Bithumb/scripts/02_ground_truth_futures_sim.py

#!/usr/bin/env python3
"""1단계: 선물 GT sim (0단계 GT 타점 · L↑/L↓/S↓/S↑) + 차트 생성."""

from __future__ import annotations

import argparse
import json
import logging
import sys
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.futures_chart import render_futures_sim_chart
from deepcoin.ground_truth.futures_pnl import simulate_futures_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 _tier_targets(settings: Settings, tier_arg: str) -> list[tuple[str, Path, Path]]:
    """티어별 (tier, json_path, sim_chart_path)."""
    all_tiers: dict[str, tuple[Path, Path]] = {
        "v1": (settings.ground_truth_v1_file, settings.ground_truth_futures_chart_sim_v1_file),
        "v2": (settings.ground_truth_v2_file, settings.ground_truth_futures_chart_sim_v2_file),
        "v3": (settings.ground_truth_file, settings.ground_truth_futures_chart_sim_v3_file),
    }
    if tier_arg == "all":
        return [(t, *paths) for t, paths in all_tiers.items()]
    return [(tier_arg, *all_tiers[tier_arg])]


def _load_gt(json_path: Path) -> dict[str, Any]:
    """현물 GT JSON을 로드한다."""
    with json_path.open(encoding="utf-8") as fp:
        return json.load(fp)


def _print_summary(tier: str, sim_pnl: dict[str, Any], chart_path: Path) -> None:
    """티어별 선물 sim 요약을 출력한다."""
    print(f"\n=== 1단계 선물 sim {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"롱 {sim_pnl['final_long_qty']:.8f} ({sim_pnl['final_long_value_krw']:,.0f}원) - "
        f"숏 {sim_pnl['final_short_qty']:.8f} ({sim_pnl['final_short_value_krw']:,.0f}원)"
    )
    print(
        f"체결 L↑{sim_pnl['long_opens_executed']}/L↓{sim_pnl['long_closes_executed']} · "
        f"S↓{sim_pnl['short_opens_executed']}/S↑{sim_pnl['short_closes_executed']} | "
        f"스킵 {sim_pnl['trades_skipped']}"
    )
    print(f"sim 차트: {chart_path}")


def main() -> int:
    """CLI 진입점."""
    parser = argparse.ArgumentParser(description="1단계: 선물 GT sim (최근 3년)")
    parser.add_argument(
        "--sim-days",
        type=int,
        default=None,
        help="시뮬 기간(일). 기본 GT_SIM_LOOKBACK_DAYS 또는 365",
    )
    parser.add_argument(
        "--tier",
        choices=("v1", "v2", "v3", "all"),
        default="all",
        help="대상 GT 버전",
    )
    parser.add_argument("-v", "--verbose", action="store_true")
    args = parser.parse_args()

    _configure_logging(args.verbose)
    settings = load_settings()
    sim_days = args.sim_days or settings.gt_sim_lookback_days
    tiers = _tier_targets(settings, args.tier)

    logging.info(
        "1단계 선물 sim: %s, sim %s일, 초기=%s원",
        settings.symbol,
        sim_days,
        f"{settings.gt_initial_cash_krw:,.0f}",
    )

    print("\n=== 1단계: 선물 Ground Truth sim ===")
    print(f"초기 자본: {settings.gt_initial_cash_krw:,.0f}원 | 시뮬 기간: 최근 {sim_days}일")
    print("L↑상방매수 L↓상방매도 S↓하방매수 S↑하방매도")

    for tier, json_path, sim_chart_path in tiers:
        if not json_path.exists():
            logging.error("현물 GT JSON 없음: %s — 먼저 02_ground_truth.py 실행", json_path)
            return 1

        gt_result = _load_gt(json_path)
        interval_min = gt_result["meta"]["interval_min"]
        df = load_candles(
            db_path=settings.db_path,
            symbol=settings.symbol,
            interval_min=interval_min,
            lookback_days=gt_result["meta"]["lookback_days"],
        )
        last_close = float(df["close"].iloc[-1])

        sim_pnl = simulate_futures_gt_signals_pnl(
            signals=gt_result.get("signals") or [],
            initial_cash_krw=settings.gt_initial_cash_krw,
            fee_rate=settings.gt_trading_fee_rate,
            sim_lookback_days=sim_days,
            data_end=gt_result["meta"]["data_to"],
            last_mark_price=last_close,
        )

        render_futures_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_summary(tier, sim_pnl, sim_chart_path)

    return 0


if __name__ == "__main__":
    raise SystemExit(main())