hoon/kis_bot
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

refactor: enhance Optuna backtesting framework, optimize orderbook filtering, and update database management utilities.

Browse Source
This commit is contained in:
Your Name
2026-08-12 10:19:19 +09:00
parent cb7e5037a0
commit c6bd62a25f
218 changed files with 31613 additions and 759 deletions
Download Patch File Download Diff File Expand all files Collapse all files

10
kis_trader/backtest/optuna_momentum_tpe_space.py
View File

@@ -85,7 +85,7 @@ def suggest_momentum_params_tpe(
combo["mom_vol_win"] = trial.suggest_int("mom_vol_win", 3, 10)
# HTS K: 전일종가 대비 최소등락(%) — 실매 앵커 0.2 포함 연속 텀 (step 0.1)
combo["e_min_chg_pct"] = r1(
trial.suggest_float("e_min_chg_pct", 0.0, 2.0, step=0.1),
trial.suggest_float("e_min_chg_pct", 0.0, 3.0, step=0.1), # 확장: 2.0→3.0
)
combo["tp_pct"] = r2(trial.suggest_float("tp_pct", 1.5, 15.0, step=0.1))
@@ -93,7 +93,7 @@ def suggest_momentum_params_tpe(
if combo["tp_max_pct"] + 1e-9 < combo["tp_pct"]:
raise optuna.TrialPruned("tp_max < tp")
combo["sl_pct"] = r2(trial.suggest_float("sl_pct", 1.0, 6.0, step=0.1))
combo["sl_pct"] = r2(trial.suggest_float("sl_pct", 0.5, 8.0, step=0.1)) # 확장: 1.0→0.5, 6.0→8.0
combo["shoulder_min_high"] = r2(
trial.suggest_float("shoulder_min_high", 0.3, 5.0, step=0.1),
@@ -106,7 +106,7 @@ def suggest_momentum_params_tpe(
trial.suggest_float("trail_arm_pct", 0.0, 5.0, step=0.1),
)
combo["max_hold_bars"] = trial.suggest_int("max_hold_bars", 0, 180, step=5)
combo["max_hold_bars"] = trial.suggest_int("max_hold_bars", 0, 300, step=5) # 확장: 180→300
combo["cooldown_min"] = r1(trial.suggest_float("cooldown_min", 0.0, 30.0, step=1.0))
combo["max_daily"] = trial.suggest_int("max_daily", 5, 100, step=5)
combo["max_daily_chg"] = r1(
@@ -123,13 +123,13 @@ def suggest_momentum_params_tpe(
trial.suggest_float("pullback_min_pct", 0.1, 1.0, step=0.1),
)
combo["pullback_max_pct"] = r2(
trial.suggest_float("pullback_max_pct", 1.0, 6.0, step=0.1),
trial.suggest_float("pullback_max_pct", 1.0, 10.0, step=0.1), # 확장: 6.0→10.0
)
if combo["pullback_min_pct"] >= combo["pullback_max_pct"]:
raise optuna.TrialPruned("pullback min >= max")
combo["setup_vol_max_mult"] = r2(
trial.suggest_float("setup_vol_max_mult", 0.3, 1.5, step=0.1),
trial.suggest_float("setup_vol_max_mult", 0.5, 3.0, step=0.1),
)
combo["setup_bear_bars_min"] = trial.suggest_int("setup_bear_bars_min", 0, 3)