옵투나 8방 후처리를 재탐색으로 변경하기 전전
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scripts/compare_momentum_mode_ob100_whip.py
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232
scripts/compare_momentum_mode_ob100_whip.py
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#!/usr/bin/env python3
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"""Optuna mode 타점 vs mode+100호가 vs mode+100+휩쏘 — 실엔진 백테 비교.
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후처리 표의 「필터후 +23,337」은 체결 재시뮬이고,
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이 스크립트는 mode params 로 포트폴리오 백테를 다시 돌린다.
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"""
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from __future__ import annotations
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import json
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import sys
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from datetime import datetime
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from pathlib import Path
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from typing import Any, Dict, Optional
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ROOT = Path("/home/hoon/kis_bot")
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sys.path.insert(0, str(ROOT))
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JSON_PATH = ROOT / "kis_trader/backtest/results/optuna_momentum_tpe_20260821_220227.json"
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OUT_PATH = ROOT / "kis_trader/backtest/results" / (
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f"compare_mom_mode_ob100_{datetime.now().strftime('%Y%m%d_%H%M%S')}.json"
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)
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def _pack(label: str, rec: Optional[Dict[str, Any]], note: str = "") -> Dict[str, Any]:
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if not isinstance(rec, dict):
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return {"label": label, "ok": False, "note": note or "evaluate None"}
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return {
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"label": label,
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"ok": True,
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"total_pnl": rec.get("total_pnl"),
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"total_trades": rec.get("total_trades"),
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"win_rate": rec.get("win_rate"),
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"pf": rec.get("pf"),
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"mdd": rec.get("mdd"),
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"stability_score": rec.get("stability_score"),
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"n_losing_days": rec.get("n_losing_days"),
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"worst_day_pnl": rec.get("worst_day_pnl"),
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"note": note,
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}
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def main() -> int:
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print(f"[1] load {JSON_PATH}", flush=True)
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data = json.loads(JSON_PATH.read_text(encoding="utf-8"))
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mc = data.get("mode_combo") or {}
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mode_params = dict(mc.get("params") or {})
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if not mode_params:
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print("❌ mode_combo.params 없음", flush=True)
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return 1
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mode_a = next(
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(a for a in ((data.get("postprocess_topn") or {}).get("postprocess_by_anchor") or [])
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if a.get("role") == "mode"),
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None,
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)
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if not mode_a:
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print("❌ mode 후처리 앵커 없음", flush=True)
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return 1
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combos = ((mode_a.get("orderbook") or {}).get("combos") or {})
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e = combos.get("e") or combos.get("100") or {}
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if not e.get("ok"):
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print("❌ 100방(e) 없음", flush=True)
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return 1
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ep = dict(e.get("params") or {})
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ws = e.get("whipsaw") if isinstance(e.get("whipsaw"), dict) else None
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if not (ws and ws.get("ok")):
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ws = mode_a.get("whipsaw") or {}
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wp = dict((ws or {}).get("params") or {}) if (ws or {}).get("ok") else {}
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start, end = str(data["start"]), str(data["end"])
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slot = float(data.get("slot_money") or 300000)
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ms = int(data.get("max_stocks") or 8)
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bud = float(data.get("total_budget_krw") or 1200000)
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grid_keys = list(data.get("grid_keys") or [])
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print(
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f"[2] prepare momentum {start}~{end} OB로드=on slot={slot} max={ms} bud={bud}",
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flush=True,
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)
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print(f" 100방: spread≤{ep.get('orderbook_max_spread_pct')} ratio≥{ep.get('orderbook_min_bid_ask_ratio')} ask×≤{ep.get('orderbook_entry_ask_max_mult')}", flush=True)
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print(f" 휩쏘: {wp}", flush=True)
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print(
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f" 후처리참고 필터후 OB {((e.get('recommended_stats') or {}))} / 휩쏘 {((ws or {}).get('recommended_stats') or {})}",
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flush=True,
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)
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from kis_trader.backtest.optuna_momentum import prepare_momentum_search_context
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from kis_trader.backtest.param_search_momentum import evaluate_momentum_param_combo
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ctx = prepare_momentum_search_context(
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start, end, str(data.get("mode") or "tpe"),
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slot_money=slot, max_stocks=ms, total_budget_krw=bud,
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orderbook_filter="on", # 호가·틱 로드 (필터 ON/OFF는 콤보에서 덮어씀)
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history_source="kiwoom",
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market="KR",
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)
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if ctx is None:
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print("❌ prepare 실패", flush=True)
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return 1
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# prepare 가 base_fixed 에 필터 ON 을 넣어도, 케이스별로 명시 덮어씀
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base = dict(ctx.base_fixed)
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def _eval(combo: Dict[str, Any]) -> Optional[Dict[str, Any]]:
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return evaluate_momentum_param_combo(
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combo,
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base_fixed=base,
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grid_keys=grid_keys or list(ctx.grid_keys),
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codes_candles=ctx.codes_candles,
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min_trades=1,
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min_win_rate=0.0,
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min_pf=0.0,
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universe_by_slot=ctx.universe_by_slot,
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slot_money=ctx.slot_money,
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max_stocks=ctx.max_stocks,
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total_budget_krw=ctx.total_budget_krw,
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fee_rate=ctx.fee_rate,
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sell_tax=ctx.sell_tax,
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period_days=ctx.period_days,
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cache_holder=ctx.cache_holder,
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ticks_by_code=ctx.ticks_by_code,
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orderbook_by_code=ctx.orderbook_by_code,
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program_by_code=ctx.program_by_code,
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log_verdict_by_code=getattr(ctx, "log_verdict_by_code", None),
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start_key=ctx.start_key,
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end_key=ctx.end_key,
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include_trades=False,
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)
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cases = []
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# A) 타점만 (호가·휩쏘 OFF)
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a = dict(mode_params)
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a["_orderbook_filter_enabled"] = False
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a["whipsaw_enabled"] = False
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print("[3A] mode 타점만 (호가OFF·휩쏘OFF)", flush=True)
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cases.append(_pack("A_mode_only", _eval(a), "호가OFF·휩쏘OFF"))
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# B) +100 진입호가
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b = dict(mode_params)
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b["_orderbook_filter_enabled"] = True
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b["_ob_max_spread_pct"] = float(ep["orderbook_max_spread_pct"])
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b["_ob_min_bid_ask_ratio"] = float(ep["orderbook_min_bid_ask_ratio"])
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if ep.get("orderbook_entry_ask_max_mult") is not None:
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b["_ob_ask_max_mult"] = float(ep["orderbook_entry_ask_max_mult"])
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b["whipsaw_enabled"] = False
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print("[3B] mode + 100진입호가 (휩쏘OFF)", flush=True)
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cases.append(_pack("B_mode_ob100", _eval(b), "호가100 ON · 휩쏘OFF"))
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# C) +100 + 휩쏘
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c = dict(b)
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c["whipsaw_enabled"] = True
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if wp.get("whipsaw_subbar_sec") is not None:
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c["whipsaw_subbar_sec"] = int(wp["whipsaw_subbar_sec"])
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if wp.get("whipsaw_lookback_sec") is not None:
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c["whipsaw_lookback_sec"] = int(wp["whipsaw_lookback_sec"])
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if wp.get("whipsaw_dip_pct") is not None:
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c["whipsaw_dip_pct"] = float(wp["whipsaw_dip_pct"])
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print("[3C] mode + 100진입호가 + 휩쏘", flush=True)
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cases.append(_pack("C_mode_ob100_whip", _eval(c), "호가100 ON · 휩쏘ON"))
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# D) 웹 폼 방금 끝난 결과(참고)
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web_path = ROOT / "kis_trader/backtest/results/momentum_bt_20260818_20260821_20260823_152820.json"
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web_row = {"label": "D_web_form_done", "ok": False, "note": "파일없음"}
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if web_path.is_file():
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wj = json.loads(web_path.read_text(encoding="utf-8"))
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sm = wj.get("summary") or wj
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web_row = {
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"label": "D_web_form_done",
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"ok": True,
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"total_pnl": sm.get("total_pnl"),
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"total_trades": sm.get("total_trades"),
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"win_rate": sm.get("win_rate"),
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"pf": sm.get("profit_factor") or sm.get("pf"),
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"mdd": sm.get("max_drawdown") or sm.get("mdd"),
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"note": "웹 폼(다른 호가/휩쏘 DB값) 방금 완료 — Optuna 100방과 다름",
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}
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cases.append(web_row)
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# E) Optuna JSON mode 실측 + 후처리 표 숫자(참고)
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bt = mc.get("backtest") or {}
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cases.append({
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"label": "E_optuna_mode_recorded",
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"ok": True,
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"total_pnl": bt.get("total_pnl"),
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"total_trades": bt.get("total_trades"),
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"win_rate": bt.get("win_rate"),
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"pf": bt.get("pf"),
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"note": "Optuna JSON mode_combo.backtest (호가탐색 전 타점 실측)",
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})
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cases.append({
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"label": "F_post_ob100_filter_sim",
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"ok": True,
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"total_pnl": (e.get("recommended_stats") or {}).get("pnl"),
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"total_trades": (e.get("recommended_stats") or {}).get("count"),
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"win_rate": (e.get("recommended_stats") or {}).get("win_rate"),
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"note": "후처리 필터시뮬(체결 재필터) — 엔진 재백테 아님",
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})
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cases.append({
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"label": "G_post_ob100_whip_filter_sim",
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"ok": bool(ws and ws.get("ok")),
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"total_pnl": ((ws or {}).get("recommended_stats") or {}).get("pnl"),
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"total_trades": ((ws or {}).get("recommended_stats") or {}).get("count"),
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"win_rate": ((ws or {}).get("recommended_stats") or {}).get("win_rate"),
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"note": "후처리 휩쏘 필터시뮬 — 엔진 재백테 아님",
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})
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out = {
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"created_at": datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
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"source_json": str(JSON_PATH),
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"period": f"{start}~{end}",
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"ob100": ep,
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"whip": wp,
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"cases": cases,
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}
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OUT_PATH.write_text(json.dumps(out, indent=2, ensure_ascii=False), encoding="utf-8")
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print("\n===== 비교 =====", flush=True)
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for row in cases:
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print(
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f"{row['label']:28s} ok={row.get('ok')} "
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f"trades={row.get('total_trades')} WR={row.get('win_rate')} "
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f"PF={row.get('pf')} PnL={row.get('total_pnl')} "
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f"| {row.get('note','')}",
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flush=True,
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)
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print(f"\n💾 {OUT_PATH}", flush=True)
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print("OK", flush=True)
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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