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

2026-08-12 10:19:19 +09:00
parent cb7e5037a0
commit c6bd62a25f
218 changed files with 31613 additions and 759 deletions
--- a/scratch/extract_optuna.py
+++ b/scratch/extract_optuna.py
@@ -0,0 +1,70 @@
+import re
+
+html_path = 'templates/backtest.html'
+with open(html_path, 'r', encoding='utf-8') as f:
+    html = f.read()
+
+def extract_and_remove(html_str, input_id):
+    pattern = r'(\s*<div class="col-4 col-md-1">\s*<label class="form-label param-row"[^>]*>.*?</label>\s*<input[^>]*id="' + input_id + r'"[^>]*>\s*</div>)'
+    match = re.search(pattern, html_str, re.DOTALL)
+    if match:
+        block = match.group(1)
+        html_str = html_str.replace(block, '')
+        return html_str, block
+    
+    # Try col-auto fallback
+    pattern = r'(\s*<div class="col-auto">\s*<label class="form-label param-row"[^>]*>.*?</label>\s*<input[^>]*id="' + input_id + r'"[^>]*>\s*</div>)'
+    match = re.search(pattern, html_str, re.DOTALL)
+    if match:
+        block = match.group(1)
+        html_str = html_str.replace(block, '')
+        return html_str, block
+        
+    print(f"Could not find {input_id}")
+    return html_str, ""
+
+# For each prefix, we will extract the optuna variables and group them.
+prefixes = {
+    'bt': ['bt_stop', 'bt_target', 'bt_smin', 'bt_scut', 'bt_vol_mult'],
+    'tl': ['tl_dip', 'tl_stop', 'tl_target', 'tl_smin', 'tl_scut'],
+    'bo': ['bo_sl', 'bo_tp', 'bo_smin', 'bo_scut', 'bo_tp_max'],
+    'mom': ['mom_sl', 'mom_tp', 'mom_smin', 'mom_scut', 'mom_tp_max'],
+}
+
+for prefix, ids in prefixes.items():
+    blocks = []
+    for pid in ids:
+        html, block = extract_and_remove(html, pid)
+        if block:
+            blocks.append(block.strip())
+            
+    if blocks:
+        # Create a new container for Optuna values
+        group_html = f"""
+      <!-- Optuna Parameters Group -->
+      <div class="row g-2 align-items-center mt-2 p-2 rounded" style="background:rgba(248, 81, 73, 0.05);border:1px solid rgba(248, 81, 73, 0.3)">
+        <div class="col-12"><span class="text-muted" style="font-size:11px"><b style="color:#f85149">🔬 Optuna 탐색 변수 (TPE 최적화 대상)</b></span></div>
+        {''.join(blocks)}
+      </div>"""
+        
+        # Insert this group right before the EOD block we created earlier, 
+        # or before the TRIGGER block.
+        if prefix == 'bt':
+            html = html.replace('<!-- EOD_BLOCK_bt -->', group_html + '\n      <!-- EOD_BLOCK_bt -->')
+        elif prefix == 'tl':
+            html = html.replace('<!-- EOD_BLOCK_tl -->', group_html + '\n      <!-- EOD_BLOCK_tl -->')
+        elif prefix == 'bo':
+            html = html.replace('<!-- EOD_BLOCK_bo -->', group_html + '\n      <!-- EOD_BLOCK_bo -->')
+        elif prefix == 'mom':
+            html = html.replace('      <div class="row g-2 align-items-center mt-2 p-2 rounded" style="background:#161b22;border:1px solid #30363d">\n        <div class="col-12"><span class="text-muted" style="font-size:11px"><b style="color:#79c0ff">EOD 장마감 청산</b></span></div>', 
+                                group_html + '\n      <div class="row g-2 align-items-center mt-2 p-2 rounded" style="background:#161b22;border:1px solid #30363d">\n        <div class="col-12"><span class="text-muted" style="font-size:11px"><b style="color:#79c0ff">EOD 장마감 청산</b></span></div>')
+
+# Fix EOD_BLOCK markers
+html = html.replace('<!-- EOD_BLOCK_bt -->', '')
+html = html.replace('<!-- EOD_BLOCK_tl -->', '')
+html = html.replace('<!-- EOD_BLOCK_bo -->', '')
+html = html.replace('<!-- EOD_BLOCK_usmom -->', '')
+
+with open(html_path, 'w', encoding='utf-8') as f:
+    f.write(html)
+print("Optuna variables grouped.")