7d351df583
- tail_engine.py, breakout_engine.py: Rust엔진 연동 시 파라미터 키(sl_pct, tp_pct 등) 불일치 오류 수정 - optuna_mode_refine_runner.py: 다중 모드(seq) 1·2차 스터디명 생성 시 진입/돌파 모드(extra) 정보 추가하여 라벨 유실 방지
109 lines
4.6 KiB
Python
109 lines
4.6 KiB
Python
import logging
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from typing import Dict, List, Any, Optional
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try:
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import kis_rust_core
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except ImportError:
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kis_rust_core = None
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logger = logging.getLogger(__name__)
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def run_breakout_backtest_rust_experimental(
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codes_candles: Dict[str, List[Dict]],
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params: Dict[str, Any],
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) -> List[Dict]:
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"""
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Rust 엔진을 이용한 Breakout (돌파매매) 고속 백테스트 브릿지.
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"""
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if kis_rust_core is None:
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logger.warning("kis_rust_core is not installed or imported. Falling back to empty trades.")
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return []
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# 파라미터 파싱
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lookback_min = int(params.get("lookback_min", 1))
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vol_window = int(params.get("vol_window", 7))
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vol_mult = float(params.get("vol_mult", 0.0) or 0.0)
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prev_chg_min = float(params.get("prev_chg_min", 1.0))
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prev_chg_max = float(params.get("prev_chg_max", 10.0))
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max_daily_chg = float(params.get("max_daily_chg", 15.0))
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min_price = float(params.get("min_price", 1000.0))
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min_bar_trade_value_krw = float(params.get("min_bar_trade_value_krw", 0.0) or 0.0)
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min_turnover_1m_pct = float(params.get("min_turnover_1m_pct", 0.0) or 0.0)
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share_denom = float(params.get("share_denom", 0.0) or 0.0)
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confirm_margin_pct = float(params.get("confirm_margin_pct", 0.0) or 0.0)
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body_min_pct = float(params.get("body_min_pct", 0.0) or 0.0)
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use_ema_filter = bool(params.get("use_ema_filter", False))
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ema_fast_period = int(params.get("ema_fast_period", 9))
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ema_slow_period = int(params.get("ema_slow_period", 21))
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time_start_hm = int(params.get("time_start_hm", 900))
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time_end_hm = int(params.get("time_end_hm", 1030))
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sl_pct = abs(float(params.get("sl_pct", params.get("stop_loss_pct", -0.02))))
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tp_pct = float(params.get("tp_pct", params.get("take_profit_pct", 0.05)))
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trail_pct = float(params.get("trail_pct", 0.015))
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trail_arm_pct = float(params.get("trail_arm_pct", 0.0) or 0.0)
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shoulder_min_high = float(params.get("shoulder_min_high_pct", params.get("shoulder_min_high", 0.02)))
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shoulder_cut_pct = float(params.get("shoulder_cut_pct", 0.01))
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max_hold_bars = int(params.get("max_hold_bars", 0) or 0)
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cooldown_min = float(params.get("cooldown_min", 30))
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max_daily = int(params.get("max_daily", 1))
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skip_hts_scan_dupes = bool(params.get("skip_hts_scan_dupes", False))
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atr_period = int(params.get("atr_period", 14) or 14)
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# 파라미터 구조체 생성
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rust_params = kis_rust_core.BreakoutParams(
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lookback_min, vol_window, vol_mult, prev_chg_min, prev_chg_max,
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max_daily_chg, min_price, min_bar_trade_value_krw, min_turnover_1m_pct,
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share_denom, confirm_margin_pct, body_min_pct, use_ema_filter,
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ema_fast_period, ema_slow_period, time_start_hm, time_end_hm,
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sl_pct, tp_pct, trail_pct, trail_arm_pct, shoulder_min_high,
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shoulder_cut_pct, max_hold_bars, cooldown_min, max_daily, skip_hts_scan_dupes,
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atr_period
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)
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all_trades = []
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for code, candles_dict in codes_candles.items():
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if not candles_dict:
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continue
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rust_candles = []
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for c in candles_dict:
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rc = kis_rust_core.CandleData(
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c.get("candle_time", ""),
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float(c.get("open", 0)),
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float(c.get("high", 0)),
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float(c.get("low", 0)),
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float(c.get("close", 0)),
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float(c.get("volume", 0)),
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float(c.get("rsi", 0.0)),
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)
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rust_candles.append(rc)
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try:
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trades = kis_rust_core.run_breakout_backtest_fast(code, rust_candles, rust_params)
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for t in trades:
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all_trades.append({
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"code": t.code,
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"buy_time": t.buy_time,
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"sell_time": t.sell_time,
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"buy_price": t.buy_price,
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"sell_price": t.sell_price,
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"profit_rate": t.pnl_pct,
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"sell_reason": t.reason,
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"qty": 1, # 단순화를 위해 1로 고정, 추후 예산 로직 반영 가능
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"pnl": 0, # 단순화를 위해 0,
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# 부가 정보 기록
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"entry_features": {
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"resistance": t.resistance,
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"vol_ratio": t.vol_ratio,
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"prev_chg": t.prev_chg,
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},
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"atr_entry": t.atr_entry,
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"max_price": getattr(t, "max_price", t.buy_price),
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})
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except Exception as e:
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logger.error(f"Rust breakout engine error for {code}: {e}")
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all_trades.sort(key=lambda x: x["sell_time"])
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return all_trades
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