v3 신호 유형별 GT 정합, composite_v3 통합 기법, ATR 손절 선물 시뮬과 0단계 벤치마크 비교 리포트·차트를 추가하고 README/스크립트 단계 번호를 통일했다. Co-authored-by: Cursor <cursoragent@cursor.com>
32752 lines
930 KiB
JSON
32752 lines
930 KiB
JSON
{
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"technique_id": "composite_v3",
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"technique_name": "v3 통합 스코어링",
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"category": "composite",
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"causal": true,
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"description": "v3 GT 4종 신호 가중 투표 + EMA(60) 추세 필터",
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"params": {
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"interval_min": 3,
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"lookback_days": 730,
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"min_leg_pct": 3.0,
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"initial_cash_krw": 400000.0,
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"fee_rate": 0.0005,
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"min_score": 2.0,
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"merge_bars": 3,
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"trend_ema_span": 60,
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"reversal_pct": 5.0
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},
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"signals": [
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{
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"side": "buy",
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"bar_index": 37,
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"price": 97959000.0,
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"datetime": "2024-06-08 23:30:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_buy score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"bar_index": 122,
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"price": 97973000.0,
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"datetime": "2024-06-09 03:45:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_buy score=3.0 [bb_reversal]"
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},
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{
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"side": "sell",
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"bar_index": 149,
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"price": 97931000.0,
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"datetime": "2024-06-09 05:06:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_sell score=10.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "sell",
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"bar_index": 160,
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"price": 97912000.0,
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"datetime": "2024-06-09 05:39:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_sell score=5.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "sell",
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"bar_index": 420,
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"price": 97716000.0,
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"datetime": "2024-06-09 18:39:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_sell score=3.0 [bb_reversal]"
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},
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{
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"side": "sell",
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"bar_index": 431,
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"price": 97716000.0,
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"datetime": "2024-06-09 19:12:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_sell score=7.0 [bb_reversal,macd_cross]"
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},
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{
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"side": "sell",
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"bar_index": 467,
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"price": 97672000.0,
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"datetime": "2024-06-09 21:00:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_sell score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"bar_index": 560,
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"price": 97966000.0,
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"datetime": "2024-06-10 01:39:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_buy score=3.0 [bb_reversal]"
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},
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{
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"side": "sell",
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"bar_index": 732,
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"price": 97792000.0,
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"datetime": "2024-06-10 10:15:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_sell score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"bar_index": 771,
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"price": 97858000.0,
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"datetime": "2024-06-10 12:12:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_buy score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"bar_index": 1491,
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"price": 94471000.0,
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"datetime": "2024-06-12 00:12:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=4.0 [bb_reversal,donchian,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 1509,
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"price": 94244000.0,
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"datetime": "2024-06-12 01:06:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_buy score=2.5 [donchian,macd_cross]"
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},
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{
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"side": "sell",
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"bar_index": 1535,
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"price": 93850000.0,
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"datetime": "2024-06-12 02:24:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_sell score=2.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 1714,
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"price": 95078000.0,
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"datetime": "2024-06-12 11:21:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=6.5 [bb_reversal,donchian,macd_cross,rsi_swing]"
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},
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{
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"side": "buy",
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"bar_index": 1901,
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"price": 95514000.0,
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"datetime": "2024-06-12 20:42:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_buy score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"bar_index": 1983,
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"price": 97600000.0,
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"datetime": "2024-06-13 00:48:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=4.5 [bb_reversal,donchian]"
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},
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{
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"side": "sell",
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"bar_index": 2489,
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"price": 94635000.0,
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"datetime": "2024-06-14 02:06:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_sell score=3.0 [bb_reversal,local_extrema]"
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},
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{
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"side": "buy",
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"bar_index": 2925,
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"price": 94937000.0,
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"datetime": "2024-06-14 23:54:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_buy score=2.5 [donchian,macd_cross]"
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},
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{
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"side": "sell",
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"bar_index": 3002,
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"price": 93211000.0,
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"datetime": "2024-06-15 03:45:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_sell score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"bar_index": 3017,
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"price": 93409000.0,
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"datetime": "2024-06-15 04:30:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_buy score=2.5 [bb_reversal,donchian,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 3118,
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"price": 93931000.0,
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"datetime": "2024-06-15 09:33:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=7.0 [bb_reversal,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 3410,
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"price": 93769000.0,
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"datetime": "2024-06-16 00:09:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=6.0 [bb_reversal,macd_cross,rsi_swing]"
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},
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{
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"side": "buy",
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"price": 93796000.0,
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"datetime": "2024-06-16 02:18:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_buy score=2.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "sell",
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"bar_index": 3507,
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"price": 93694000.0,
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"datetime": "2024-06-16 05:00:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_sell score=2.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 3518,
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"price": 93749000.0,
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"datetime": "2024-06-16 05:33:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=4.5 [bb_reversal,macd_cross,rsi_swing]"
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},
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{
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"side": "buy",
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"bar_index": 3726,
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"price": 93810000.0,
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"datetime": "2024-06-16 15:57:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=4.0 [bb_reversal,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 3825,
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"price": 94120000.0,
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"datetime": "2024-06-16 20:54:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_buy score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"bar_index": 3932,
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"price": 94310000.0,
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"datetime": "2024-06-17 02:15:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_buy score=2.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 4029,
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"price": 94416000.0,
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"datetime": "2024-06-17 07:09:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=6.0 [bb_reversal,donchian,macd_cross,rsi_swing]"
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},
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{
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"side": "sell",
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"price": 93200000.0,
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"datetime": "2024-06-17 13:48:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_sell score=4.5 [bb_reversal]"
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},
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{
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"side": "sell",
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"price": 92040000.0,
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"datetime": "2024-06-17 22:36:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_sell score=4.0 [bb_reversal,macd_cross]"
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},
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{
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"side": "sell",
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"price": 91325000.0,
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"datetime": "2024-06-18 23:54:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_sell score=2.5 [donchian,macd_cross]"
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},
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{
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"side": "sell",
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"bar_index": 4891,
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"price": 91227000.0,
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"datetime": "2024-06-19 02:15:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_sell score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"datetime": "2024-06-19 03:15:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=5.5 [bb_reversal,donchian,macd_cross]"
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},
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{
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"side": "sell",
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"datetime": "2024-06-19 16:15:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_sell score=11.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "sell",
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"price": 91758000.0,
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"datetime": "2024-06-19 20:39:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_sell score=2.5 [bb_reversal,donchian,macd_cross]"
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},
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{
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"side": "buy",
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"price": 91749000.0,
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"datetime": "2024-06-20 11:09:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_buy score=3.0 [bb_reversal]"
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},
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{
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"side": "buy",
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"price": 91838000.0,
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"datetime": "2024-06-20 12:09:00",
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_buy score=2.5 [bb_reversal,macd_cross]"
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},
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{
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"side": "buy",
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"bar_index": 5757,
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"price": 93120000.0,
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"datetime": "2024-06-20 21:33:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=4.5 [bb_reversal,donchian]"
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},
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{
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"side": "sell",
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"bar_index": 6107,
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"price": 91125000.0,
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"datetime": "2024-06-21 15:03:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
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"reason": "composite_sell score=3.0 [bb_reversal]"
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},
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{
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"side": "sell",
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"bar_index": 6112,
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"price": 91128000.0,
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"datetime": "2024-06-21 15:18:00",
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"pivot_bar_index": null,
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"confidence": 0.75,
|
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"reason": "composite_sell score=3.0 [bb_reversal]"
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},
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{
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"side": "sell",
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"bar_index": 6139,
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"price": 91064000.0,
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"datetime": "2024-06-21 16:39:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
|
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"reason": "composite_sell score=7.0 [bb_reversal,macd_cross]"
|
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},
|
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{
|
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"side": "buy",
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"bar_index": 6295,
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"price": 90150000.0,
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"datetime": "2024-06-22 00:27:00",
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"pivot_bar_index": null,
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"confidence": 1.0,
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"reason": "composite_buy score=4.5 [bb_reversal,donchian]"
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},
|
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{
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"side": "sell",
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"price": 90810000.0,
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"datetime": "2024-06-23 01:09:00",
|
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"pivot_bar_index": null,
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"confidence": 0.62,
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"reason": "composite_sell score=2.5 [bb_reversal,macd_cross]"
|
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},
|
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{
|
|
"side": "sell",
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"price": 90792000.0,
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"datetime": "2024-06-23 05:36:00",
|
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"pivot_bar_index": null,
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"confidence": 1.0,
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|
"reason": "composite_sell score=5.5 [bb_reversal,macd_cross]"
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},
|
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{
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"side": "sell",
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"price": 90823000.0,
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"datetime": "2024-06-23 07:09:00",
|
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"pivot_bar_index": null,
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"confidence": 1.0,
|
|
"reason": "composite_sell score=4.5 [bb_reversal]"
|
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},
|
|
{
|
|
"side": "buy",
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|
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"price": 90860000.0,
|
|
"datetime": "2024-06-23 08:48:00",
|
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"pivot_bar_index": null,
|
|
"confidence": 0.75,
|
|
"reason": "composite_buy score=3.0 [bb_reversal]"
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},
|
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{
|
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"side": "buy",
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"price": 91070000.0,
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"datetime": "2024-06-23 12:03:00",
|
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"pivot_bar_index": null,
|
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"confidence": 1.0,
|
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"reason": "composite_buy score=13.5 [bb_reversal,macd_cross,rsi_swing]"
|
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},
|
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{
|
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"datetime": "2024-06-23 15:00:00",
|
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"pivot_bar_index": null,
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"confidence": 1.0,
|
|
"reason": "composite_buy score=9.0 [bb_reversal,macd_cross,rsi_swing]"
|
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},
|
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{
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"side": "sell",
|
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"price": 90902000.0,
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"datetime": "2024-06-23 16:30:00",
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"confidence": 1.0,
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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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{
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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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{
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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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{
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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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{
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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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{
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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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{
|
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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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|
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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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|
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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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|
|
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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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|
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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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|
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|
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|
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|
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