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378
kis_trader/strategies/us_momentum_stock_cfg.py
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378
kis_trader/strategies/us_momentum_stock_cfg.py
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"""
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kis_trader/strategies/us_momentum_stock_cfg.py
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==============================================
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해외 모멘텀 종목별 파라미터 — ``us_momentum_stock_config`` (박스엔진/DBBAND 패턴).
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- 유니버스는 계속 ``permanent_subscriptions`` (market=US).
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- 종목 행이 있으면 TRIGGER/청산 축만 덮어씀. 없으면 전역 ``US_MOMENTUM_*``.
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- 포트 한도(TOTAL_BUDGET/MAX_STOCKS)·세션 공통은 전역 유지.
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"""
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from __future__ import annotations
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import logging
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from typing import Any, Dict, List, Optional
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logger = logging.getLogger("kis_trader.us_momentum_stock_cfg")
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# 엔진 params 키 ↔ 테이블 컬럼 (UI % 숫자로 저장하는 축은 *_pct)
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STOCK_ENGINE_FLOAT_PCT = (
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# DB에 퍼센트 숫자(1.5)로 저장 → 엔진 비율(0.015)
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("sl_pct", "sl_pct"),
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("tp_pct", "tp_pct"),
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("tp_max_pct", "tp_max_pct"),
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("shoulder_min_high", "shoulder_min_high_pct"),
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("shoulder_cut_pct", "shoulder_cut_pct"),
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("trail_pct", "trail_pct"),
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("trail_arm_pct", "trail_arm_pct"),
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)
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STOCK_ENGINE_FLOAT = (
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("mom_rsi_min", "rsi_min"),
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("mom_rsi_max", "rsi_max"),
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("mom_vol_mult", "vol_mult"),
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("pullback_min_pct", "pullback_min_pct"),
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("pullback_max_pct", "pullback_max_pct"),
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("setup_vol_max_mult", "setup_vol_max_mult"),
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("high_chase_thr", "high_chase_thr"),
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("max_daily_chg", "max_daily_chg"),
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("min_price", "min_price"),
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)
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STOCK_ENGINE_INT = (
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("mom_vol_win", "vol_win"),
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("chase_lookback_min", "chase_lookback_min"),
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("pullback_lookback_min", "pullback_lookback_min"),
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("setup_bear_bars_min", "setup_bear_bars_min"),
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("max_hold_bars", "max_hold_bars"),
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("max_daily", "max_daily"),
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("ema_fast_period", "ema_fast_period"),
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("ema_slow_period", "ema_slow_period"),
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("slot_money", "slot_money"),
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("cooldown_sec", "cooldown_sec"), # → cooldown_min
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)
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STOCK_ENGINE_BOOL = (
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("use_defense_filters", "use_defense_filters"),
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("use_high_chase_filter", "use_high_chase_filter"),
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("use_daily_range_filter", "use_daily_range_filter"),
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("use_ema_filter", "use_ema_filter"),
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("use_rsi_max_filter", "use_rsi_max_filter"),
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("pattern_breakout", "pattern_breakout"),
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("pattern_pullback", "pattern_pullback"),
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)
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_DDL = """
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CREATE TABLE IF NOT EXISTS us_momentum_stock_config (
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id BIGINT AUTO_INCREMENT PRIMARY KEY,
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code VARCHAR(32) NOT NULL,
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exchange VARCHAR(16) NOT NULL DEFAULT 'NASD',
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symbol VARCHAR(32) NOT NULL DEFAULT '',
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name VARCHAR(64) DEFAULT '',
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stock_group VARCHAR(16) NOT NULL DEFAULT 'STOCK',
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created_at DATETIME DEFAULT CURRENT_TIMESTAMP,
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updated_at DATETIME DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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sl_pct DOUBLE NULL,
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tp_pct DOUBLE NULL,
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tp_max_pct DOUBLE NULL,
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shoulder_min_high_pct DOUBLE NULL,
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shoulder_cut_pct DOUBLE NULL,
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trail_pct DOUBLE NULL,
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trail_arm_pct DOUBLE NULL,
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ratchet_tiers VARCHAR(255) NULL,
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max_hold_bars INT NULL,
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cooldown_sec INT NULL,
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max_daily INT NULL,
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slot_money DOUBLE NULL,
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rsi_min DOUBLE NULL,
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rsi_max DOUBLE NULL,
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vol_mult DOUBLE NULL,
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vol_win INT NULL,
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chase_lookback_min INT NULL,
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pullback_lookback_min INT NULL,
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pullback_min_pct DOUBLE NULL,
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pullback_max_pct DOUBLE NULL,
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setup_vol_max_mult DOUBLE NULL,
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setup_bear_bars_min INT NULL,
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high_chase_thr DOUBLE NULL,
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max_daily_chg DOUBLE NULL,
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min_price DOUBLE NULL,
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ema_fast_period INT NULL,
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ema_slow_period INT NULL,
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use_defense_filters TINYINT NULL,
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use_high_chase_filter TINYINT NULL,
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use_daily_range_filter TINYINT NULL,
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use_ema_filter TINYINT NULL,
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use_rsi_max_filter TINYINT NULL,
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pattern_breakout TINYINT NULL,
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pattern_pullback TINYINT NULL,
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UNIQUE KEY uk_usmom_code (code),
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KEY idx_usmom_group (stock_group)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4
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COMMENT='US_MOMENTUM 종목별 TRIGGER/청산 (NULL=전역 US_MOMENTUM_* 폴백)'
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"""
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def _trade_db_core(db: Any):
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return getattr(db, "raw", db)
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def ensure_us_momentum_stock_config_table(db: Any) -> None:
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raw = _trade_db_core(db)
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raw.conn.execute(_DDL.strip())
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try:
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raw.conn.commit()
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except Exception:
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pass
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def _pct_to_ratio(x: float) -> float:
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"""UI/테이블 % (1.5) → 엔진 비율 (0.015). 이미 소수면 그대로."""
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ax = abs(float(x))
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if ax == 0:
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return 0.0
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return ax if ax < 0.5 else ax / 100.0
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def get_us_momentum_stock_row(db: Any, code: str) -> Optional[Dict[str, Any]]:
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ensure_us_momentum_stock_config_table(db)
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cu = str(code or "").strip().upper()
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if not cu:
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return None
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raw = _trade_db_core(db)
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try:
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row = raw.conn.execute(
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"SELECT * FROM us_momentum_stock_config WHERE code=%s",
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(cu,),
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).fetchone()
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return dict(row) if row else None
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except Exception as e:
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logger.debug("get_us_momentum_stock_row 실패 %s: %s", cu, e)
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return None
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def list_us_momentum_stock_rows(db: Any) -> List[Dict[str, Any]]:
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ensure_us_momentum_stock_config_table(db)
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raw = _trade_db_core(db)
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try:
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rows = raw.conn.execute(
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"SELECT * FROM us_momentum_stock_config ORDER BY stock_group, code"
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).fetchall()
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return [dict(r) for r in (rows or [])]
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except Exception as e:
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logger.warning("list_us_momentum_stock_rows 실패: %s", e)
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return []
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def apply_us_momentum_stock_overlay(
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db: Any,
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code: str,
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base_params: Dict[str, Any],
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) -> Dict[str, Any]:
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"""전역 엔진 params 위에 종목 행(NULL 아닌 컬럼만) 덮어씀."""
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out = dict(base_params or {})
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row = get_us_momentum_stock_row(db, code)
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if not row:
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return out
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out["_us_stock_cfg"] = True
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out["_us_stock_group"] = str(row.get("stock_group") or "STOCK")
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if row.get("exchange"):
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out["_us_exchange"] = str(row["exchange"]).strip().upper()
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for eng, col in STOCK_ENGINE_FLOAT_PCT:
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v = row.get(col)
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if v is None or v == "":
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continue
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try:
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out[eng] = _pct_to_ratio(float(v))
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except (TypeError, ValueError):
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pass
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for eng, col in STOCK_ENGINE_FLOAT:
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v = row.get(col)
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if v is None or v == "":
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continue
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try:
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out[eng] = float(v)
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except (TypeError, ValueError):
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pass
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for eng, col in STOCK_ENGINE_INT:
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v = row.get(col)
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if v is None or v == "":
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continue
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try:
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if eng == "cooldown_sec":
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out["cooldown_min"] = float(v) / 60.0
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else:
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out[eng] = int(float(v))
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except (TypeError, ValueError):
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pass
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for eng, col in STOCK_ENGINE_BOOL:
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v = row.get(col)
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if v is None or v == "":
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continue
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try:
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out[eng] = bool(int(v))
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except (TypeError, ValueError):
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out[eng] = bool(v)
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rt = row.get("ratchet_tiers")
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if rt is not None and str(rt).strip() != "":
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out["ratchet_tiers"] = str(rt).strip()
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return out
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def upsert_us_momentum_stock_config(
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db: Any,
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code: str,
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*,
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exchange: str = "NASD",
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symbol: str = "",
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name: str = "",
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stock_group: str = "STOCK",
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fields: Optional[Dict[str, Any]] = None,
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) -> bool:
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"""종목 행 UPSERT. fields 의 키=테이블 컬럼명, None 은 NULL(전역 폴백)."""
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ensure_us_momentum_stock_config_table(db)
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cu = str(code or "").strip().upper()
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if not cu:
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return False
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sym = str(symbol or cu).strip().upper() or cu
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exch = str(exchange or "NASD").strip().upper() or "NASD"
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grp = str(stock_group or "STOCK").strip().upper() or "STOCK"
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if grp not in ("ETF", "STOCK", "OTHER"):
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grp = "STOCK"
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fields = dict(fields or {})
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raw = _trade_db_core(db)
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# 기존 행 — Optuna 부분 apply 시 미전달 컬럼을 NULL 로 지우지 않음
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existing = get_us_momentum_stock_row(db, cu) or {}
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cols = [
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"code", "exchange", "symbol", "name", "stock_group",
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"sl_pct", "tp_pct", "tp_max_pct",
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"shoulder_min_high_pct", "shoulder_cut_pct",
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"trail_pct", "trail_arm_pct", "ratchet_tiers",
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"max_hold_bars", "cooldown_sec", "max_daily", "slot_money",
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"rsi_min", "rsi_max", "vol_mult", "vol_win",
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"chase_lookback_min", "pullback_lookback_min",
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"pullback_min_pct", "pullback_max_pct",
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"setup_vol_max_mult", "setup_bear_bars_min",
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"high_chase_thr", "max_daily_chg", "min_price",
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"ema_fast_period", "ema_slow_period",
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"use_defense_filters", "use_high_chase_filter",
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"use_daily_range_filter", "use_ema_filter", "use_rsi_max_filter",
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"pattern_breakout", "pattern_pullback",
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]
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vals: Dict[str, Any] = {
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"code": cu,
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"exchange": exch,
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"symbol": sym,
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"name": str(name or cu),
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"stock_group": grp,
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}
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for c in cols:
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if c in ("code", "exchange", "symbol", "name", "stock_group"):
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continue
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if c in fields:
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vals[c] = fields[c]
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elif c in existing:
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vals[c] = existing.get(c)
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else:
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vals[c] = None
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placeholders = ", ".join(["%s"] * len(cols))
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col_sql = ", ".join(cols)
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updates = ", ".join(
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f"{c}=VALUES({c})" for c in cols if c != "code"
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)
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try:
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raw.conn.execute(
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f"INSERT INTO us_momentum_stock_config ({col_sql}) VALUES ({placeholders}) "
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f"ON DUPLICATE KEY UPDATE {updates}",
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tuple(vals.get(c) for c in cols),
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)
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raw.conn.commit()
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return True
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except Exception as e:
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logger.error("upsert_us_momentum_stock_config 실패 %s: %s", cu, e)
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return False
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def delete_us_momentum_stock_config(db: Any, code: str) -> bool:
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ensure_us_momentum_stock_config_table(db)
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cu = str(code or "").strip().upper()
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if not cu:
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return False
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raw = _trade_db_core(db)
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try:
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raw.conn.execute(
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"DELETE FROM us_momentum_stock_config WHERE code=%s", (cu,),
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)
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raw.conn.commit()
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return True
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except Exception as e:
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logger.warning("delete_us_momentum_stock_config 실패 %s: %s", cu, e)
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return False
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def seed_us_momentum_stock_from_permanent(db: Any) -> int:
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"""permanent US 활성 종목 중 행 없는 것만 STOCK/ETF 추정으로 빈 행 추가. 반환=신규 수."""
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ensure_us_momentum_stock_config_table(db)
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try:
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from permanent_subs import codes_by_market
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us_list = codes_by_market(db, "US", enabled_only=True) or []
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except Exception as e:
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logger.debug("seed permanent 조회 실패: %s", e)
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return 0
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n = 0
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etf_hint = {"QQQ", "QQQM", "SPY", "SPYM", "IVV", "VOO", "DIA", "IWM", "TQQQ", "SQQQ"}
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for row in us_list:
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code = str(row.get("code") or row.get("symbol") or "").strip().upper()
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if not code:
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continue
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if get_us_momentum_stock_row(db, code):
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continue
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grp = "ETF" if code in etf_hint or code.endswith("M") and len(code) <= 5 else "STOCK"
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# QQQM/SPYM 명시
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if code in ("QQQM", "SPYM", "QQQ", "SPY"):
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grp = "ETF"
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ok = upsert_us_momentum_stock_config(
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db,
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code,
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exchange=str(row.get("exchange") or "NASD"),
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symbol=str(row.get("symbol") or code),
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name=str(row.get("note") or row.get("name") or code),
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stock_group=grp,
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fields={}, # 전부 NULL → 전역 폴백
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)
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if ok:
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n += 1
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return n
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def row_to_ui_dict(row: Dict[str, Any]) -> Dict[str, Any]:
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"""웹 폼용 — NULL 유지(빈칸=전역)."""
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if not row:
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return {}
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out = {
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"code": row.get("code"),
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"exchange": row.get("exchange"),
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"symbol": row.get("symbol"),
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"name": row.get("name"),
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"stock_group": row.get("stock_group") or "STOCK",
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}
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for k in (
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"sl_pct", "tp_pct", "tp_max_pct",
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"shoulder_min_high_pct", "shoulder_cut_pct",
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"trail_pct", "trail_arm_pct", "ratchet_tiers",
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"max_hold_bars", "cooldown_sec", "max_daily", "slot_money",
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"rsi_min", "rsi_max", "vol_mult", "vol_win",
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"chase_lookback_min", "pullback_lookback_min",
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"pullback_min_pct", "pullback_max_pct",
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"setup_vol_max_mult", "setup_bear_bars_min",
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"high_chase_thr", "max_daily_chg", "min_price",
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"ema_fast_period", "ema_slow_period",
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"use_defense_filters", "use_high_chase_filter",
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"use_daily_range_filter", "use_ema_filter", "use_rsi_max_filter",
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"pattern_breakout", "pattern_pullback",
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):
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out[k] = row.get(k)
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return out
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