feat: 새로운 안전 규칙 및 최적화 적용을 통한 트레이딩 시스템 개선

변경 사항 (Changes): 구문 오류(Syntax error) 및 토큰 낭비를 방지하기 위해 에이전트 쉘(Agent shell)과 파이썬 코드 스니펫에 다수의 신규 안전 규칙(Safety rules)을 추가함. 스키마 검증 및 적절한 SQL 포맷팅을 보장하기 위해 임시(Ad-hoc) 데이터베이스 쿼리 작성 가이드라인을 도입함. 코드 수정 후 UI 기능이 정상 작동하는지 확인하기 위해, 백테스트 웹 서비스 재시작 및 브라우저 검증에 대한 새로운 규칙을 구현함. 시스템 전반의 무결성(Integrity)을 유지하기 위해 실전 매매(Live trading), 웹 백테스팅, 파라미터 탐색(Parameter searches) 간의 일관성 검사(Consistency checks) 체계를 확립함. 기대 효과 (Impact): 이러한 개선 사항들은 트레이딩 시스템의 견고성(Robustness)과 신뢰성을 향상시키며, 에러 발생을 최소화하고 다양한 시스템 컴포넌트 간의 원활한 상호작용을 보장함.
2026-07-17 01:09:09 +09:00
parent a4626e0351
commit fc27e726f9
151 changed files with 20718 additions and 6450 deletions
--- a/kis_trader/backtest/param_search_optuna.py
+++ b/kis_trader/backtest/param_search_optuna.py
@@ -4,7 +4,7 @@ kis_trader/backtest/param_search_optuna.py — Optuna TPE 파라미터 탐색 (
 ==============================================================================
 기존 Grid CLI(tail_param_search.py 등)는 그대로 두고, Bayesian(TPE) add-on.

-현재 구현: --strategy tail | momentum | breakout
+현재 구현: --strategy tail | momentum | breakout | scalp

 실행 예:
    # 꼬리
@@ -13,6 +13,8 @@ kis_trader/backtest/param_search_optuna.py — Optuna TPE 파라미터 탐색 (
    python3 kis_trader/backtest/param_search_optuna.py --strategy momentum --mode fast --trials 200
    # 돌파
    python3 kis_trader/backtest/param_search_optuna.py --strategy breakout --mode fast --trials 200
+    # 스캘핑 RSI V자 (trigger=진입 / exit=청산)
+    python3 kis_trader/backtest/param_search_optuna.py --strategy scalp --mode trigger --trials 100

 Win11 + VM 동시 분산: 같은 study-name · 같은 storage(141/kis_optuna) 로 각각 --trials 실행.

@@ -51,10 +53,13 @@ from database import TradeDB
 from kis_trader.backtest import tail_backtest_common as tbc
 from kis_trader.backtest.optuna_common import (
    OPTUNA_STRATEGIES,
+    announce_optuna_json_path,
    optuna_run_lock_name,
+    release_shared_tick_store,
    resolve_optuna_storage_url,
    resolve_study_name,
 )
+from kis_trader.backtest.optuna_mode_combo import enrich_out_data_with_mode_combo
 from kis_trader.backtest.optuna_breakout import (
    apply_best_breakout_trial,
    prepare_breakout_search_context,
@@ -65,6 +70,11 @@ from kis_trader.backtest.optuna_momentum import (
    prepare_momentum_search_context,
    run_momentum_optuna,
 )
+from kis_trader.backtest.optuna_scalping import (
+    apply_best_scalp_trial,
+    prepare_scalp_search_context,
+    run_scalp_optuna,
+)
 from kis_trader.backtest.optuna_search_space import suggest_tail_params, tail_grid_axis_keys
 from kis_trader.backtest.param_search_cli_common import (
    add_portfolio_cli_args,
@@ -92,9 +102,10 @@ _FAIL_OBJECTIVE = -1e18

 # 전략별 --mode 허용값 (Grid CLI 와 동일)
 STRATEGY_MODES: Dict[str, List[str]] = {
-    "tail": ["fast", "coarse", "fine", "full", "massive"],
-    "momentum": ["fast", "rr", "coarse", "fine", "full"],
-    "breakout": ["fast", "coarse", "fine", "full"],
+    "tail": ["fast", "coarse", "fine", "wide", "full", "massive"],
+    "momentum": ["fast", "exit", "rr", "coarse", "fine", "wide", "full"],
+    "breakout": ["fast", "coarse", "fine", "wide", "full"],
+    "scalp": ["fast", "trigger", "exit", "coarse", "fine", "full", "wide"],
 }


@@ -171,8 +182,8 @@ def prepare_tail_search_context(
            "적용" if ob_filter_on else "스킵 — 코어 파라미터 순수 탐색",
        )

-        row = db.conn.execute("SELECT * FROM env_config ORDER BY id DESC LIMIT 1").fetchone()
-        r = dict(row) if row else {}
+        from kis_trader.backtest.backtest_portfolio_common import load_portfolio_env_row
+        r = load_portfolio_env_row(db)
        fee_rate, sell_tax, _slot_from_fee = tbc.fee_and_slot_from_env_row(r)
        portfolio = tbc.resolve_tail_portfolio_params(
            r,
@@ -221,10 +232,15 @@ def prepare_tail_search_context(
        base_params = dict(base_params)
        base_params["scan_interval_min"] = scan_interval_min
        base_params["timeframe"] = tail_tf
-        base_params.setdefault("backtest_tick_fallback_ohlc", True)
-        from kis_trader.engine.tail_tick_replay import tail_backtest_use_tick_db as _tail_use_tick
+        from kis_trader.engine.tail_tick_replay import (
+            tail_backtest_tick_fallback_ohlc as _tail_tick_fallback,
+            tail_backtest_use_tick_db as _tail_use_tick,
+            tail_backtest_use_tick_exit as _tail_use_tick_exit,
+        )
+        base_params.setdefault("backtest_tick_fallback_ohlc", _tail_tick_fallback(None))
        base_params.setdefault("backtest_use_tick_db", _tail_use_tick(None))
-        if base_params.get("backtest_use_tick_db"):
+        base_params.setdefault("backtest_use_tick_exit", _tail_use_tick_exit(None))
+        if base_params.get("backtest_use_tick_db") or base_params.get("backtest_use_tick_exit"):
            logger.info("📌 틱재생(ws_ticks): ON — 실매 체결 정합 모드 (OHLC 낙관편향 제거)")

        logger.info(
@@ -452,111 +468,155 @@ def run_tail_optuna(
            n_jobs=n_jobs,
            show_progress_bar=show_progress,
        )
-    finally:
-        # 탐색 종료(또는 예외) 시 공유메모리 즉시 해제 (atexit 는 크래시 대비 이중 안전장치).
-        _store = getattr(ctx, "shared_tick_store", None)
-        if _store is not None:
+        elapsed = time.time() - t0
+        logger.info("✅ Optuna 완료 | %.1f초 | 완료 trial %d", elapsed, len(study.trials))
+
+        # JSON export — study.user_attrs 기준 (n_jobs>1 에도 안전)
+        passing: List[Dict[str, Any]] = []
+        for trial in study.trials:
+            if trial.state != optuna.trial.TrialState.COMPLETE:
+                continue
+            if not trial.user_attrs.get("gates_ok"):
+                continue
+            params_raw = trial.user_attrs.get("params_json") or "{}"
            try:
-                _store.unlink()
-            except Exception:
-                pass
-            ctx.shared_tick_store = None
-    elapsed = time.time() - t0
-    logger.info("✅ Optuna 완료 | %.1f초 | 완료 trial %d", elapsed, len(study.trials))
+                combo = json.loads(params_raw)
+            except json.JSONDecodeError:
+                combo = dict(trial.params)
+            passing.append({
+                "params": combo,
+                "apply_cfg": {**ctx.base_params, **combo},
+                "total_trades": int(trial.user_attrs.get("total_trades") or 0),
+                "win_rate": float(trial.user_attrs.get("win_rate") or 0),
+                "total_pnl": float(trial.user_attrs.get("total_pnl") or 0),
+                "pf": float(trial.user_attrs.get("pf") or 0),
+                "optuna_trial_number": trial.number,
+            })
+        if sort_by == "pnl":
+            passing.sort(key=lambda r: (-float(r["total_pnl"]), -float(r["win_rate"])))
+        else:
+            passing.sort(key=lambda r: (-float(r["win_rate"]), -float(r["total_pnl"])))

-    # JSON export — study.user_attrs 기준 (n_jobs>1 에도 안전)
-    passing: List[Dict[str, Any]] = []
-    for trial in study.trials:
-        if trial.state != optuna.trial.TrialState.COMPLETE:
-            continue
-        if not trial.user_attrs.get("gates_ok"):
-            continue
-        params_raw = trial.user_attrs.get("params_json") or "{}"
+        profitable = [r for r in passing if float(r.get("total_pnl") or 0) > 0]
+        if profitable:
+            passing = profitable
+
+        out_data = {
+            "engine": "optuna",
+            "mode": ctx.mode,
+            "start": ctx.start,
+            "end": ctx.end,
+            "timeframe": ctx.tail_tf,
+            "universe_source": ctx.universe_source,
+            "universe_history_slots": ctx.universe_history_slots,
+            "slot_money": int(ctx.slot_money),
+            "max_stocks": ctx.max_stocks,
+            "total_budget_krw": int(ctx.total_budget_krw),
+            "portfolio_mode": True,
+            "budget_warning": ctx.portfolio.get("budget_warning"),
+            "backtest_days": ctx.period_days,
+            "min_trades": min_trades,
+            "min_win_rate": min_win_rate,
+            "min_pf": min_pf,
+            "sort_by": sort_by,
+            "grid_keys": ctx.grid_keys,
+            "grid_axis_hints": {k: TAIL_GRID_AXIS_HINTS_KO[k] for k in ctx.grid_keys if k in TAIL_GRID_AXIS_HINTS_KO},
+            "holding_peak_in_candles": ctx.has_holding_peak,
+            "optuna_study_name": study_name,
+            "optuna_storage": storage_url,
+            "optuna_n_trials_requested": n_trials,
+            "optuna_trials_completed": len(study.trials),
+            "optuna_best_value": study.best_value if study.best_trial else None,
+            "optuna_best_trial_number": study.best_trial.number if study.best_trial else None,
+            "elapsed_sec": round(elapsed, 1),
+            "results": passing[:5000],
+        }
+
+        ts = datetime.now().strftime("%Y%m%d_%H%M%S")
+        out_name = f"optuna_tail_{ctx.mode}_{ts}.json"
+        out_dir = _results_dir_for_write()
+        out_path = os.path.join(out_dir, out_name)
        try:
-            combo = json.loads(params_raw)
-        except json.JSONDecodeError:
-            combo = dict(trial.params)
-        passing.append({
-            "params": combo,
-            "apply_cfg": {**ctx.base_params, **combo},
-            "total_trades": int(trial.user_attrs.get("total_trades") or 0),
-            "win_rate": float(trial.user_attrs.get("win_rate") or 0),
-            "total_pnl": float(trial.user_attrs.get("total_pnl") or 0),
-            "pf": float(trial.user_attrs.get("pf") or 0),
-            "optuna_trial_number": trial.number,
-        })
-    if sort_by == "pnl":
-        passing.sort(key=lambda r: (-float(r["total_pnl"]), -float(r["win_rate"])))
-    else:
-        passing.sort(key=lambda r: (-float(r["win_rate"]), -float(r["total_pnl"])))
-
-    profitable = [r for r in passing if float(r.get("total_pnl") or 0) > 0]
-    if profitable:
-        passing = profitable
-
-    out_data = {
-        "engine": "optuna",
-        "mode": ctx.mode,
-        "start": ctx.start,
-        "end": ctx.end,
-        "timeframe": ctx.tail_tf,
-        "universe_source": ctx.universe_source,
-        "universe_history_slots": ctx.universe_history_slots,
-        "slot_money": int(ctx.slot_money),
-        "max_stocks": ctx.max_stocks,
-        "total_budget_krw": int(ctx.total_budget_krw),
-        "portfolio_mode": True,
-        "budget_warning": ctx.portfolio.get("budget_warning"),
-        "backtest_days": ctx.period_days,
-        "min_trades": min_trades,
-        "min_win_rate": min_win_rate,
-        "min_pf": min_pf,
-        "sort_by": sort_by,
-        "grid_keys": ctx.grid_keys,
-        "grid_axis_hints": {k: TAIL_GRID_AXIS_HINTS_KO[k] for k in ctx.grid_keys if k in TAIL_GRID_AXIS_HINTS_KO},
-        "holding_peak_in_candles": ctx.has_holding_peak,
-        "optuna_study_name": study_name,
-        "optuna_storage": storage_url,
-        "optuna_n_trials_requested": n_trials,
-        "optuna_trials_completed": len(study.trials),
-        "optuna_best_value": study.best_value if study.best_trial else None,
-        "optuna_best_trial_number": study.best_trial.number if study.best_trial else None,
-        "elapsed_sec": round(elapsed, 1),
-        "results": passing[:5000],
-    }
-
-    ts = datetime.now().strftime("%Y%m%d_%H%M%S")
-    out_name = f"optuna_tail_{ctx.mode}_{ts}.json"
-    out_dir = _results_dir_for_write()
-    out_path = os.path.join(out_dir, out_name)
-    try:
-        with open(out_path, "w", encoding="utf-8") as f:
-            json.dump(out_data, f, indent=2, ensure_ascii=False)
-    except OSError:
-        fb = os.path.join(os.path.expanduser("~"), ".kis_bot_search_results")
-        os.makedirs(fb, exist_ok=True)
-        out_path = os.path.join(fb, out_name)
-        with open(out_path, "w", encoding="utf-8") as f:
-            json.dump(out_data, f, indent=2, ensure_ascii=False)
-        logger.warning("⚠️  results/ 쓰기 권한 없음 → 폴백 저장: %s", out_path)
-
-    logger.info("💾 Optuna 결과 저장: %s", out_path)
-
-    if study.best_trial and study.best_value > _FAIL_OBJECTIVE + 1:
-        bt = study.best_trial
-        logger.info(
-            "🏆 Best trial #%d | objective=%.4g | pnl=%s | wr=%.1f%% | trades=%s",
-            bt.number,
-            study.best_value,
-            bt.user_attrs.get("total_pnl"),
-            float(bt.user_attrs.get("win_rate") or 0),
-            bt.user_attrs.get("total_trades"),
+            with open(out_path, "w", encoding="utf-8") as f:
+                json.dump(out_data, f, indent=2, ensure_ascii=False)
+        except OSError:
+            fb = os.path.join(os.path.expanduser("~"), ".kis_bot_search_results")
+            os.makedirs(fb, exist_ok=True)
+            out_path = os.path.join(fb, out_name)
+            with open(out_path, "w", encoding="utf-8") as f:
+                json.dump(out_data, f, indent=2, ensure_ascii=False)
+            logger.warning("⚠️  results/ 쓰기 권한 없음 → 폴백 저장: %s", out_path)
+        announce_optuna_json_path(
+            out_path, strategy="tail", mode=ctx.mode, note="중간저장(mode 전)", log=logger,
        )
-    else:
-        logger.info("⚠️ 조건 만족 trial 없음 (min_trades·승률·PF 게이트 확인)")

-    study._kis_export_path = out_path  # type: ignore[attr-defined]
-    return study
+        def _eval_mode(combo: Dict[str, Any]) -> Optional[Dict[str, Any]]:
+            return evaluate_tail_param_combo(
+                combo,
+                base_params=ctx.base_params,
+                candles_by_code=ctx.candles_by_code,
+                fee_rate=ctx.fee_rate,
+                sell_tax=ctx.sell_tax,
+                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,
+                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,
+            )
+
+        def _save_partial(_data: Dict[str, Any]) -> None:
+            try:
+                with open(out_path, "w", encoding="utf-8") as f:
+                    json.dump(_data, f, indent=2, ensure_ascii=False)
+            except OSError as exc:
+                logger.warning("⚠️ mode_combo 부분저장 실패: %s", exc)
+                return
+            announce_optuna_json_path(
+                out_path, strategy="tail", mode=ctx.mode, note="mode_combo params 저장(실측 전)", log=logger,
+            )
+
+        enrich_out_data_with_mode_combo(
+            out_data,
+            evaluate_fn=_eval_mode,
+            grid_keys=ctx.grid_keys,
+            log=logger,
+            on_partial_save=_save_partial,
+        )
+        try:
+            with open(out_path, "w", encoding="utf-8") as f:
+                json.dump(out_data, f, indent=2, ensure_ascii=False)
+        except OSError as exc:
+            logger.warning("⚠️ mode_combo 반영 재저장 실패: %s", exc)
+        announce_optuna_json_path(
+            out_path, strategy="tail", mode=ctx.mode, note="최종 JSON", log=logger,
+        )
+
+        if study.best_trial and study.best_value > _FAIL_OBJECTIVE + 1:
+            bt = study.best_trial
+            logger.info(
+                "🏆 Best trial #%d | objective=%.4g | pnl=%s | wr=%.1f%% | trades=%s",
+                bt.number,
+                study.best_value,
+                bt.user_attrs.get("total_pnl"),
+                float(bt.user_attrs.get("win_rate") or 0),
+                bt.user_attrs.get("total_trades"),
+            )
+        else:
+            logger.info("⚠️ 조건 만족 trial 없음 (min_trades·승률·PF 게이트 확인)")
+
+        study._kis_export_path = out_path  # type: ignore[attr-defined]
+        return study
+    finally:
+        # mode_combo 실측이 ticks 공유뷰를 쓰므로 optimize 직후 unlink 금지
+        release_shared_tick_store(ctx, log=logger)


 def apply_best_trial(study: optuna.Study, ctx: TailSearchContext) -> bool:
@@ -579,18 +639,18 @@ def apply_best_trial(study: optuna.Study, ctx: TailSearchContext) -> bool:


 def main() -> None:
-    today = datetime.now().strftime("%Y-%m-%d")
-    week_ago = (datetime.now() - timedelta(days=7)).strftime("%Y-%m-%d")
+    from kis_trader.backtest.param_search_dates import resolve_param_search_range
+    week_ago, today = resolve_param_search_range("TAIL", lookback_days=7)

    parser = argparse.ArgumentParser(
        description="Optuna TPE 파라미터 탐색 (Grid CLI add-on, storage=MariaDB 141 기본)",
    )
    parser.add_argument(
        "--strategy", default="tail", choices=list(OPTUNA_STRATEGIES),
-        help="전략: tail | momentum | breakout",
+        help="전략: tail | momentum | breakout | scalp",
    )
-    parser.add_argument("--start", default=week_ago, help="시작일 YYYY-MM-DD")
-    parser.add_argument("--end", default=today, help="종료일 YYYY-MM-DD")
+    parser.add_argument("--start", default=week_ago, help="시작일 YYYY-MM-DD (거래일 보정)")
+    parser.add_argument("--end", default=today, help="종료일 YYYY-MM-DD (주말·휴장이면 이전 장운영일)")
    parser.add_argument("--timeframe", "--tf", default=3, type=int, dest="timeframe",
                        help="ws_candles 분봉 3·5·15·60")
    add_portfolio_cli_args(parser)
@@ -666,7 +726,7 @@ def main() -> None:

    strategy = (args.strategy or "tail").strip().lower()
    if strategy not in OPTUNA_STRATEGIES:
-        logger.error("❌ --strategy 는 tail/momentum/breakout 중 하나")
+        logger.error("❌ --strategy 는 tail/momentum/breakout/scalp 중 하나")
        sys.exit(2)

    allowed_modes = STRATEGY_MODES.get(strategy, [])
@@ -677,11 +737,11 @@ def main() -> None:

    sort_by = (args.sort_by or "").strip().lower()
    if not sort_by:
-        sort_by = "score" if strategy == "momentum" else "pnl"
+        sort_by = "score" if strategy in ("momentum", "scalp") else "pnl"
    momentum_sort = {"score", "pnl", "win_rate"}
    basic_sort = {"pnl", "win_rate"}
-    if strategy == "momentum" and sort_by not in momentum_sort:
-        logger.error("❌ momentum --sort-by 는 score|pnl|win_rate")
+    if strategy in ("momentum", "scalp") and sort_by not in momentum_sort:
+        logger.error("❌ %s --sort-by 는 score|pnl|win_rate", strategy)
        sys.exit(2)
    if strategy in ("tail", "breakout") and sort_by not in basic_sort:
        logger.error("❌ %s --sort-by 는 pnl|win_rate", strategy)
@@ -711,6 +771,7 @@ def main() -> None:
        cli_override=args.study_name,
    )

+    study = None
    try:
        if strategy == "tail":
            ctx = prepare_tail_search_context(
@@ -773,6 +834,36 @@ def main() -> None:
            if args.apply_best:
                apply_best_momentum_trial(study)

+        elif strategy == "scalp":
+            ctx_s = prepare_scalp_search_context(
+                args.start, args.end, mode,
+                use_fallback_universe=use_fallback,
+                time_start_hm=args.time_start,
+                time_end_hm=args.time_end,
+                slot_money=args.slot_money,
+                max_stocks=args.max_stocks,
+                total_budget_krw=args.total_budget,
+                orderbook_filter=args.orderbook_filter,
+            )
+            if ctx_s is None:
+                sys.exit(1)
+            study = run_scalp_optuna(
+                ctx_s,
+                n_trials=n_trials,
+                storage_url=storage_url,
+                study_name=study_name,
+                min_trades=args.min_trades,
+                min_win_rate=args.min_win_rate,
+                min_pf=args.min_pf,
+                sort_by=sort_by,
+                sampler_name=sampler_name,
+                seed=args.seed,
+                n_jobs=n_jobs,
+                show_progress=not args.no_progress,
+            )
+            if args.apply_best:
+                apply_best_scalp_trial(study)
+
        else:
            ctx_b = prepare_breakout_search_context(
                args.start, args.end, mode,
@@ -803,6 +894,17 @@ def main() -> None:
            if args.apply_best:
                apply_best_breakout_trial(study)

+        # 종료 직전 절대경로 한 번 더 (로그 끝에서 바로 복사)
+        export = getattr(study, "_kis_export_path", None) if study is not None else None
+        if export:
+            announce_optuna_json_path(
+                str(export),
+                strategy=strategy,
+                mode=mode,
+                note="CLI 종료·열기용 경로",
+                log=logger,
+            )
+
    except KeyboardInterrupt as e:
        print(f"\n⛔ {e} — 중단", flush=True)
        sys.exit(130)