cb7e5037a0
Changes: - Introduced the `e_min_chg_pct` parameter to define the minimum price change percentage compared to the previous day's close, enhancing the momentum trading strategy. - Updated various functions and classes to incorporate this new parameter, ensuring it is utilized in both backtesting and live trading scenarios. - Improved documentation and comments to clarify the purpose and usage of the new parameter across the codebase. Impact: - This addition allows for more precise control over trading conditions, potentially increasing the effectiveness of the momentum strategy while maintaining system integrity and performance.
250 lines
9.1 KiB
Python
250 lines
9.1 KiB
Python
"""
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kis_trader/engine/momentum_env_keys.py — 모멘텀(MOMENTUM) env 키 단일 정의
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==========================================================================
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1분봉 단기 추세추격 — 스캘핑(SCALP reversal)과 분리.
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config_momentum · momentum_engine · 웹 · 파라서치 공통.
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"""
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from __future__ import annotations
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from typing import Any, Dict, Optional
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MOMENTUM_CONFIG_KEYS = frozenset({
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"MOMENTUM_RSI_MIN",
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"MOMENTUM_RSI_MAX",
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"MOMENTUM_VOL_MULT",
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"MOMENTUM_VOL_WIN",
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"MOMENTUM_TIME_END_HM",
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"MOMENTUM_TIME_START",
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"MOMENTUM_MAX_FROM_OPEN_PCT",
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"MOMENTUM_MIN_FROM_OPEN_PCT",
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"MOMENTUM_SKIP_HTS_SCAN_DUPES",
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"MOMENTUM_STOP_LOSS_PCT",
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"MOMENTUM_TAKE_PROFIT_PCT",
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"MOMENTUM_TP_MAX_PCT",
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"MOMENTUM_SHOULDER_MIN_HIGH_PCT",
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"MOMENTUM_SHOULDER_CUT_PCT",
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"MOMENTUM_RATCHET_TIERS",
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"MOMENTUM_TRAIL_PCT",
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"MOMENTUM_TRAIL_ARM_PCT",
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"MOMENTUM_MAX_HOLD_BARS",
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"MOMENTUM_MAX_DAILY",
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"MOMENTUM_MIN_PRICE",
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"MOMENTUM_MAX_DAILY_CHG",
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"MOMENTUM_HIGH_CHASE_THR",
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"MOMENTUM_USE_DEFENSE_FILTERS",
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"MOMENTUM_USE_HIGH_CHASE_FILTER",
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"MOMENTUM_USE_DAILY_RANGE_FILTER",
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"MOMENTUM_USE_EMA_FILTER",
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"MOMENTUM_EMA_FAST_PERIOD",
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"MOMENTUM_EMA_SLOW_PERIOD",
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"MOMENTUM_USE_RSI_MAX_FILTER",
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"MOMENTUM_TRIGGER_E_CONFIRM",
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"MOMENTUM_TRIGGER_REQUIRE_BULL_BAR",
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"MOMENTUM_USE_VOL_TRIGGER",
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"MOMENTUM_USE_RSI_FILTER",
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"MOMENTUM_E_MIN_CHG_PCT",
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"MOMENTUM_PATTERN_BREAKOUT",
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"MOMENTUM_PATTERN_PULLBACK",
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"MOMENTUM_CHASE_LOOKBACK_MIN",
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"MOMENTUM_PULLBACK_LOOKBACK_MIN",
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"MOMENTUM_PULLBACK_MIN_PCT",
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"MOMENTUM_PULLBACK_MAX_PCT",
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"MOMENTUM_SETUP_VOL_MAX_MULT",
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"MOMENTUM_SETUP_BEAR_BARS_MIN",
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"MOMENTUM_MAX_LOSS_PER_TRADE_KRW",
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"MOMENTUM_MIN_DROP_PCT_FOR_LOSS_CUT",
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"MOMENTUM_MIN_PROFIT_PCT",
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"MOMENTUM_MIN_HOLD_SEC",
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"MOMENTUM_SLOT_MONEY",
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"MOMENTUM_MAX_STOCKS",
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"MOMENTUM_TOTAL_BUDGET_KRW",
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"MOMENTUM_MAX_BUY_AMOUNT",
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"MOMENTUM_RSI_PERIOD",
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"MOMENTUM_COOLDOWN_SEC",
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"MOMENTUM_LIVE_BACKTEST_ALIGN",
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"MOMENTUM_LIVE_ALIGN_USE_FORMING_BAR",
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"MOMENTUM_COOLDOWN_USE_CANDLE_FLOOR",
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"MOMENTUM_COOLDOWN_ENGINE_ONLY",
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"MOMENTUM_BACKTEST_SKIP_PRE_SUBSCRIBE",
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"MOMENTUM_BACKTEST_USE_TICK_EXIT",
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"MOMENTUM_BACKTEST_USE_TICK_ENTRY",
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"MOMENTUM_BACKTEST_TICK_FALLBACK_OHLC",
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"MOMENTUM_BACKTEST_WALLCLOCK_LAST_PRICE",
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"MOMENTUM_BACKTEST_POLL_MS",
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"MOMENTUM_BACKTEST_SELL_SLIP_PCT",
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"MOMENTUM_BACKTEST_BUY_SLIP_PCT",
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"MOMENTUM_BACKTEST_UNIVERSE_STRICT",
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"MOMENTUM_BACKTEST_UNIVERSE_STRICT_LAG_MIN",
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"MOMENTUM_BACKTEST_LIVE_SCAN_QUEUE",
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"MOMENTUM_BACKTEST_SCAN_SEC",
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"MOMENTUM_BACKTEST_UNIVERSE_SCAN_AT",
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"MOMENTUM_BACKTEST_CANDLE_WARMUP_BARS",
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"MOMENTUM_BACKTEST_REST_WARMUP",
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"MOMENTUM_BACKTEST_REST_WARMUP_BARS",
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"MOMENTUM_BACKTEST_REST_WARMUP_BARS_RETRY",
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"MOMENTUM_BACKTEST_REST_MAX_CODES",
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"MOMENTUM_BACKTEST_REST_SLEEP_SEC",
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"MOMENTUM_BACKTEST_REST_KIWOOM_MOCK",
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"MOMENTUM_PREV_DAY_OPEN_HM_MAX",
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"MOMENTUM_UNIVERSE_EXIT_DEBOUNCE_SEC",
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"MOMENTUM_LIVE_SIGNAL_LOOKBACK_BARS",
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"MOMENTUM_LIVE_MIN_CANDLES",
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"MOMENTUM_GAP_FILL_LIMIT",
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"MOMENTUM_EOD_ENABLED",
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"MOMENTUM_EOD_HM",
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"MOMENTUM_FORCE_EOD_EXIT",
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})
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def _row_val(row: Dict[str, Any], key: str, default: Any = None) -> Any:
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v = row.get(key)
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if v not in (None, "", "None"):
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return v
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return default
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def momentum_env_float(row: Dict[str, Any], key: str, default: float) -> float:
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v = _row_val(row, key)
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if v is None:
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return float(default)
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try:
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return float(v)
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except (TypeError, ValueError):
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return float(default)
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def momentum_env_int(row: Dict[str, Any], key: str, default: int) -> int:
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v = _row_val(row, key)
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if v is None:
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return int(default)
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try:
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return int(float(v))
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except (TypeError, ValueError):
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return int(default)
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def momentum_env_bool(row: Dict[str, Any], key: str, default: bool) -> bool:
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v = _row_val(row, key)
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if v is None:
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return default
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s = str(v).strip().lower()
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if s in ("1", "true", "t", "y", "yes", "on"):
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return True
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if s in ("0", "false", "f", "n", "no", "off", ""):
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return False
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return default
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def _legacy_float(row: Dict[str, Any], primary: str, legacy_keys: tuple, default: float) -> float:
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v = _row_val(row, primary)
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if v is not None:
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try:
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return float(v)
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except (TypeError, ValueError):
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pass
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for lk in legacy_keys:
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v = _row_val(row, lk)
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if v is not None:
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try:
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return float(v)
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except (TypeError, ValueError):
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continue
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return float(default)
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def params_to_momentum_env_patch(p: Dict[str, Any]) -> Dict[str, str]:
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"""파라서치·웹 params → MOMENTUM env 패치 (문자열)."""
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patch: Dict[str, str] = {}
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if not p:
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return patch
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def _set(k: str, v: Any) -> None:
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if v is not None and v != "":
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patch[k] = str(v)
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if "mom_rsi_min" in p:
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_set("MOMENTUM_RSI_MIN", p["mom_rsi_min"])
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if "mom_rsi_max" in p:
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_set("MOMENTUM_RSI_MAX", p["mom_rsi_max"])
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if "mom_vol_mult" in p:
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_set("MOMENTUM_VOL_MULT", p["mom_vol_mult"])
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if "mom_vol_win" in p:
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_set("MOMENTUM_VOL_WIN", p["mom_vol_win"])
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if "e_min_chg_pct" in p:
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_set("MOMENTUM_E_MIN_CHG_PCT", p["e_min_chg_pct"])
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if "mom_time_end_hm" in p:
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_set("MOMENTUM_TIME_END_HM", int(float(p["mom_time_end_hm"])))
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if "mom_max_from_open_pct" in p:
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_set("MOMENTUM_MAX_FROM_OPEN_PCT", p["mom_max_from_open_pct"])
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if "mom_min_from_open_pct" in p:
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_set("MOMENTUM_MIN_FROM_OPEN_PCT", p["mom_min_from_open_pct"])
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if "sl_pct" in p:
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_set("MOMENTUM_STOP_LOSS_PCT", -abs(float(p["sl_pct"])))
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if "tp_pct" in p:
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_set("MOMENTUM_TAKE_PROFIT_PCT", p["tp_pct"])
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if "tp_max_pct" in p:
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_set("MOMENTUM_TP_MAX_PCT", p["tp_max_pct"])
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if "shoulder_min_high" in p:
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_set("MOMENTUM_SHOULDER_MIN_HIGH_PCT", p["shoulder_min_high"])
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if "shoulder_cut_pct" in p:
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_set("MOMENTUM_SHOULDER_CUT_PCT", p["shoulder_cut_pct"])
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if "ratchet_tiers" in p:
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patch["MOMENTUM_RATCHET_TIERS"] = str(p.get("ratchet_tiers") or "").strip()
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if "trail_pct" in p:
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_set("MOMENTUM_TRAIL_PCT", abs(float(p["trail_pct"])))
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if "trail_arm_pct" in p:
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_set("MOMENTUM_TRAIL_ARM_PCT", abs(float(p["trail_arm_pct"])))
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if "max_hold_bars" in p and p["max_hold_bars"] is not None:
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_set("MOMENTUM_MAX_HOLD_BARS", int(float(p["max_hold_bars"])))
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if "max_daily" in p:
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_set("MOMENTUM_MAX_DAILY", int(float(p["max_daily"])))
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if "min_price" in p:
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_set("MOMENTUM_MIN_PRICE", p["min_price"])
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if "max_daily_chg" in p:
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_set("MOMENTUM_MAX_DAILY_CHG", p["max_daily_chg"])
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if "high_chase_thr" in p and p["high_chase_thr"] is not None:
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_set("MOMENTUM_HIGH_CHASE_THR", float(p["high_chase_thr"]))
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if "max_loss_krw" in p:
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_set("MOMENTUM_MAX_LOSS_PER_TRADE_KRW", int(float(p["max_loss_krw"])))
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if "cooldown_min" in p and p["cooldown_min"] is not None:
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_set("MOMENTUM_COOLDOWN_SEC", int(float(p["cooldown_min"]) * 60))
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if "time_start_hm" in p:
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_set("MOMENTUM_TIME_START", int(float(p["time_start_hm"])))
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if "time_end_hm" in p:
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_set("MOMENTUM_TIME_END", int(float(p["time_end_hm"])))
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for js_k, env_k in (
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("skip_hts_scan_dupes", "MOMENTUM_SKIP_HTS_SCAN_DUPES"),
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("use_defense_filters", "MOMENTUM_USE_DEFENSE_FILTERS"),
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("use_high_chase_filter", "MOMENTUM_USE_HIGH_CHASE_FILTER"),
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("use_daily_range_filter", "MOMENTUM_USE_DAILY_RANGE_FILTER"),
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("use_ema_filter", "MOMENTUM_USE_EMA_FILTER"),
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("use_rsi_max_filter", "MOMENTUM_USE_RSI_MAX_FILTER"),
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("pattern_breakout", "MOMENTUM_PATTERN_BREAKOUT"),
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("pattern_pullback", "MOMENTUM_PATTERN_PULLBACK"),
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):
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if js_k in p:
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_set(env_k, str(p[js_k]).lower())
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if "chase_lookback_min" in p:
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_set("MOMENTUM_CHASE_LOOKBACK_MIN", int(float(p["chase_lookback_min"])))
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if "pullback_lookback_min" in p:
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_set("MOMENTUM_PULLBACK_LOOKBACK_MIN", int(float(p["pullback_lookback_min"])))
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if "pullback_min_pct" in p:
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_set("MOMENTUM_PULLBACK_MIN_PCT", float(p["pullback_min_pct"]))
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if "pullback_max_pct" in p:
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_set("MOMENTUM_PULLBACK_MAX_PCT", float(p["pullback_max_pct"]))
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if "setup_vol_max_mult" in p:
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_set("MOMENTUM_SETUP_VOL_MAX_MULT", float(p["setup_vol_max_mult"]))
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if "setup_bear_bars_min" in p:
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_set("MOMENTUM_SETUP_BEAR_BARS_MIN", int(float(p["setup_bear_bars_min"])))
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if "ema_fast_period" in p:
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_set("MOMENTUM_EMA_FAST_PERIOD", int(float(p["ema_fast_period"])))
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if "ema_slow_period" in p:
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_set("MOMENTUM_EMA_SLOW_PERIOD", int(float(p["ema_slow_period"])))
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if "slot_money" in p:
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_set("MOMENTUM_SLOT_MONEY", int(float(p["slot_money"])))
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if "max_stocks" in p:
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_set("MOMENTUM_MAX_STOCKS", int(float(p["max_stocks"])))
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if "total_budget_krw" in p:
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_set("MOMENTUM_TOTAL_BUDGET_KRW", int(float(p["total_budget_krw"])))
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return patch
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