#!/usr/bin/env python3 """ optuna_breakout_tpe_space.py — 돌파 Optuna 연속(TPE) 탐색 공간 기존 ``_breakout_grids()`` categorical 경로는 유지. ``skip_hts`` 항상 False. """ from __future__ import annotations from typing import Any, Dict, List, Optional import optuna from kis_trader.backtest.optuna_tpe_common import ( RATCHET_TPE_AXIS_KEYS, r1, r2, suggest_ratchet_tiers_pct, ) # 매수 시간창(time_end_hm) 은 TPE 제외 — 운영 DB/골든타임 고정. 다단래칫·청산축만 탐색. _BREAKOUT_BASE_KEYS: List[str] = [ "max_daily_chg", "vol_mult", "vol_window", "min_turnover_1m_pct", "prev_chg_min", "prev_chg_max", "min_price", "tp_pct", "sl_mode", "trail_pct", "trail_arm_pct", "shoulder_min_high_pct", "shoulder_cut_pct", "lookback_min", "confirm_margin_pct", "body_min_pct", "max_hold_bars", ] BREAKOUT_TPE_AXIS_KEYS: List[str] = list(_BREAKOUT_BASE_KEYS) + list(RATCHET_TPE_AXIS_KEYS) def normalize_tpe_breakout_sl_mode(raw: Optional[Any] = None) -> str: """TPE는 손절모드를 탐색하지 않고 스터디마다 고정. fixed | atr.""" s = str(raw or "").strip().lower() if s in ("atr", "atr_sl", "dynamic"): return "atr" return "fixed" def breakout_tpe_axis_keys(sl_mode: Optional[str] = None) -> List[str]: """fixed=sl_pct 만, atr=atr_sl_mult 만. 한 스터디에 둘 다 넣지 않음.""" keys = list(BREAKOUT_TPE_AXIS_KEYS) if normalize_tpe_breakout_sl_mode(sl_mode) == "atr": keys.append("atr_sl_mult") else: keys.append("sl_pct") return keys def suggest_breakout_params_tpe( trial: optuna.Trial, sl_mode: Optional[str] = None, ) -> Dict[str, Any]: combo: Dict[str, Any] = {} combo["max_daily_chg"] = r1(trial.suggest_float("max_daily_chg", 20.0, 55.0, step=1.0)) combo["vol_mult"] = r2(trial.suggest_float("vol_mult", 1.0, 5.0, step=0.1)) # 확장: 1.5→1.0, 4.0→5.0 combo["vol_window"] = trial.suggest_int("vol_window", 1, 15) combo["min_turnover_1m_pct"] = r2( trial.suggest_float("min_turnover_1m_pct", 0.05, 0.5, step=0.05), ) combo["prev_chg_min"] = r2(trial.suggest_float("prev_chg_min", 0.2, 1.0, step=0.1)) combo["prev_chg_max"] = r1(trial.suggest_float("prev_chg_max", 5.0, 30.0, step=0.5)) if combo["prev_chg_min"] >= combo["prev_chg_max"]: raise optuna.TrialPruned("prev_chg invalid") combo["min_price"] = trial.suggest_int("min_price", 1000, 5000, step=500) combo["tp_pct"] = r2(trial.suggest_float("tp_pct", 1.0, 25.0, step=0.5)) # 확장: 2.0→1.0, 18.0→25.0 # 한 스터디=한 손절모드. categorical 혼입 금지(웹 체크 2개면 잡 2개 순차). combo["sl_mode"] = normalize_tpe_breakout_sl_mode(sl_mode) if combo["sl_mode"] == "atr": combo["atr_sl_mult"] = r2(trial.suggest_float("atr_sl_mult", 1.5, 3.5, step=0.1)) else: combo["sl_pct"] = r2(trial.suggest_float("sl_pct", 1.0, 8.0, step=0.1)) # 확장: 2.0→1.0, 6.0→8.0 combo["trail_pct"] = r2(trial.suggest_float("trail_pct", 0.0, 6.0, step=0.1)) # 확장: 1.0→0.0, 4.0→6.0 combo["trail_arm_pct"] = r2(trial.suggest_float("trail_arm_pct", 0.0, 6.0, step=0.1)) # 확장: 1.0→0.0, 4.0→6.0 combo["shoulder_min_high_pct"] = r2( trial.suggest_float("shoulder_min_high_pct", 1.0, 6.0, step=0.1), ) combo["shoulder_cut_pct"] = r2( trial.suggest_float("shoulder_cut_pct", 0.3, 1.5, step=0.1), ) combo.update( suggest_ratchet_tiers_pct( trial, off_token="", n_max=3, gain_low=2.0, gain_high=15.0, gain_step=0.5, cut_low=0.5, cut_high=3.0, cut_step=0.1, ), ) combo["lookback_min"] = trial.suggest_int("lookback_min", 1, 10) combo["confirm_margin_pct"] = r2( trial.suggest_float("confirm_margin_pct", 0.0, 1.0, step=0.1), ) combo["body_min_pct"] = r2(trial.suggest_float("body_min_pct", 0.0, 0.5, step=0.1)) combo["max_hold_bars"] = trial.suggest_int("max_hold_bars", 0, 180, step=10) combo["skip_hts_scan_dupes"] = False return combo