160 lines
5.6 KiB
Python
160 lines
5.6 KiB
Python
#!/usr/bin/env python3
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"""
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optuna_momentum_tpe_space.py — 모멘텀 Optuna **연속(TPE) 탐색 공간**
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==============================================================================
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기존 ``_momentum_grids()`` / ``suggest_categorical`` 경로는 **건드리지 않음**.
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사용:
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python3 kis_trader/backtest/param_search_optuna.py \\
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--strategy momentum --mode tpe --trials 200 ...
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TPE 가 trial 을 쌓으며 좋은 구간을 좁힘 (메뉴판 이산 스윕이 아님).
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``skip_hts_scan_dupes`` 는 KR=False / US=True 고정.
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금액(슬롯·손절액·min_price) 축은 TPE 에 없음 — 특히 US 고정 유니버스는 DB 슬롯만.
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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.optuna_tpe_common import (
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RATCHET_TPE_AXIS_KEYS,
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r1,
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r2,
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suggest_ratchet_tiers_pct,
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)
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from kis_trader.backtest.param_search_momentum import _momentum_combo_grid_valid
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# 연속 축 키 목록 (JSON/힌트용)
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# 매수 시간창(time_*) 은 TPE 제외 — 운영 DB 고정(다단래칫·청산축만 탐색).
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# 래칫: 숫자축(on/n/gain/cut) + 조립 문자열 ratchet_tiers
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_MOMENTUM_BASE_KEYS: List[str] = [
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"mom_rsi_min",
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"mom_rsi_max",
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"mom_vol_mult",
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"mom_vol_win",
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"e_min_chg_pct",
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"tp_pct",
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"tp_max_pct",
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"sl_pct",
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"shoulder_min_high",
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"shoulder_cut_pct",
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"trail_pct",
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"trail_arm_pct",
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"max_hold_bars",
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"cooldown_min",
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"max_daily",
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"max_daily_chg",
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"mom_max_from_open_pct",
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"min_margin",
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"chase_lookback_min",
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"pullback_lookback_min",
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"pullback_min_pct",
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"pullback_max_pct",
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"setup_vol_max_mult",
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"setup_bear_bars_min",
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]
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MOMENTUM_TPE_AXIS_KEYS: List[str] = list(_MOMENTUM_BASE_KEYS) + list(RATCHET_TPE_AXIS_KEYS)
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def momentum_tpe_axis_keys() -> List[str]:
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return list(MOMENTUM_TPE_AXIS_KEYS)
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def suggest_momentum_params_tpe(
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trial: optuna.Trial,
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*,
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market: str = "KR",
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) -> Dict[str, Any]:
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"""
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연속 구간 suggest — TPE 가 좁혀 감.
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UI% 단위 (evaluate / apply 경로와 동일).
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market=US: 금액(슬롯·손절액·min_price) 축 없음 — 고정 유니버스·DB 슬롯만.
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"""
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mk = (market or "KR").strip().upper() or "KR"
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combo: Dict[str, Any] = {}
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combo["mom_rsi_min"] = trial.suggest_int("mom_rsi_min", 45, 65)
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combo["mom_rsi_max"] = trial.suggest_int("mom_rsi_max", 70, 100)
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if combo["mom_rsi_min"] >= combo["mom_rsi_max"]:
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raise optuna.TrialPruned("rsi_min >= rsi_max")
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combo["mom_vol_mult"] = r2(trial.suggest_float("mom_vol_mult", 1.0, 10.0, step=0.1))
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combo["mom_vol_win"] = trial.suggest_int("mom_vol_win", 3, 10)
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# HTS K: 전일종가 대비 최소등락(%) — 실매 앵커 0.2 포함 연속 텀 (step 0.1)
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combo["e_min_chg_pct"] = r1(
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trial.suggest_float("e_min_chg_pct", 0.0, 3.0, step=0.1), # 확장: 2.0→3.0
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)
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combo["tp_pct"] = r2(trial.suggest_float("tp_pct", 1.5, 15.0, step=0.1))
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combo["tp_max_pct"] = r2(trial.suggest_float("tp_max_pct", 2.0, 20.0, step=0.5))
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if combo["tp_max_pct"] + 1e-9 < combo["tp_pct"]:
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raise optuna.TrialPruned("tp_max < tp")
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combo["sl_pct"] = r2(trial.suggest_float("sl_pct", 0.5, 8.0, step=0.1)) # 확장: 1.0→0.5, 6.0→8.0
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combo["shoulder_min_high"] = r2(
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trial.suggest_float("shoulder_min_high", 0.3, 5.0, step=0.1),
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)
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combo["shoulder_cut_pct"] = r2(
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trial.suggest_float("shoulder_cut_pct", 0.05, 0.8, step=0.05),
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)
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combo["trail_pct"] = r2(trial.suggest_float("trail_pct", 0.0, 4.0, step=0.1))
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combo["trail_arm_pct"] = r2(
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trial.suggest_float("trail_arm_pct", 0.0, 5.0, step=0.1),
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)
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combo["max_hold_bars"] = trial.suggest_int("max_hold_bars", 0, 300, step=5) # 확장: 180→300
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combo["cooldown_min"] = r1(trial.suggest_float("cooldown_min", 0.0, 30.0, step=1.0))
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combo["max_daily"] = trial.suggest_int("max_daily", 5, 100, step=5)
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combo["max_daily_chg"] = r1(
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trial.suggest_float("max_daily_chg", 15.0, 60.0, step=1.0),
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)
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combo["mom_max_from_open_pct"] = r1(
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trial.suggest_float("mom_max_from_open_pct", 15.0, 60.0, step=1.0),
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)
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combo["min_margin"] = r2(trial.suggest_float("min_margin", 0.1, 2.0, step=0.1))
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combo["chase_lookback_min"] = trial.suggest_int("chase_lookback_min", 5, 20)
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combo["pullback_lookback_min"] = trial.suggest_int("pullback_lookback_min", 8, 30)
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combo["pullback_min_pct"] = r2(
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trial.suggest_float("pullback_min_pct", 0.1, 1.0, step=0.1),
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)
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combo["pullback_max_pct"] = r2(
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trial.suggest_float("pullback_max_pct", 1.0, 10.0, step=0.1), # 확장: 6.0→10.0
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)
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if combo["pullback_min_pct"] >= combo["pullback_max_pct"]:
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raise optuna.TrialPruned("pullback min >= max")
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combo["setup_vol_max_mult"] = r2(
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trial.suggest_float("setup_vol_max_mult", 0.5, 3.0, step=0.1),
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)
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combo["setup_bear_bars_min"] = trial.suggest_int("setup_bear_bars_min", 0, 3)
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# 래칫: 숫자축 → \"5:2,10:1\" 조립 (빈칸=OFF)
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combo.update(
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suggest_ratchet_tiers_pct(
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trial,
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off_token="",
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n_max=3,
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gain_low=2.0,
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gain_high=15.0,
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gain_step=0.5,
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cut_low=0.5,
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cut_high=3.0,
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cut_step=0.1,
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),
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)
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# 운영 고정 — 그리드 스윕 금지 (금액·슬롯·min_price 축 없음)
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if mk == "US":
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combo["skip_hts_scan_dupes"] = True # HTS 없음
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else:
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combo["skip_hts_scan_dupes"] = False
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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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