feat: Add DART strategy and related configurations
ㅇ Changes: - Introduced the DART strategy to the trading system, including its configuration and integration into the existing framework. - Updated the database schema to include DART-specific tables for disclosures and watchlists. - Enhanced the backtesting and parameter search functionalities to support the DART strategy. - Implemented new rules for browser verification and API interactions to ensure compliance with the updated DART strategy. Impact: - These additions expand the trading capabilities of the system, allowing for more comprehensive analysis and execution of DART-related strategies, while maintaining system integrity and performance.
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@@ -10,6 +10,7 @@ from datetime import datetime
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from typing import Any, Dict, List, Optional, Tuple
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from kis_trader.backtest.backtest_portfolio_common import (
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flatten_remaining_portfolio_trades,
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min_invest_ratio_of_slot,
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portfolio_exposure_krw,
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target_qty_and_cost,
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@@ -26,6 +27,11 @@ from kis_trader.engine.scalping_engine import (
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compute_rsi_series,
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effective_tp_pct_from_params,
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)
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from kis_trader.engine.strategy_eod import (
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eod_bar_time_key,
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is_strategy_eod_bar,
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resolve_strategy_eod_params,
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)
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from kis_trader.engine.tick_exit_common import (
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backtest_sell_slip_pct,
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backtest_tick_poll_ms,
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@@ -125,7 +131,6 @@ def run_scalping_backtest_portfolio(
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rsi_period = int(params.get("rsi_period", 3))
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min_bars = rsi_period + 5
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force_eod_exit = _to_bool(params.get("force_eod_exit"), False)
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sl_pct = abs(float(params.get("sl_pct", 0.015)))
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tp_pct = effective_tp_pct_from_params(params)
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max_stocks = _max_stocks_from_params(params)
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@@ -153,6 +158,7 @@ def run_scalping_backtest_portfolio(
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ctx_by_code: Dict[str, Dict[str, Any]] = {}
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all_times_set = set()
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period_start = str(params.get("_backtest_period_start_key") or "")[:12]
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for code, raw_rows in codes_candles.items():
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if len(raw_rows) < min_bars:
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continue
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@@ -170,7 +176,10 @@ def run_scalping_backtest_portfolio(
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"pending_entry": None,
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}
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for c in candles:
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all_times_set.add(c["candle_time"])
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ct = str(c.get("candle_time") or "")
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if period_start and ct < period_start:
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continue
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all_times_set.add(ct)
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all_times = sorted(all_times_set)
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portfolio: Dict[str, Dict[str, Any]] = {}
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@@ -248,27 +257,75 @@ def run_scalping_backtest_portfolio(
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break # 1시각 1매수
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# ── Phase 1: 보유 종목 청산 ──
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# 실매는 벽시계 EOD(15:25) — 해당 분봉이 없는 종목도 직전가로 장마감청산
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is_eod_t = is_strategy_eod_bar(t, params, "SCALP")
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for code in list(portfolio.keys()):
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ctx = ctx_by_code.get(code)
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if ctx is None:
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continue
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idx = ctx["time_index"].get(t)
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if idx is None:
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pos = portfolio[code]
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entry_t = str(pos.get("entry_time") or "")
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entry_key = entry_t[:12] if entry_t else ""
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t_key = str(t)[:12]
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if entry_key and t_key <= entry_key:
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continue
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idx = ctx["time_index"].get(t)
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candles = ctx["candles"]
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day = t_key[:8] if len(t_key) >= 8 else str(t)[:8]
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if idx is None:
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if not is_eod_t:
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continue
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# 벽시계 EOD: 이 시각 봉 없음 → 진입 이후 마지막 확정봉 종가
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last = None
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for c in reversed(candles):
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ct = str(c.get("candle_time") or "")
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if not ct:
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continue
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if entry_key and ct[:12] < entry_key:
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continue
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if ct[:12] > t_key:
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continue
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last = c
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break
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if last is None:
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continue
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exit_price = float(last.get("close") or 0)
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if exit_price <= 0:
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continue
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_eod_on, eod_hm = resolve_strategy_eod_params(params, "SCALP")
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sell_time = eod_bar_time_key(day, eod_hm, default_hm="15:25") or t_key
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trade = {
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"code": code,
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"buy_time": pos["entry_time"],
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"sell_time": sell_time,
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"buy_price": pos["entry_price"],
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"sell_price": round(exit_price, 2),
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"qty": pos.get("qty", 1),
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"pnl": 0,
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"sell_reason": "장마감청산",
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"hold_min": 0,
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"exit_source": "wallclock_eod",
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}
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if pos.get("rsi") is not None:
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try:
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trade["rsi_entry"] = round(float(pos["rsi"]), 1)
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except (TypeError, ValueError):
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pass
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all_trades.append(trade)
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ctx["last_exit_dt"][day] = _t2dt(sell_time)
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ctx["daily_cnt"][day] = ctx["daily_cnt"].get(day, 0) + 1
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del portfolio[code]
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continue
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c = candles[idx]
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day = t[:8]
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hi = float(c["high"])
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lo = float(c["low"])
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cl = float(c["close"])
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op = float(c["open"])
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is_eod_raw = (idx == len(candles) - 1) or (candles[idx + 1]["candle_time"][:8] != day)
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is_eod = is_eod_raw and force_eod_exit
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pos = portfolio[code]
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if t == pos["entry_time"]:
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continue
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is_eod = is_eod_t
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cur_c_info = {
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"open": op,
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@@ -308,6 +365,12 @@ def run_scalping_backtest_portfolio(
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reason, exit_price = res
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sell_time = t
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ohlc_exit_count += 1
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# EOD 봉이 15:30만 있어도 사유·시각은 실매 EOD(15:25)에 맞춤
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if reason == "장마감청산":
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eod_on, eod_hm = resolve_strategy_eod_params(params, "SCALP")
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eod_key = eod_bar_time_key(day, eod_hm, default_hm="15:25")
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if eod_key:
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sell_time = eod_key
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trade: Dict[str, Any] = {
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"code": code,
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"buy_time": pos["entry_time"],
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@@ -419,6 +482,12 @@ def run_scalping_backtest_portfolio(
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skip_stats["ohlc_exit_count"] = ohlc_exit_count
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if tick_entry_count:
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skip_stats["tick_entry_count"] = tick_entry_count
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flat_n = flatten_remaining_portfolio_trades(
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portfolio, ctx_by_code, all_trades,
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params=params, strategy=strategy,
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)
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if flat_n:
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skip_stats["bt_flatten_count"] = flat_n
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if skip_stats:
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params["_portfolio_skip_stats"] = skip_stats
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all_trades.sort(key=lambda x: x["sell_time"])
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