옵투나 8방 후처리를 재탐색으로 변경하기 전전

scripts/momentum_optuna_parity_merged_snap.py

@@ -0,0 +1,177 @@
+#!/usr/bin/env python3
+"""Optuna JSON 재평가 — 당시 merged_params 고정축 스냅샷 사용 (DB 미변경)."""
+from __future__ import annotations
+
+import argparse
+import json
+import time
+import traceback
+from pathlib import Path
+
+
+def main() -> int:
+    ap = argparse.ArgumentParser()
+    ap.add_argument(
+        "--json",
+        default="kis_trader/backtest/results/optuna_momentum_tpe_20260821_220227.json",
+    )
+    ap.add_argument("--out", required=True)
+    args = ap.parse_args()
+
+    t0 = time.time()
+    json_path = Path(args.json)
+    out_path = Path(args.out)
+    d = json.loads(json_path.read_text())
+    start, end = d["start"], d["end"]
+    slot = float(d["slot_money"])
+    max_stocks = int(d["max_stocks"])
+    budget = float(d["total_budget_krw"])
+    grid_keys = list(d["grid_keys"])
+
+    t199 = next(x for x in d["results_all"] if x.get("optuna_trial_number") == 199)
+    mp = dict(t199["merged_params"])
+    p199 = dict(t199["params"])
+    mode_params = dict(d["mode_combo"]["params"])
+
+    # Optuna 당시 고정축 (지금 DB 기본값과 다를 수 있음 — RSI 등)
+    fixed_snap = {k: v for k, v in mp.items() if k not in p199}
+    fixed_snap["_orderbook_filter_enabled"] = False
+    for k in list(fixed_snap.keys()):
+        if "whipsaw" in k.lower() and isinstance(fixed_snap[k], (bool, int)):
+            fixed_snap[k] = False if isinstance(fixed_snap[k], bool) else 0
+
+    from kis_trader.backtest.optuna_momentum import prepare_momentum_search_context
+    from kis_trader.backtest.param_search_momentum import evaluate_momentum_param_combo
+
+    print(
+        f"prepare {start}~{end} OB=off merged-fixed "
+        f"rsi={fixed_snap.get('mom_rsi_min')}/{fixed_snap.get('mom_rsi_max')}",
+        flush=True,
+    )
+    ctx = prepare_momentum_search_context(
+        start,
+        end,
+        "tpe",
+        slot_money=slot,
+        max_stocks=max_stocks,
+        total_budget_krw=budget,
+        orderbook_filter="off",
+        market="KR",
+        history_source="kiwoom",
+    )
+    if ctx is None:
+        print("prepare failed", flush=True)
+        return 1
+
+    base = dict(ctx.base_fixed)
+    base.update(fixed_snap)
+    base["_orderbook_filter_enabled"] = False
+
+    def run_one(label, combo, recorded):
+        print(f"--- eval {label} ---", flush=True)
+        r = evaluate_momentum_param_combo(
+            combo,
+            base_fixed=base,
+            grid_keys=grid_keys,
+            codes_candles=ctx.codes_candles,
+            min_trades=1,
+            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=ctx.period_days,
+            cache_holder=ctx.cache_holder,
+            ticks_by_code=ctx.ticks_by_code,
+            orderbook_by_code=ctx.orderbook_by_code,
+            program_by_code=ctx.program_by_code,
+            log_verdict_by_code=ctx.log_verdict_by_code,
+            start_key=ctx.start_key,
+            end_key=ctx.end_key,
+            include_trades=False,
+        )
+        if not r:
+            return {"label": label, "ok": False, "error": "None"}
+        out = {
+            "label": label,
+            "ok": True,
+            "reeval": {
+                "total_pnl": r.get("total_pnl"),
+                "total_trades": r.get("total_trades"),
+                "win_rate": r.get("win_rate"),
+                "pf": r.get("pf"),
+            },
+            "recorded": recorded,
+            "delta_pnl": float(r.get("total_pnl") or 0) - float(recorded.get("total_pnl") or 0),
+            "delta_trades": int(r.get("total_trades") or 0)
+            - int(recorded.get("total_trades") or 0),
+            "match": (
+                int(r.get("total_pnl") or 0) == int(recorded.get("total_pnl") or 0)
+                and int(r.get("total_trades") or 0)
+                == int(recorded.get("total_trades") or 0)
+            ),
+        }
+        print(json.dumps(out, ensure_ascii=False), flush=True)
+        return out
+
+    rows = [
+        run_one(
+            "#199",
+            p199,
+            {
+                "total_pnl": t199["total_pnl"],
+                "total_trades": t199["total_trades"],
+                "win_rate": t199["win_rate"],
+                "pf": t199["pf"],
+            },
+        ),
+        run_one(
+            "mode_combo",
+            mode_params,
+            {
+                "total_pnl": d["mode_combo"]["backtest"]["total_pnl"],
+                "total_trades": d["mode_combo"]["backtest"]["total_trades"],
+                "win_rate": d["mode_combo"]["backtest"]["win_rate"],
+                "pf": d["mode_combo"]["backtest"]["pf"],
+            },
+        ),
+    ]
+    report = {
+        "method": "merged_fixed_snapshot + combo",
+        "source_json": str(json_path),
+        "db_touched": False,
+        "elapsed_sec": round(time.time() - t0, 1),
+        "fixed_rsi": [fixed_snap.get("mom_rsi_min"), fixed_snap.get("mom_rsi_max")],
+        "comparisons": rows,
+    }
+    out_path.parent.mkdir(parents=True, exist_ok=True)
+    out_path.write_text(json.dumps(report, ensure_ascii=False, indent=2))
+    print("WROTE", out_path, flush=True)
+    print(
+        "FINAL",
+        json.dumps(
+            {
+                r["label"]: {
+                    "match": r.get("match"),
+                    "delta_pnl": r.get("delta_pnl"),
+                    "delta_trades": r.get("delta_trades"),
+                    "reeval": r.get("reeval"),
+                }
+                for r in rows
+            },
+            ensure_ascii=False,
+        ),
+        flush=True,
+    )
+    return 0 if all(r.get("match") for r in rows if r.get("ok")) else 2
+
+
+if __name__ == "__main__":
+    try:
+        raise SystemExit(main())
+    except Exception:
+        traceback.print_exc()
+        raise SystemExit(1)