61bec4bd1d
ㅇ Changes: - Introduced the DART strategy to the trading system, including its configuration and integration into the existing framework. - Updated the database schema to include DART-specific tables for disclosures and watchlists. - Enhanced the backtesting and parameter search functionalities to support the DART strategy. - Implemented new rules for browser verification and API interactions to ensure compliance with the updated DART strategy. Impact: - These additions expand the trading capabilities of the system, allowing for more comprehensive analysis and execution of DART-related strategies, while maintaining system integrity and performance.
96 lines
3.3 KiB
Python
96 lines
3.3 KiB
Python
#!/usr/bin/env python3
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"""
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kis_trader/backtest/param_search_dart.py — DART Optuna/Grid 축
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"""
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from __future__ import annotations
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from typing import Any, Dict, List
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from database import TradeDB
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from kis_trader.backtest.dart_backtest_common import run_dart_backtest_web_aligned
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from kis_trader.engine import dart_engine as de
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from kis_trader.utils.env import get_env_bool
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def _dart_grids() -> Dict[str, Dict[str, List[Any]]]:
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"""mode → 축. 실매 기본값이 각 축에 포함."""
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d = de.get_dart_defaults_from_db()
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rsi_os = float(d.get("rsi_oversold", 30))
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rsi_rc = float(d.get("rsi_reclaim", 35))
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sl = float(d.get("sl_pct", 0.02))
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tp = float(d.get("tp_pct", 0.04))
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vol = float(d.get("vol_mult", 1.5))
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win = int(d.get("event_window_bars", 120))
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return {
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"fast": {
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"rsi_oversold": sorted({rsi_os, 25.0, 30.0, 35.0}),
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"rsi_reclaim": sorted({rsi_rc, 32.0, 35.0, 40.0}),
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"sl_pct": sorted({sl, 0.015, 0.02, 0.025}),
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"tp_pct": sorted({tp, 0.03, 0.04, 0.05}),
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"vol_mult": sorted({vol, 1.2, 1.5, 2.0}),
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"event_window_bars": sorted({win, 60, 120, 180}),
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},
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"coarse": {
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"rsi_oversold": [20.0, 25.0, 30.0, 35.0],
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"rsi_reclaim": [30.0, 35.0, 40.0, 45.0],
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"sl_pct": [0.015, 0.02, 0.03],
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"tp_pct": [0.03, 0.04, 0.06],
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"vol_mult": [1.0, 1.5, 2.0, 2.5],
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"event_window_bars": [60, 90, 120, 180],
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"trail_pct": [0.01, 0.015, 0.02],
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"trail_arm_pct": [0.015, 0.02, 0.03],
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},
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"fine": {
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"rsi_oversold": sorted({rsi_os, rsi_os - 2, rsi_os + 2, 28.0, 30.0}),
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"rsi_reclaim": sorted({rsi_rc, rsi_rc - 2, rsi_rc + 2, 35.0, 38.0}),
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"sl_pct": sorted({sl, 0.018, 0.02, 0.022}),
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"tp_pct": sorted({tp, 0.035, 0.04, 0.045}),
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"vol_mult": sorted({vol, 1.3, 1.5, 1.8}),
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"event_window_bars": sorted({win, 90, 120, 150}),
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},
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}
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def apply_params_to_db(params: Dict[str, Any]) -> None:
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"""Optuna --apply-best 전용. 포트폴리오 키 제외."""
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if not get_env_bool("DART_TRADE_ENABLED", False):
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# 적용은 허용하되 매매 스위치는 사용자 것 유지
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pass
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mapping = {
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"rsi_oversold": "DART_RSI_OVERSOLD",
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"rsi_reclaim": "DART_RSI_RECLAIM",
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"sl_pct": "DART_STOP_LOSS_PCT",
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"tp_pct": "DART_TAKE_PROFIT_PCT",
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"vol_mult": "DART_VOL_MULT",
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"event_window_bars": "DART_EVENT_WINDOW_BARS",
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"trail_pct": "DART_TRAIL_PCT",
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"trail_arm_pct": "DART_TRAIL_ARM_PCT",
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"rsi_period": "DART_RSI_PERIOD",
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"max_hold_bars": "DART_MAX_HOLD_BARS",
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}
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patch = {}
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for k, env_k in mapping.items():
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if k in params:
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patch[env_k] = str(params[k])
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if not patch:
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return
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db = TradeDB()
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try:
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db.insert_env_snapshot(patch)
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finally:
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db.close()
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def evaluate_dart_param_combo(
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params: Dict[str, Any],
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*,
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start: str,
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end: str,
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env_row: Dict[str, Any],
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) -> Dict[str, Any]:
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base = de.get_dart_defaults_from_db(env_row=env_row)
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base.update(params)
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return run_dart_backtest_web_aligned(
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start=start, end=end, params=base, env_row=env_row,
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)
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