sim_v2.html
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GROUND_TRUTH_CHART_SIM_V3_FILE=docs/1_simulation/spot/ground_truth_chart_sim_v3.html
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GROUND_TRUTH_FUTURES_CHART_V1_FILE=docs/0_ground_truth/futures/ground_truth_chart_v1.html
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GROUND_TRUTH_FUTURES_CHART_V2_FILE=docs/0_ground_truth/futures/ground_truth_chart_v2.html
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GROUND_TRUTH_FUTURES_CHART_V3_FILE=docs/0_ground_truth/futures/ground_truth_chart_v3.html
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GROUND_TRUTH_FUTURES_CHART_SIM_V1_FILE=docs/1_simulation/futures/ground_truth_chart_sim_v1.html
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GROUND_TRUTH_FUTURES_CHART_SIM_V2_FILE=docs/1_simulation/futures/ground_truth_chart_sim_v2.html
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GROUND_TRUTH_FUTURES_CHART_SIM_V3_FILE=docs/1_simulation/futures/ground_truth_chart_sim_v3.html
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# docs/0_ground_truth/{spot,futures}/ — 0단계 GT 타점 차트
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# docs/1_simulation/{spot,futures}/ — 1단계 sim 차트
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# docs/2_analysis/{spot,futures}/ — 2단계 분석 리포트
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# docs/3_causal/{spot,futures}/ — 3단계 인과 sim·리포트
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# --- 2단계: 인과 기법 GT 정합 ---
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TECHNIQUES_DIR=data/techniques
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ANALYSIS_REPORT_JSON=docs/2_analysis/spot/comparison_report.json
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ANALYSIS_REPORT_HTML=docs/2_analysis/spot/comparison_report.html
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SIGNAL_TYPE_REPORT_JSON=docs/2_analysis/spot/signal_type_report.json
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SIGNAL_TYPE_REPORT_HTML=docs/2_analysis/spot/signal_type_report.html
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GT_ALIGN_TOLERANCE_BARS=480
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MTF_REPORT_JSON=docs/2_analysis/spot/mtf_correlation_report.json
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MTF_REPORT_HTML=docs/2_analysis/spot/mtf_correlation_report.html
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MTF_RULES_JSON=data/mtf/mtf_rules_v3.json
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STRATEGY_MTF_MIN_COHENS_D=1.2
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STRATEGY_MTF_MAX_RULES_PER_TYPE=4
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STRATEGY_MTF_MIN_RULES_PASS=2
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STRATEGY_HTF_GATE_ENABLED=true
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STRATEGY_HTF_BUY_BLOCK_DAILY_BELOW_PCT=-25
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STRATEGY_HTF_BUY_BLOCK_60M_BELOW_PCT=-15
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STRATEGY_HTF_SELL_BLOCK_DAILY_ABOVE_PCT=35
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STRATEGY_HTF_SELL_BLOCK_60M_ABOVE_PCT=20
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# --- 3단계: 인과 시뮬 (1단계 sim 대비) ---
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CAUSAL_DIR=data/causal
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CAUSAL_FUTURES_REPORT_JSON=docs/3_causal/futures/causal_futures_report.json
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CAUSAL_FUTURES_REPORT_HTML=docs/3_causal/futures/causal_futures_report.html
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CAUSAL_FUTURES_CHART_HTML=docs/3_causal/futures/causal_chart_sim_v3.html
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CAUSAL_MTF_REPORT_JSON=docs/3_causal/futures/causal_mtf_futures_report.json
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CAUSAL_MTF_REPORT_HTML=docs/3_causal/futures/causal_mtf_futures_report.html
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CAUSAL_MTF_CHART_HTML=docs/3_causal/futures/causal_mtf_chart_sim_v3.html
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WALKFORWARD_REPORT_JSON=docs/3_causal/futures/walkforward_mtf_report.json
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WALKFORWARD_REPORT_HTML=docs/3_causal/futures/walkforward_mtf_report.html
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WALKFORWARD_CHART_HTML=docs/3_causal/futures/walkforward_mtf_chart_sim_v3.html
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STRATEGY_ATR_PERIOD=14
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STRATEGY_ATR_MULT=2.0
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STRATEGY_MIN_SCORE=2.0
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STRATEGY_MIN_BARS_BETWEEN=1440
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