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Bithumb/docs/04_matching/simulation_report.json
xavis d385456867 hybrid DD tier와 Option C 2차(+1000%) 검증을 추가하고 실거래 사이징을 정합한다. 
인과 GT leg 엔진·drawdown tier·train 캘리브레이션, Phase 2 Go/No-Go 및 시뮬 리포트를 반영한다.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-06-01 16:09:28 +09:00

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{
"label_mode": "leg_gt",
"train_ratio": 0.7,
"holdout_ratio": 0.15,
"outcomes_rows": 86924,
"walk_forward": [
{
"month": "2025-06",
"pnl_pct": 10.39,
"start_asset_krw": 1000000.0,
"end_asset_krw": 1103874.0
},
{
"month": "2025-07",
"pnl_pct": 60.89,
"start_asset_krw": 1103874.0,
"end_asset_krw": 1776051.0
},
{
"month": "2025-08",
"pnl_pct": 22.9,
"start_asset_krw": 1776051.0,
"end_asset_krw": 2182728.0
},
{
"month": "2025-09",
"pnl_pct": 57.63,
"start_asset_krw": 2182728.0,
"end_asset_krw": 3440648.0
},
{
"month": "2025-10",
"pnl_pct": 9.29,
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"end_asset_krw": 3760442.0
},
{
"month": "2025-11",
"pnl_pct": 11.24,
"start_asset_krw": 3760442.0,
"end_asset_krw": 4183047.0
},
{
"month": "2025-12",
"pnl_pct": -0.87,
"start_asset_krw": 4183047.0,
"end_asset_krw": 4146498.0
},
{
"month": "2026-01",
"pnl_pct": 33.77,
"start_asset_krw": 4146498.0,
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},
{
"month": "2026-02",
"pnl_pct": 15.61,
"start_asset_krw": 5546639.0,
"end_asset_krw": 6412274.0
},
{
"month": "2026-03",
"pnl_pct": 9.12,
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{
"month": "2026-04",
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},
{
"month": "2026-05",
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"start_asset_krw": 8596129.0,
"end_asset_krw": 12686054.0
}
],
"walk_forward_summary": {
"buy_compound_tight": {
"months": 12,
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"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,
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"gt_model_buy_trough_local": {
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"positive_ratio": 0.8333,
"mean_ev_pct": 6.2957
},
"gt_model_buy_zigzag_bb": {
"months": 8,
"positive_months": 8,
"positive_ratio": 1.0,
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},
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"months": 2,
"positive_months": 2,
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"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,
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"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,
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},
"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": {
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"sizing": "hybrid_dd_tier_compound"
},
"taken_count": 787,
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"rules": {
"buy_compound_tight": {
"taken_count": 163,
"total_count": 221,
"metrics": {
"count": 163,
"ev_pct": 3.5096,
"win_rate": 0.5828,
"profit_factor": 2.0105
}
},
"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": 6.3423
},
"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
},
"go_no_go_hybrid": {
"go": true,
"primary_sizing": "hybrid",
"checks": [
{
"name": "monitor_rules_go",
"pass": true
},
{
"name": "hybrid_holdout_pnl",
"pass": true,
"value": 62.36
},
{
"name": "hybrid_max_mdd",
"pass": true,
"value": 19.22
},
{
"name": "hybrid_fee_stress_pnl",
"pass": true,
"value": 952.77
},
{
"name": "option_c_target_300pct",
"pass": true,
"value": 1120.97,
"optional": true
}
]
},
"go_no_go_option_c_phase2": {
"go": true,
"gt_capture_ratio": 0.2612,
"targets": {
"phase2_pnl_pct": 1000.0,
"min_gt_capture": 0.23,
"portfolio_wf_min_ratio": 0.5
},
"checks": [
{
"name": "phase1_hybrid_go",
"pass": true
},
{
"name": "full_pnl_1000pct",
"pass": true,
"value": 1120.97
},
{
"name": "gt_capture_23pct",
"pass": true,
"value": 0.2612
},
{
"name": "holdout_pnl_positive",
"pass": true,
"value": 62.36
},
{
"name": "max_mdd",
"pass": true,
"value": 19.22
},
{
"name": "fee_stress_ratio",
"pass": true,
"value": 952.77,
"threshold": 850.0
},
{
"name": "slippage_stress_positive",
"pass": true,
"value": 27.66,
"note": "체결가 슬리피지 반영 후에도 흑자"
},
{
"name": "portfolio_wf_positive_ratio",
"pass": true,
"value": 0.9167
}
]
},
"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,
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},
"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,
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"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_causal_gt": {
"initial_cash_krw": 1000000,
"final_asset_krw": 1146560.0,
"pnl_krw": 146560.0,
"pnl_pct": 14.66,
"total_fees_krw": 2101.0,
"cash_krw": 1146560.0,
"holding_qty": 0.0,
"holding_value_krw": 0.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 134,
"max_drawdown_pct": 0.96,
"peak_asset_krw": 1117188.0,
"trough_asset_krw": 1106457.0,
"leg_count": 17,
"sizing_mode": "causal_gt_leg_engine",
"sizing_note": "인과 GT leg: split_buy + peak_sell, causal tier 복리 (미래 미사용)",
"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
},
"alloc_stats": {
"buy_executed": 101,
"buy_skipped": 0,
"sell_executed": 33,
"sell_skipped": 0,
"buy_total_krw": 2026492.0,
"large_leg_count": 0,
"large_tier_buy_count": 0,
"buy_amount_avg_krw": 20064.0,
"buy_amount_min_krw": 5000,
"buy_amount_max_krw": 57147.0
}
},
"sim_causal_hybrid": {
"initial_cash_krw": 1000000,
"final_asset_krw": 12209700.0,
"pnl_krw": 11209700.0,
"pnl_pct": 1120.97,
"total_fees_krw": 695439.0,
"cash_krw": 0.0,
"holding_qty": 25071.252612,
"holding_value_krw": 12209700.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 5225,
"max_drawdown_pct": 19.22,
"peak_asset_krw": 1149472.0,
"trough_asset_krw": 928596.0,
"sizing_mode": "monitor_dd_tier",
"sizing_note": "monitor buy+sell + drawdown·past-leg tier (미래 미사용)",
"alloc_stats": {
"buy_executed": 1608,
"buy_skipped": 679,
"sell_executed": 2938,
"sell_skipped": 0,
"buy_total_krw": 695591657.0,
"large_leg_count": 1598,
"large_tier_buy_count": 1598,
"buy_amount_avg_krw": 432582.0,
"buy_amount_min_krw": 814.0,
"buy_amount_max_krw": 8437092.0
},
"input_fires": 5225
},
"hybrid_dd_params": {
"dd_large_pct": 5.0,
"dd_medium_pct": 2.0
},
"sim_tier_enhanced": {
"initial_cash_krw": 1000000,
"final_asset_krw": 485326.0,
"pnl_krw": -514674.0,
"pnl_pct": -51.47,
"total_fees_krw": 111808.0,
"cash_krw": 0.0,
"holding_qty": 996.562036,
"holding_value_krw": 485326.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 5225,
"max_drawdown_pct": 74.08,
"peak_asset_krw": 1534299.0,
"trough_asset_krw": 397703.0,
"sizing_mode": "monitor_tier_enhanced",
"sizing_note": "monitor buy+sell + past-leg·drawdown tier + conviction (미래 미사용)",
"alloc_stats": {
"buy_executed": 183,
"buy_skipped": 2104,
"sell_executed": 2938,
"sell_skipped": 0,
"buy_total_krw": 112251943.0,
"large_leg_count": 144,
"large_tier_buy_count": 144,
"buy_amount_avg_krw": 613399.0,
"buy_amount_min_krw": 5000,
"buy_amount_max_krw": 1533530.0
},
"input_fires": 5225
},
"sim_sized_holdout": {
"initial_asset_krw": 1605322.0,
"final_asset_krw": 1751246.0,
"pnl_krw": 145924.0,
"pnl_pct": 9.09,
"trade_count": 845,
"note": "전기간 복리(causal tier) 후 holdout 구간 자산 증감"
},
"sim_hybrid_holdout": {
"initial_asset_krw": 7813594.0,
"final_asset_krw": 12686054.0,
"pnl_krw": 4872460.0,
"pnl_pct": 62.36,
"trade_count": 845,
"note": "전기간 복리(hybrid DD tier) 후 holdout 구간 자산 증감"
},
"sim_hybrid_fee_stress": {
"initial_cash_krw": 1000000,
"final_asset_krw": 10527724.0,
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"pnl_pct": 952.77,
"total_fees_krw": 1261948.0,
"cash_krw": -0.0,
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"mark_price": 487.0,
"fee_rate": 0.001,
"trade_count": 5225,
"max_drawdown_pct": 19.37,
"peak_asset_krw": 4363286.0,
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},
"sim_hybrid_slippage_stress": {
"initial_cash_krw": 1000000,
"final_asset_krw": 1276559.0,
"pnl_krw": 276559.0,
"pnl_pct": 27.66,
"total_fees_krw": 695439.0,
"cash_krw": 0.0,
"holding_qty": 2621.271075,
"holding_value_krw": 1276559.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 5225,
"max_drawdown_pct": 59.37,
"peak_asset_krw": 3404596.0,
"trough_asset_krw": 1383204.0,
"slippage_pct": 0.05,
"sizing_mode": "hybrid_slippage_stress"
},
"hybrid_portfolio_walk_forward": [
{
"month": "2025-06",
"pnl_pct": 10.39,
"start_asset_krw": 1000000.0,
"end_asset_krw": 1103874.0
},
{
"month": "2025-07",
"pnl_pct": 60.89,
"start_asset_krw": 1103874.0,
"end_asset_krw": 1776051.0
},
{
"month": "2025-08",
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"start_asset_krw": 1776051.0,
"end_asset_krw": 2182728.0
},
{
"month": "2025-09",
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"start_asset_krw": 2182728.0,
"end_asset_krw": 3440648.0
},
{
"month": "2025-10",
"pnl_pct": 9.29,
"start_asset_krw": 3440648.0,
"end_asset_krw": 3760442.0
},
{
"month": "2025-11",
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"start_asset_krw": 3760442.0,
"end_asset_krw": 4183047.0
},
{
"month": "2025-12",
"pnl_pct": -0.87,
"start_asset_krw": 4183047.0,
"end_asset_krw": 4146498.0
},
{
"month": "2026-01",
"pnl_pct": 33.77,
"start_asset_krw": 4146498.0,
"end_asset_krw": 5546639.0
},
{
"month": "2026-02",
"pnl_pct": 15.61,
"start_asset_krw": 5546639.0,
"end_asset_krw": 6412274.0
},
{
"month": "2026-03",
"pnl_pct": 9.12,
"start_asset_krw": 6412274.0,
"end_asset_krw": 6996857.0
},
{
"month": "2026-04",
"pnl_pct": 22.86,
"start_asset_krw": 6996857.0,
"end_asset_krw": 8596129.0
},
{
"month": "2026-05",
"pnl_pct": 47.58,
"start_asset_krw": 8596129.0,
"end_asset_krw": 12686054.0
}
],
"hybrid_portfolio_wf_summary": {
"months": 12,
"positive_months": 11,
"positive_ratio": 0.9167,
"mean_pnl_pct": 25.03
},
"primary_sizing": "hybrid",
"sim_primary": {
"initial_cash_krw": 1000000,
"final_asset_krw": 12209700.0,
"pnl_krw": 11209700.0,
"pnl_pct": 1120.97,
"total_fees_krw": 695439.0,
"cash_krw": 0.0,
"holding_qty": 25071.252612,
"holding_value_krw": 12209700.0,
"mark_price": 487.0,
"fee_rate": 0.0005,
"trade_count": 5225,
"max_drawdown_pct": 19.22,
"peak_asset_krw": 1149472.0,
"trough_asset_krw": 928596.0,
"sizing_mode": "primary_hybrid_dd_tier",
"sizing_note": "권장: monitor + past-leg·drawdown tier (검증 통과, 미래 미사용)",
"alloc_stats": {
"buy_executed": 1608,
"buy_skipped": 679,
"sell_executed": 2938,
"sell_skipped": 0,
"buy_total_krw": 695591657.0,
"large_leg_count": 1598,
"large_tier_buy_count": 1598,
"buy_amount_avg_krw": 432582.0,
"buy_amount_min_krw": 814.0,
"buy_amount_max_krw": 8437092.0
},
"input_fires": 5225
},
"gt_capture_ratio": 0.0174,
"gt_pnl_pct": 4291.35,
"sim_sized_pnl_pct": 74.69,
"gt_model_capture_ratio": 0.0019,
"causal_gt_capture_ratio": 0.0034,
"sim_causal_gt_pnl_pct": 14.66,
"causal_hybrid_capture_ratio": 0.2612,
"sim_causal_hybrid_pnl_pct": 1120.97,
"tier_enhanced_capture_ratio": -0.012,
"sim_tier_enhanced_pnl_pct": -51.47,
"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": 0.1106,
"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,
"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": 43913513.0,
"subset_final_asset_krw": 1000000.0,
"asset_ratio": 0.0228,
"asset_accuracy_pct": 2.28,
"target_met_90": false,
"legs_total": 76,
"legs_covered": 0,
"leg_coverage_ratio": 0.0,
"full_pnl_pct": 4291.35,
"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_min_gt_capture": 0.23
}
}
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