""" kis_trader/strategies/breakout.py — 돌파 매매 (Breakout) ============================================================= 전제: * 유니버스는 HTS 에 저장된 "우상향 돌파" 조건식에서 REST 로 폴링 (``ConditionSearchManager``). 즉 "절대 바닥 잡기" 가 아니라 이미 강세인 종목들 사이에서 돌파의 질(Q) 만 검증한다. * 진입은 '장 초반 골든타임' 한정 (09:00 ~ BREAKOUT_GOLDEN_END_HM). 오후장 돌파는 거의 속임수(휩쏘) → 봇이 쫓지 않는다. 매수 필터 (네 가지 모두 만족): 1) 저항선 돌파 : 최근 ``BREAKOUT_LOOKBACK_MIN`` 분봉의 고가 > 최대고가(전고점) 2) 거래량 폭발 : 돌파 봉 거래량 ≥ 최근 ``BREAKOUT_VOL_WIN`` 봉 평균 × ``BREAKOUT_VOL_MULT`` 3) 상승 확증 : 직전 봉 종가 대비 현재가 상승 & 종가 > 시가 4) 이격 과열 X : 당일 상승률 ≤ BREAKOUT_MAX_DAILY_CHG (기본 15%) 매도: * 손절 : 진입가 × (1 + BREAKOUT_STOP_LOSS_PCT) (기본 -2%) * 익절 : 진입가 × (1 + BREAKOUT_TAKE_PROFIT_PCT) (기본 +5%) * 트레일링 스탑 : 최고가 대비 BREAKOUT_TRAIL_PCT 하락 (기본 1.5%) * EOD 강제청산 (15:15 이후 전량) 주문 집행은 모두 ``OrderManager.place()`` 경유 → ODNO·실잔고검증·종목락 공유. """ from __future__ import annotations import time from datetime import datetime as dt from typing import Dict, List, Optional from ..utils.env import get_env_float, get_env_from_db, get_env_int from .base import BaseStrategy class BreakoutStrategy(BaseStrategy): strategy_id = "BREAKOUT" loop_min_sleep = 0.8 loop_max_sleep = 1.8 def __init__(self, **kwargs): super().__init__(**kwargs) self.candle_tf = 1 # 1분봉 기준 self.reload_config() # ------------------------------------------------------------------ def reload_config(self) -> None: self.golden_end_hm = get_env_from_db("BREAKOUT_GOLDEN_END_HM", "10:30") self.lookback_min = get_env_int("BREAKOUT_LOOKBACK_MIN", 30) self.vol_window = get_env_int("BREAKOUT_VOL_WIN", 20) self.vol_mult = get_env_float("BREAKOUT_VOL_MULT", 3.0) self.max_daily_chg = get_env_float("BREAKOUT_MAX_DAILY_CHG", 15.0) self.min_price = get_env_float("BREAKOUT_MIN_PRICE", 1000.0) self.slot_money = get_env_int("BREAKOUT_SLOT_MONEY", 2000000) self.stop_loss_pct = get_env_float("BREAKOUT_STOP_LOSS_PCT", -0.02) self.take_profit_pct = get_env_float("BREAKOUT_TAKE_PROFIT_PCT", 0.05) self.trail_pct = get_env_float("BREAKOUT_TRAIL_PCT", 0.015) self.eod_hm = get_env_from_db("BREAKOUT_EOD_HM", "15:15") # 유니버스 로드는 BaseStrategy._load_candidates 가 이미 조건검색 우선 처리. def _candidate_filter(self, candidate: Dict) -> bool: if not candidate.get("code"): return False # 골든타임 외에는 check_buy 호출 자체를 차단 → 탈락 로그 노이즈 방지 if not self._is_golden_time(): return False return True # ------------------------------------------------------------------ # 매수 # ------------------------------------------------------------------ def _is_golden_time(self) -> bool: try: hh, mm = [int(x) for x in self.golden_end_hm.split(":")] except Exception: hh, mm = 10, 30 now = dt.now() if now.hour < 9: return False if now.hour > hh: return False if now.hour == hh and now.minute > mm: return False return True def check_buy(self, code: str, name: str) -> Optional[Dict]: # 골든타임 가드는 _candidate_filter 에서 이미 처리됨 (방어용 재검사) if not self._is_golden_time(): return None need_n = max(self.lookback_min, self.vol_window) + 1 candles = self.ws.get_candles(code, self.candle_tf, n=need_n + 5) if len(candles) < need_n: self.logger.info( "🔍 [캔들부족] %s(%s) need=%d have=%d", name, code, need_n, len(candles), ) return None try: closes = [float(c.get("close", 0)) for c in candles] highs = [float(c.get("high", 0)) for c in candles] opens = [float(c.get("open", 0)) for c in candles] vols = [float(c.get("volume", 0)) for c in candles] except Exception as e: self.logger.info("🔍 [캔들파싱] %s(%s): %s", name, code, e) return None curr_close = closes[-1] curr_open = opens[-1] curr_vol = vols[-1] if curr_close < self.min_price: self.logger.info( "🔍 [최소가미달] %s(%s) close=%.0f < min=%.0f", name, code, curr_close, self.min_price, ) return None # 1) 저항선 돌파 — 직전 N봉 중 최고가 < 현재 종가 window_highs = highs[-(self.lookback_min + 1):-1] if not window_highs: self.logger.info("🔍 [저항창없음] %s(%s)", name, code) return None resistance = max(window_highs) if curr_close <= resistance: gap_pct = (curr_close - resistance) / resistance * 100.0 if resistance > 0 else 0.0 self.logger.info( "🔍 [저항미돌파] %s(%s) close=%.0f ≤ 저항=%.0f (gap=%.2f%%)", name, code, curr_close, resistance, gap_pct, ) return None # 2) 거래량 폭발 vol_window = vols[-(self.vol_window + 1):-1] if not vol_window or sum(vol_window) == 0: self.logger.info("🔍 [거래량창없음] %s(%s)", name, code) return None avg_vol = sum(vol_window) / len(vol_window) if avg_vol <= 0 or curr_vol < avg_vol * self.vol_mult: ratio = (curr_vol / avg_vol) if avg_vol > 0 else 0.0 self.logger.info( "🔍 [거래량부족] %s(%s) volX=%.2f < %.1f (curr=%.0f avg=%.0f)", name, code, ratio, self.vol_mult, curr_vol, avg_vol, ) return None # 3) 상승 확증: 양봉 if curr_close <= curr_open: self.logger.info( "🔍 [음봉/도지] %s(%s) close=%.0f ≤ open=%.0f", name, code, curr_close, curr_open, ) return None # 3) 직전 종가 대비 상승 if curr_close <= closes[-2]: chg = (curr_close - closes[-2]) / closes[-2] * 100.0 if closes[-2] > 0 else 0.0 self.logger.info( "🔍 [전봉대비하락] %s(%s) close=%.0f ≤ prev=%.0f (%.2f%%)", name, code, curr_close, closes[-2], chg, ) return None # 4) 이격 과열 — 당일 시가 대비 상승률 체크 day_open = opens[0] if opens else curr_open if day_open > 0: daily_chg = (curr_close - day_open) / day_open * 100.0 if daily_chg > self.max_daily_chg: self.logger.info( "🔍 [이격과열] %s(%s) 일중 %.2f%% > %.1f%%", name, code, daily_chg, self.max_daily_chg, ) return None # 현재가 재확인 (WS) wsd = self.ws.get_price(code) curr_price = curr_close if wsd: try: p = abs(float(str(wsd.get("stck_prpr", 0)).replace(",", ""))) if p > 0: curr_price = p except Exception: pass # 포지션 크기 = 손실허용액 / |손절비율| max_loss_krw = get_env_int("BREAKOUT_MAX_LOSS_PER_TRADE_KRW", 0) \ or get_env_int("MAX_LOSS_PER_TRADE_KRW", 200000) sl_pct = abs(self.stop_loss_pct) if max_loss_krw > 0 and sl_pct > 0: invest_amount = min(max_loss_krw / sl_pct, self.slot_money) else: invest_amount = self.slot_money qty = max(1, int(invest_amount / curr_price)) stop_price = curr_price * (1 + self.stop_loss_pct) target_price = curr_price * (1 + self.take_profit_pct) vol_ratio = curr_vol / avg_vol if avg_vol > 0 else 0.0 self.logger.info( "🚀 [BREAKOUT 시그널] %s(%s) price=%.0f qty=%d 저항=%.0f volX=%.1f", name, code, curr_price, qty, resistance, vol_ratio, ) return { "code": code, "name": name, "price": curr_price, "qty": qty, "stop_price": stop_price, "target_price": target_price, "atr_entry": 0.0, "size_class": "", "entry_features": { "resistance": resistance, "vol_ratio": vol_ratio, }, } # ------------------------------------------------------------------ # 매도 # ------------------------------------------------------------------ def check_sell_signals(self) -> List[Dict]: if not self.holdings: return [] try: eod_hh, eod_mm = [int(x) for x in self.eod_hm.split(":")] except Exception: eod_hh, eod_mm = 15, 15 now = dt.now() is_eod = (now.hour > eod_hh) or (now.hour == eod_hh and now.minute >= eod_mm) signals: List[Dict] = [] for code, holding in list(self.holdings.items()): try: name = holding.get("name", code) buy_price = float(holding.get("buy_price", 0)) qty = int(holding.get("qty", 0)) max_price = float(holding.get("max_price", buy_price)) if qty <= 0 or buy_price <= 0: self.logger.info( "🔍 [매도-잘못된보유] %s(%s) qty=%d buy=%.0f", name, code, qty, buy_price, ) continue current_price = 0.0 price_src = "" wsd = self.ws.get_price(code) if wsd: try: current_price = abs(float(str(wsd.get("stck_prpr", 0)).replace(",", ""))) price_src = "WS" except Exception: current_price = 0.0 if current_price <= 0: pd_ = self.client.inquire_price(code) if pd_: try: current_price = abs(float(str(pd_.get("stck_prpr", 0)).replace(",", ""))) price_src = "REST" except Exception: current_price = 0.0 if current_price <= 0: # 가격 소스 둘 다 실패 — 매도 판단 불가. 분당 1회만 경고. last_warn = getattr(self, "_sell_no_price_log", {}).get(code, 0) if time.time() - last_warn >= 60: if not hasattr(self, "_sell_no_price_log"): self._sell_no_price_log = {} self._sell_no_price_log[code] = time.time() self.logger.warning( "⚠️ [매도-가격없음] %s(%s) WS+REST 둘 다 실패 → 매도 판단 보류", name, code, ) continue # 최고가 갱신 if current_price > max_price: max_price = current_price holding["max_price"] = max_price profit_pct = (current_price - buy_price) / buy_price reason = None # EOD 강제청산 if is_eod: reason = "eod" # 손절 elif current_price <= buy_price * (1 + self.stop_loss_pct): reason = "stop_loss" # 익절 elif current_price >= buy_price * (1 + self.take_profit_pct): reason = "take_profit" # 트레일링 elif ( max_price > buy_price and current_price <= max_price * (1 - self.trail_pct) ): reason = "trailing" if not reason: # 보유 중이지만 매도 조건 미충족 — 종목별 60초 1회 상태 로그 if not hasattr(self, "_sell_state_log"): self._sell_state_log = {} last = self._sell_state_log.get(code, 0) if time.time() - last >= 60: self._sell_state_log[code] = time.time() sl_line = buy_price * (1 + self.stop_loss_pct) tp_line = buy_price * (1 + self.take_profit_pct) trail_line = max_price * (1 - self.trail_pct) if max_price > buy_price else 0.0 self.logger.info( "🔍 [보유중] %s(%s) 현재=%.0f 매수=%.0f (%.2f%%) " "손절=%.0f 익절=%.0f 트레일=%.0f [%s]", name, code, current_price, buy_price, profit_pct * 100.0, sl_line, tp_line, trail_line, price_src, ) continue signals.append({ "code": code, "name": name, "current_price": current_price, "price": current_price, "qty": qty, "buy_price": buy_price, "profit_pct": profit_pct, "reason": reason, }) except Exception as e: self.logger.error("매도 시그널 체크 오류(%s): %s", code, e) return signals