feat(옵투나·웹): 후처리 재탐색·ob_modes·적용감사·수집통계

- Optuna web jobs/TPE/apply snapshot·틱로더 정합, jobs limit·감사로그 - 백테 UI 호가모드·후보 적용 흐름, feed_collect_stats API/탭 - 가설검증·교차검증 룰, 4전략 스모크·OB slot41 진단 스크립트 Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-27 15:23:44 +09:00
parent 5e44b86f8b
commit 8fbba264ba
30 changed files with 2973 additions and 186 deletions
--- a/scripts/mom_bt_one_day_trial120.py
+++ b/scripts/mom_bt_one_day_trial120.py
@@ -0,0 +1,146 @@
+#!/usr/bin/env python3
+"""Apply trial#120 params → 1일 모멘텀 백테 (호가 ON). DB 미변경."""
+from __future__ import annotations
+
+import json
+import sys
+import time
+from pathlib import Path
+
+_ROOT = Path(__file__).resolve().parents[1]
+if str(_ROOT) not in sys.path:
+    sys.path.insert(0, str(_ROOT))
+
+
+def main() -> int:
+    t0 = time.time()
+    start = end = "2026-08-25"
+    out_json = _ROOT / "logs" / "mom_bt_20260825_trial120_ob_on.json"
+    print(f"start prepare {start} OB=on", flush=True)
+
+    from database import TradeDB
+    from kis_trader.backtest.optuna_momentum import prepare_momentum_search_context
+    from kis_trader.backtest.param_search_momentum import evaluate_momentum_param_combo
+
+    db = TradeDB()
+    row = db.conn.execute(
+        "SELECT payload_json FROM optuna_study_result WHERE study_name=%s",
+        ("momentum_tpe_20260818_20260821_20260823_192516",),
+    ).fetchone()
+    payload = json.loads(row["payload_json"])
+    t120 = next(x for x in payload["results_gated"] if x.get("optuna_trial_number") == 120)
+    combo = dict(t120["params"])
+    print(
+        "trial120 ob=%s whip=%s sl=%s tp=%s" % (
+            combo.get("_orderbook_filter_enabled"),
+            combo.get("whipsaw_enabled"),
+            combo.get("sl_pct"),
+            combo.get("tp_pct"),
+        ),
+        flush=True,
+    )
+
+    ctx = prepare_momentum_search_context(
+        start,
+        end,
+        "tpe",
+        orderbook_filter="on",
+        market="KR",
+    )
+    if ctx is None:
+        print("PREPARE FAILED", flush=True)
+        return 1
+
+    print(
+        "ctx ready codes=%d ticks=%s ob_codes=%d fee=%s slot=%s max=%s budget=%s"
+        % (
+            len(ctx.codes_candles),
+            bool(ctx.ticks_by_code),
+            len(ctx.orderbook_by_code or {}),
+            ctx.fee_rate,
+            ctx.slot_money,
+            ctx.max_stocks,
+            ctx.total_budget_krw,
+        ),
+        flush=True,
+    )
+
+    base = dict(ctx.base_fixed)
+    base["_orderbook_filter_enabled"] = True
+    base["ob_filter_enabled"] = True
+
+    grid_keys = list(payload.get("grid_keys") or [])
+    if not grid_keys:
+        grid_keys = [k for k in combo.keys() if not str(k).startswith("_")]
+
+    result = evaluate_momentum_param_combo(
+        combo,
+        base_fixed=base,
+        grid_keys=grid_keys,
+        codes_candles=ctx.codes_candles,
+        min_trades=0,
+        min_win_rate=0.0,
+        min_pf=0.0,
+        universe_by_slot=ctx.universe_by_slot,
+        slot_money=ctx.slot_money,
+        max_stocks=ctx.max_stocks,
+        total_budget_krw=ctx.total_budget_krw,
+        fee_rate=ctx.fee_rate,
+        sell_tax=ctx.sell_tax,
+        period_days=1,
+        cache_holder=ctx.cache_holder,
+        ticks_by_code=ctx.ticks_by_code,
+        orderbook_by_code=ctx.orderbook_by_code,
+        program_by_code=getattr(ctx, "program_by_code", None),
+        start_key="20260825",
+        end_key="20260825",
+        include_trades=True,
+    )
+    print("elapsed_sec", round(time.time() - t0, 1), flush=True)
+    if not result:
+        print("NO RESULT", flush=True)
+        return 2
+
+    trades = result.get("_trades") or result.get("trades") or []
+    out = {
+        "ok": True,
+        "date": start,
+        "source": "optuna trial#120 + prepare orderbook_filter=on",
+        "study": "momentum_tpe_20260818_20260821_20260823_192516",
+        "total_trades": result.get("total_trades"),
+        "win_rate": result.get("win_rate"),
+        "total_pnl": result.get("total_pnl"),
+        "pf": result.get("pf"),
+        "trades": trades,
+    }
+    print(
+        "RESULT trades=%s WR=%s PnL=%s PF=%s"
+        % (out["total_trades"], out["win_rate"], out["total_pnl"], out["pf"]),
+        flush=True,
+    )
+    for tr in trades:
+        code = str(tr.get("code") or "")
+        line = (
+            "  %s->%s %s %s pnl=%s entry=%s exit=%s"
+            % (
+                tr.get("buy_time") or tr.get("entry_time"),
+                tr.get("sell_time") or tr.get("exit_time"),
+                code,
+                tr.get("sell_reason"),
+                tr.get("pnl"),
+                tr.get("entry_price") or tr.get("buy_price"),
+                tr.get("exit_price") or tr.get("sell_price"),
+            )
+        )
+        print(line, flush=True)
+        if code == "417010":
+            print("  *** NANOTEAM IN BACKTEST ***", flush=True)
+
+    out_json.write_text(json.dumps(out, ensure_ascii=False, indent=2, default=str))
+    print("JSON", out_json, flush=True)
+    print("DONE", flush=True)
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())
--- a/scripts/optuna_smoke_all_strategies.sh
+++ b/scripts/optuna_smoke_all_strategies.sh
@@ -0,0 +1,49 @@
+#!/usr/bin/env bash
+# Optuna 전전략 5-trial 스모크 (LS 틱3차 merge 경로 포함)
+# 로그: logs/optuna_smoke_all_YYYYMMDD_HHMMSS.log + 전략별 파일
+set -u
+ROOT="$(cd "$(dirname "$0")/.." && pwd)"
+cd "$ROOT"
+mkdir -p logs
+TS="$(date +%Y%m%d_%H%M%S)"
+DAY="${1:-2026-08-25}"
+TRIALS="${2:-5}"
+MASTER="logs/optuna_smoke_all_${TS}.log"
+STATUSES="logs/optuna_smoke_status_${TS}.txt"
+: >"$STATUSES"
+{
+  echo "======== Optuna smoke start $(date '+%F %T') day=${DAY} trials=${TRIALS} ========"
+  for S in tail momentum breakout scalp; do
+    MODE=fast
+    STUDY="smoke_${S}_${MODE}_${TS}"
+    LOG="logs/optuna_smoke_${S}_${TS}.log"
+    echo "----- ${S} study=${STUDY} -----"
+    set +e
+    python3 -u kis_trader/backtest/param_search_optuna.py \
+      --strategy "$S" \
+      --mode "$MODE" \
+      --trials "$TRIALS" \
+      --start "$DAY" \
+      --end "$DAY" \
+      --min_trades 1 \
+      --orderbook-filter off \
+      --no-progress \
+      --study-name "$STUDY" \
+      >"$LOG" 2>&1
+    RC=$?
+    set -e
+    echo "${S} rc=${RC} log=${LOG}" | tee -a "$STATUSES"
+    echo "----- ${S} done rc=${RC} -----"
+    # 실패 시그니처
+    if rg -q "Traceback|Error|❌|KeyError|AttributeError" "$LOG"; then
+      echo "WARN ${S}: error signature in log" | tee -a "$STATUSES"
+      rg -n "Traceback|Error|❌|KeyError|AttributeError" "$LOG" | head -40 | tee -a "$STATUSES"
+    fi
+    if rg -q "틱 3차 LS|ls_ws_ticks|BT_TICK_LS" "$LOG"; then
+      echo "INFO ${S}: LS tick path mentioned" | tee -a "$STATUSES"
+    fi
+  done
+  echo "======== Optuna smoke end $(date '+%F %T') ========"
+  echo "STATUS_FILE=${STATUSES}"
+} >>"$MASTER" 2>&1
+echo "$MASTER"
--- a/scripts/run_optuna_4strat_tpe_seq.sh
+++ b/scripts/run_optuna_4strat_tpe_seq.sh
@@ -30,9 +30,12 @@ STRATEGIES="${STRATEGIES:-momentum tail breakout scalp}"
 # 꼬리 TPE 진입모드 — 한 스터디에 섞지 않음. 공백 구분 시 순차 2회.
 #   TAIL_OPTUNA_ENTRY_MODES="align limit_atr"
 TAIL_OPTUNA_ENTRY_MODES="${TAIL_OPTUNA_ENTRY_MODES:-align}"
-# 돌파 TPE 손절모드 — 한 스터디에 섞지 않음. 공백 구분 시 순차 2회.
+# 돌파 TPE 손절모드 — 한 스터디에 섞지 않음. 공백 구분 시 순차.
 #   BREAKOUT_OPTUNA_SL_MODES="fixed atr"
 BREAKOUT_OPTUNA_SL_MODES="${BREAKOUT_OPTUNA_SL_MODES:-fixed}"
+# 돌파 TPE 호가 스위치 — trial 축 아님. 손절×호가 최대 4순차.
+#   BREAKOUT_OPTUNA_OB_MODES="off on"
+BREAKOUT_OPTUNA_OB_MODES="${BREAKOUT_OPTUNA_OB_MODES:-off}"
 # kiwoom|ls — 웹 Optuna 이력소스 / CLI UNIVERSE_HISTORY_SOURCE
 UNIVERSE_HISTORY_SOURCE="${UNIVERSE_HISTORY_SOURCE:-${BACKTEST_UNIVERSE_HISTORY_SOURCE:-kiwoom}}"
 PY="${PY:-.venv/bin/python}"
@@ -45,9 +48,10 @@ MASTER="logs/optuna_4strat_tpe_${START}_${END}_${TS0}_master.log"
  echo "STRATEGIES=$STRATEGIES"
  echo "TAIL_OPTUNA_ENTRY_MODES=$TAIL_OPTUNA_ENTRY_MODES"
  echo "BREAKOUT_OPTUNA_SL_MODES=$BREAKOUT_OPTUNA_SL_MODES"
+  echo "BREAKOUT_OPTUNA_OB_MODES=$BREAKOUT_OPTUNA_OB_MODES"
  echo "UNIVERSE_HISTORY_SOURCE=$UNIVERSE_HISTORY_SOURCE"
  echo "min_wr=$MIN_WIN_RATE min_pf=$MIN_PF min_trades=$MIN_TRADES"
-  echo "apply-best=OFF orderbook=off n_jobs=1 (사후 results_gated + briefing.md)"
+  echo "apply-best=OFF breakout-orderbook=스위치(스터디별) n_jobs=1 (사후 results_gated + briefing.md)"
  echo "master_log=$MASTER"
  free -h | sed -n '1,2p'
  df -h / | tail -1
@@ -58,7 +62,8 @@ run_one() {
  local strat="$1"
  local entry_mode="${2:-}"
  local sl_mode="${3:-}"
-  local ts study log sort_by
+  local ob_mode="${4:-off}"
+  local ts study log sort_by bo_extra
  ts="$(date +%Y%m%d_%H%M%S)"
  study="${strat}_tpe_${START//-/}_${END//-/}_${ts}"
  log="logs/optuna_${strat}_tpe_${ts}.log"
@@ -67,8 +72,9 @@ run_one() {
    log="logs/optuna_${strat}_${entry_mode}_tpe_${ts}.log"
  fi
  if [[ "$strat" == "breakout" && -n "$sl_mode" ]]; then
-    study="${strat}_${sl_mode}_tpe_${START//-/}_${END//-/}_${ts}"
-    log="logs/optuna_${strat}_${sl_mode}_tpe_${ts}.log"
+    bo_extra="${sl_mode}_ob_${ob_mode}"
+    study="${strat}_${bo_extra}_tpe_${START//-/}_${END//-/}_${ts}"
+    log="logs/optuna_${strat}_${bo_extra}_tpe_${ts}.log"
  fi
  sort_by="pnl"
  case "$strat" in
@@ -77,18 +83,23 @@ run_one() {

  {
    echo ""
-    echo "-------- [$strat${entry_mode:+/$entry_mode}${sl_mode:+/$sl_mode}] START $(date -Is) study=$study univ=$UNIVERSE_HISTORY_SOURCE --------"
+    echo "-------- [$strat${entry_mode:+/$entry_mode}${sl_mode:+/$sl_mode}${bo_extra:+/$bo_extra}] START $(date -Is) study=$study univ=$UNIVERSE_HISTORY_SOURCE --------"
  } | tee -a "$MASTER"
  echo "$log" > "logs/optuna_${strat}_tpe_latest.logpath"
  echo "$study" > "logs/optuna_${strat}_tpe_latest.study"
  # 웹 진행률: 전역 latest.study 가 이전 전략에 남으면 바가 1번에서 멈춤 → 잡별 파일
  if [[ -n "${OPTUNA_SEQ_ACTIVE_FILE:-}" ]]; then
-    extra="${entry_mode:-${sl_mode:-}}"
+    if [[ "$strat" == "breakout" && -n "$bo_extra" ]]; then
+      extra="$bo_extra"
+    else
+      extra="${entry_mode:-${sl_mode:-}}"
+    fi
    {
      echo "strategy=$strat"
      echo "study=$study"
      echo "entry_mode=${entry_mode:-}"
      echo "sl_mode=${sl_mode:-}"
+      echo "ob_mode=${ob_mode:-}"
      echo "extra=${extra}"
    } > "$OPTUNA_SEQ_ACTIVE_FILE"
  fi
@@ -104,7 +115,7 @@ run_one() {
    --min_trades "$MIN_TRADES"
    --min_win_rate "$MIN_WIN_RATE"
    --min_pf "$MIN_PF"
-    --orderbook-filter off
+    --orderbook-filter "$([[ "$strat" == "breakout" ]] && echo "$ob_mode" || echo off)"
    --no-progress
    --study-name "$study"
    --sort-by "$sort_by"
@@ -132,7 +143,7 @@ run_one() {
  set -e

  {
-    echo "-------- [$strat${entry_mode:+/$entry_mode}${sl_mode:+/$sl_mode}] END rc=$rc $(date -Is) --------"
+    echo "-------- [$strat${entry_mode:+/$entry_mode}${sl_mode:+/$sl_mode}${bo_extra:+/$bo_extra}] END rc=$rc $(date -Is) --------"
    echo "LOG=$log"
    grep -E 'OPTUNA_RESULT_JSON=|OPTUNA_BRIEFING_MD=|Best trial|optuna_best|❌|KeyError|Traceback' "$log" | tail -n 24 || true
  } | tee -a "$MASTER"
@@ -150,7 +161,9 @@ for s in $STRATEGIES; do
    done
  elif [[ "$s" == "breakout" ]]; then
    for sm in $BREAKOUT_OPTUNA_SL_MODES; do
-      run_one breakout "" "$sm"
+      for om in $BREAKOUT_OPTUNA_OB_MODES; do
+        run_one breakout "" "$sm" "$om"
+      done
    done
  else
    run_one "$s"