Hwang
336d637b72
Changes: - Added `apply_params_to_db` function to streamline parameter application to the database. - Introduced `evaluate_breakout_param_combo`, `evaluate_momentum_param_combo`, and `evaluate_tail_param_combo` functions to enhance the evaluation of parameter combinations for respective strategies. - Updated `requirements.txt` to include `optuna==4.2.1` for improved optimization capabilities. Impact: - These additions improve the modularity and efficiency of parameter evaluations across different trading strategies, facilitating better optimization and backtesting processes.
72 lines
2.3 KiB
Python
72 lines
2.3 KiB
Python
#!/usr/bin/env python3
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"""
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kis_trader/backtest/optuna_search_space.py — Optuna 탐색 공간 (Grid 축 재사용)
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==============================================================================
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각 전략 Grid 와 동일한 이산 축을 trial.suggest_categorical 로 샘플링.
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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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import optuna
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from kis_trader.backtest.param_search_breakout import _breakout_grids
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from kis_trader.backtest.param_search_momentum import (
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_momentum_combo_grid_valid,
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_momentum_grids,
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)
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from kis_trader.backtest.tail_param_search import _tail_grids
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def _dedupe_preserve_order(values: List[Any]) -> List[Any]:
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seen = set()
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out: List[Any] = []
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for v in values:
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key = v if isinstance(v, (int, float, str, bool)) else repr(v)
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if key in seen:
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continue
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seen.add(key)
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out.append(v)
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return out
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def _suggest_from_grid(trial: optuna.Trial, grid: Dict[str, List[Any]]) -> Dict[str, Any]:
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combo: Dict[str, Any] = {}
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for key, values in grid.items():
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if not values:
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continue
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choices = _dedupe_preserve_order(list(values))
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combo[key] = trial.suggest_categorical(key, choices)
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return combo
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def suggest_tail_params(trial: optuna.Trial, mode: str) -> Dict[str, Any]:
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return _suggest_from_grid(trial, _tail_grids(mode))
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def suggest_momentum_params(trial: optuna.Trial, mode: str) -> Dict[str, Any]:
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combo = _suggest_from_grid(trial, _momentum_grids()[mode])
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if not _momentum_combo_grid_valid(combo):
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raise optuna.TrialPruned("momentum invalid combo")
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return combo
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def suggest_breakout_params(trial: optuna.Trial, mode: str) -> Dict[str, Any]:
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combo = _suggest_from_grid(trial, _breakout_grids()[mode])
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if "prev_chg_min" in combo and "prev_chg_max" in combo:
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if float(combo["prev_chg_min"]) >= float(combo["prev_chg_max"]):
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raise optuna.TrialPruned("breakout prev_chg invalid")
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return combo
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def tail_grid_axis_keys(mode: str) -> List[str]:
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return list(_tail_grids(mode).keys())
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def momentum_grid_axis_keys(mode: str) -> List[str]:
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return list(_momentum_grids()[mode].keys())
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def breakout_grid_axis_keys(mode: str) -> List[str]:
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return list(_breakout_grids()[mode].keys())
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