304 lines
12 KiB
Python
304 lines
12 KiB
Python
"""
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kis_trader/strategies/range_break.py — 박스권 돌파(RANGE_BREAK) 실매 전략
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====================================================================
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[SCAN] HTS momentum 조건(F·G·J) — 오늘 거래 활발 종목 풀
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[TRIGGER] 횡보 박스 → 거래량 폭발 양봉으로 박스 상단 돌파 시 진입 (10:30~15:20)
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"""
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from __future__ import annotations
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from datetime import datetime as dt
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from typing import Dict, List, Optional
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from ..engine import range_break_engine as rbe
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from ..utils.env import get_env_bool, get_env_int
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from .base import BaseStrategy
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class RangeBreakStrategy(BaseStrategy):
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"""박스권 돌파 — 오후 횡보 후 squeeze 돌파."""
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strategy_id = "RANGE_BREAK"
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loop_min_sleep = 1.0
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loop_max_sleep = 2.0
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def __init__(self, **kwargs):
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super().__init__(**kwargs)
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self.candle_tf = 1
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self._engine_params: Optional[Dict] = None
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self.reload_config()
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def reload_config(self) -> None:
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try:
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base = rbe.get_range_break_defaults_from_db()
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base.update({
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"stop_loss_pct": -abs(float(base.get("sl_pct", 0.03))),
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"take_profit_pct": abs(float(base.get("tp_pct", 0.10))),
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"trail_pct": abs(float(base.get("trail_pct", 0.015))),
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"trail_arm_pct": abs(float(base.get("trail_arm_pct", 0.015))),
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"shoulder_min_high": abs(float(base.get("shoulder_min_high", 0.03))),
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"shoulder_cut_pct": abs(float(base.get("shoulder_cut_pct", 0.005))),
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})
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self._engine_params = base
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self.min_price = float(base.get("min_price", 1000.0))
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self.stop_loss_pct = -abs(float(base.get("sl_pct", 0.03)))
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self.take_profit_pct = abs(float(base.get("tp_pct", 0.10)))
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self.slot_money = int(base.get("slot_money", 200_000))
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self.time_start_hm = int(base.get("time_start_hm", 1030))
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self.time_end_hm = int(base.get("time_end_hm", 1520))
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self.max_daily = int(base.get("max_daily", 1))
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except Exception as e:
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self.logger.debug("range_break_engine defaults 조회 실패: %s", e)
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self._engine_params = {}
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def _in_trade_window(self) -> bool:
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now = dt.now()
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hm = now.hour * 100 + now.minute
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return self.time_start_hm <= hm < self.time_end_hm
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def _candidate_filter(self, candidate: Dict) -> bool:
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if not candidate.get("code"):
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return False
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if not self._in_trade_window():
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return False
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return True
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def check_buy(self, code: str, name: str) -> Optional[Dict]:
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if not self._in_trade_window():
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return None
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try:
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if get_env_bool("FORCE_BUY_TEST", False):
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return self._force_buy_test(code, name)
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need_n = rbe.range_break_min_bars_required(self._engine_params or {})
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candles_raw = self.ws.get_candles(code, self.candle_tf, n=need_n + 10)
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if len(candles_raw) < need_n - 2:
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try:
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self.ws.fill_gap([code], force=True)
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except Exception:
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pass
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return None
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candles = [self._norm_candle(c) for c in candles_raw]
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today = dt.now().strftime("%Y%m%d")
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last_exit_dt = None
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if code in self.recently_sold:
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try:
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last_exit_dt = dt.fromtimestamp(self.recently_sold[code])
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if last_exit_dt.strftime("%Y%m%d") != today:
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last_exit_dt = None
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except Exception:
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pass
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try:
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today_trades = self.db.get_trades_by_date(today)
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daily_cnt = len([
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t for t in today_trades
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if t.get("code") == code
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and str(t.get("strategy", "")).upper().startswith("RANGE_BREAK")
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])
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except Exception:
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daily_cnt = 0
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state = {"last_exit_dt": last_exit_dt, "daily_cnt": daily_cnt}
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params = dict(self._engine_params or {})
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if getattr(self.ws, "get_share_denom", None):
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params["share_denom"] = float(self.ws.get_share_denom(code))
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reject, msg, sig = rbe.check_buy_signal_range_break_live(candles, params, state)
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if reject:
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self.logger.info("🔍 [%s] %s(%s) %s", reject, name, code, msg or "")
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return None
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if not sig:
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return None
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_ebk = str(sig.get("entry_bar_key") or "")[:12]
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_defer = self._defer_mid_enroll_entry(
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code, _ebk, int(getattr(self, "candle_tf", 1) or 1), params,
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)
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if _defer:
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self.logger.info("🔍 [%s] %s(%s)", _defer, name, code)
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return None
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align_on = get_env_bool("RANGE_BREAK_LIVE_BACKTEST_ALIGN", True)
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entry_open = float(sig.get("entry_price", 0) or 0)
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if align_on and entry_open > 0:
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curr_price = entry_open
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else:
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curr_price = float(sig.get("close") or candles[-1]["close"])
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wsd = self.ws.get_price(code)
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if wsd:
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try:
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curr_price = abs(
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float(str(wsd.get("stck_prpr", curr_price)).replace(",", ""))
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) or curr_price
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except Exception:
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pass
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if curr_price <= 0 or curr_price < self.min_price:
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return None
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hard_cap = get_env_int("RANGE_BREAK_MAX_BUY_AMOUNT", 0) or get_env_int(
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"MAX_BUY_AMOUNT_PER_STOCK", 0,
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)
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qty, rej = self._resolve_buy_qty_live(
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curr_price, hard_cap=hard_cap,
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)
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if rej:
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self.logger.info(
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"🔍 [탈락-%s] %s(%s) price=%.0f",
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rej, name, code, curr_price,
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)
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return None
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stop_price = curr_price * (1 + self.stop_loss_pct)
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target_price = curr_price * (1 + self.take_profit_pct)
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box_high = float(sig.get("box_high", 0) or 0)
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self.logger.info(
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"📦 [RANGE_BREAK] %s(%s) price=%.0f qty=%d box=%.0f~%.0f volX=%.1f",
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name, code, curr_price, qty,
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float(sig.get("box_low", 0) or 0), box_high,
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float(sig.get("vol_ratio", 0) or 0),
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)
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return {
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"code": code,
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"name": name,
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"price": curr_price,
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"qty": qty,
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"stop_price": stop_price,
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"target_price": target_price,
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"atr_entry": 0.0,
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"size_class": "",
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"entry_features": {
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"box_high": box_high,
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"box_low": float(sig.get("box_low", 0) or 0),
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"box_width_pct": sig.get("box_width_pct", 0),
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"vol_ratio": sig.get("vol_ratio", 0),
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"box_stop_line": box_high,
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},
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}
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except Exception as e:
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self.logger.info("🔍 [탈락-예외] %s %s: %s", name, code, e)
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return None
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def _force_buy_test(self, code: str, name: str) -> Optional[Dict]:
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wsd = self.ws.get_price(code)
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px = 0.0
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if wsd:
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try:
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px = abs(float(str(wsd.get("stck_prpr", 0)).replace(",", "")))
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except Exception:
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px = 0.0
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if px <= 0:
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pd_ = self.client.inquire_price(code)
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if pd_:
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try:
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px = abs(float(str(pd_.get("stck_prpr", 0)).replace(",", "")))
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except Exception:
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px = 0.0
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if px <= 0:
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return None
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qty = max(1, int(self.slot_money / px))
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return {
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"code": code,
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"name": name,
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"price": px,
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"qty": qty,
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"stop_price": px * (1 + self.stop_loss_pct),
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"target_price": px * (1 + self.take_profit_pct),
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"atr_entry": 0.0,
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"size_class": "",
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"entry_features": {},
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}
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def check_sell_signals(self) -> List[Dict]:
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if not self.holdings:
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return []
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signals: List[Dict] = []
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now = dt.now()
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is_eod = (now.hour == 15 and now.minute >= 25) or now.hour > 15
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params = dict(self._engine_params or rbe.get_range_break_defaults_from_db())
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params.update({
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"stop_loss_pct": self.stop_loss_pct,
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"take_profit_pct": self.take_profit_pct,
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})
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for code, holding in list(self.holdings.items()):
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try:
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name = holding.get("name", code)
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buy_price = float(holding.get("buy_price", 0))
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qty = int(holding.get("qty", 0))
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max_price = float(holding.get("max_price", buy_price))
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if qty <= 0 or buy_price <= 0:
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continue
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current_price = 0.0
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wsd = self.ws.get_price(code)
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if wsd:
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try:
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current_price = abs(
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float(str(wsd.get("stck_prpr", 0)).replace(",", ""))
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)
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except Exception:
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current_price = 0.0
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if current_price <= 0:
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pd_ = self.client.inquire_price(code)
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if pd_:
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try:
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current_price = abs(
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float(str(pd_.get("stck_prpr", 0)).replace(",", ""))
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)
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except Exception:
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current_price = 0.0
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if current_price <= 0:
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continue
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if current_price > max_price:
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max_price = current_price
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holding["max_price"] = max_price
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ef = holding.get("entry_features") or {}
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box_stop = float(ef.get("box_stop_line", ef.get("box_high", 0)) or 0)
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position = {
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"entry_price": buy_price,
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"entry_time": holding.get("buy_time", ""),
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"qty": qty,
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"max_price": max_price,
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"box_stop_line": box_stop,
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}
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candle = {
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"high": max_price,
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"low": current_price,
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"close": current_price,
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"candle_time": now.strftime("%Y%m%d%H%M"),
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}
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res = rbe.check_sell_signal_range_break_live(
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position, candle, params, is_eod=is_eod,
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)
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if not res:
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continue
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reason, exit_price = res
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profit_pct = (current_price - buy_price) / buy_price if buy_price > 0 else 0
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signals.append({
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"code": code,
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"name": name,
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"current_price": current_price,
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"price": exit_price,
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"qty": qty,
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"reason": reason,
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"profit_pct": profit_pct,
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})
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except Exception as e:
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self.logger.debug("RANGE_BREAK 매도체크 오류 %s: %s", code, e)
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return signals
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def run_range_break_backtest(*args, **kwargs):
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return rbe.run_range_break_backtest(*args, **kwargs)
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def range_break_ui_to_engine_params(ui: Dict):
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return rbe.range_break_ui_to_engine_params(ui)
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