feat: Add DART strategy and related configurations
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.
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317
scripts/_diag_scalp_live_bt_20260716.py
Normal file
317
scripts/_diag_scalp_live_bt_20260716.py
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@@ -0,0 +1,317 @@
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#!/usr/bin/env python3
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"""SCALP 2026-07-16 실매↔웹BT 진입 괴리 진단 (adhoc)."""
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from __future__ import annotations
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from collections import defaultdict
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from typing import Any, Dict, List, Optional, Tuple
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from database import TradeDB
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from kis_trader.backtest.scalping_backtest_common import resolve_scalp_universe
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from kis_trader.engine.scalping_engine import (
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_apply_buy_state_filters,
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_eval_scalp_buy_at_index,
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get_scalping_defaults_from_db,
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)
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def _z(code: Any) -> str:
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s = str(code or "").strip()
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return s.zfill(6) if s.isdigit() else s
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def _hm_from_buy(buy_date: str) -> Tuple[str, str]:
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"""'2026-07-16 09:39:03' → day=20260716, entry_key≈202607160939"""
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raw = str(buy_date or "").strip().replace("-", "").replace(":", "").replace(" ", "")
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day = raw[:8]
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hm = raw[8:12] if len(raw) >= 12 else ""
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return day, day + hm
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def load_candles(db: TradeDB, code: str, day: str) -> List[Dict]:
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rows = db.conn.execute(
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"""SELECT candle_time, open, high, low, close, volume, is_confirmed
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FROM ws_candles
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WHERE code=%s AND timeframe=1 AND candle_time LIKE %s
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ORDER BY candle_time""",
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(code, day + "%"),
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).fetchall()
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out = []
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for r in rows:
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d = dict(r)
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d["candle_time"] = str(d["candle_time"])
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out.append(d)
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return out
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def find_index(candles: List[Dict], key12: str) -> Optional[int]:
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k = str(key12)[:12]
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for i, c in enumerate(candles):
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if str(c["candle_time"])[:12] == k:
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return i
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return None
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def nearest_index(candles: List[Dict], key12: str) -> Optional[int]:
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k = str(key12)[:12]
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best = None
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best_d = 10**9
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for i, c in enumerate(candles):
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ct = str(c["candle_time"])[:12]
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if len(ct) < 12:
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continue
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try:
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d = abs(int(ct) - int(k))
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except ValueError:
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continue
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if d < best_d:
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best_d = d
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best = i
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return best
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def eval_at(candles: List[Dict], i: int, params: Dict) -> Tuple[str, str]:
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if i is None or i < 1:
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return "no_idx", "봉인덱스 없음"
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state = {"daily_cnt": 0, "last_exit_dt": None}
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st = _apply_buy_state_filters(candles, i, params, state)
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if st[2] is None:
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return "state", str(st[0] or st[1] or "state_reject")
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rej, msg, sig = _eval_scalp_buy_at_index(candles, i, params)
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if rej:
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return str(rej), str(msg or "")
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if not sig:
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return "no_sig", "신호없음"
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rsi = sig.get("rsi")
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return "PASS", "rsi=%s mode=%s" % (rsi, sig.get("entry_mode"))
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def slot_has(univ: Dict[str, List[str]], slot: str, code: str) -> bool:
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if not univ:
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return False
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return code in (univ.get(slot) or [])
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def first_slots(univ: Dict[str, List[str]], code: str, day: str, limit: int = 8) -> List[str]:
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out = []
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for sk in sorted(univ.keys()):
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if not sk.startswith(day):
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continue
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if code in (univ.get(sk) or []):
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out.append(sk)
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if len(out) >= limit:
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break
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return out
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def main() -> None:
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db = TradeDB()
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live_rows = db.conn.execute(
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"""SELECT code, name, buy_date, sell_date, buy_price, sell_reason, realized_pnl
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FROM trade_history WHERE strategy=%s AND buy_date LIKE %s
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ORDER BY buy_date""",
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("SCALP", "2026-07-16%"),
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).fetchall()
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active_rows = db.conn.execute(
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"""SELECT code, name, buy_date, avg_buy_price
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FROM active_trades WHERE strategy=%s AND buy_date LIKE %s""",
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("SCALP", "2026-07-16%"),
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).fetchall()
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# 사용자 웹 BT 9건 (스크린샷)
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bt_user = [
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("001130", "2026-07-16 14:55:00"),
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("067830", "2026-07-16 14:25:00"),
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("035000", "2026-07-16 09:55:00"),
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("047770", "2026-07-16 14:27:00"),
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("226400", "2026-07-16 12:36:00"),
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("330350", "2026-07-16 12:42:00"),
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("460930", "2026-07-16 09:21:00"),
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("007540", "2026-07-16 09:36:00"),
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("439090", "2026-07-16 09:52:00"),
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]
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bt_codes = {_z(c) for c, _ in bt_user}
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live_codes = {_z(r["code"]) for r in list(live_rows) + list(active_rows)}
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params = get_scalping_defaults_from_db()
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params.update({
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"rsi_period": 3,
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"rsi_oversold": 23.0,
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"rsi_overbought": 75.0,
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"sl_pct": 0.035,
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"tp_pct": 0.03,
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"tp_max_pct": 0.04,
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"drop_rate": 0.01,
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"vol_mult": 1.5,
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"use_defense_filters": False,
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"use_macd_cross": False,
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"skip_hts_scan_dupes": False,
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"require_reversal_candle": False,
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"min_price": 6000.0,
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"high_chase_thr": 0.99,
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"max_daily_chg": 50.0,
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"cooldown_min": 5,
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"time_start_hm": 900,
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"time_end_hm": 1530,
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"max_daily": 100,
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})
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univ, usrc, nslots, _ = resolve_scalp_universe(
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"2026-07-16", "2026-07-16", use_saved_history=True, strategy_id="SCALP",
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)
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univ = univ or {}
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print("UNIVERSE", usrc, "slots", nslots)
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print("\n" + "=" * 72)
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print("A) 실매 ONLY — 왜 BT가 못 샀나 (매수시각 기준 신호봉=진입직전봉)")
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print("=" * 72)
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for r in live_rows:
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code = _z(r["code"])
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if code in bt_codes:
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tag = "BOTH"
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else:
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tag = "LIVE_ONLY"
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day, entry_key = _hm_from_buy(r["buy_date"])
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candles = load_candles(db, code, day)
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# ALIGN: 진입봉=entry_key, 신호봉=직전 확정봉
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entry_i = find_index(candles, entry_key)
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if entry_i is None:
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entry_i = nearest_index(candles, entry_key)
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signal_i = (entry_i - 1) if entry_i is not None and entry_i >= 1 else None
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slots = first_slots(univ, code, day, 5)
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in_entry_slot = slot_has(univ, entry_key, code) if entry_key else False
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sig_key = str(candles[signal_i]["candle_time"])[:12] if signal_i is not None else ""
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in_sig_slot = slot_has(univ, sig_key, code) if sig_key else False
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status, detail = ("no_candle", "분봉0")
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if signal_i is not None:
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status, detail = eval_at(candles, signal_i, params)
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# vol detail if reject
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vol_info = ""
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if signal_i is not None and candles:
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c = candles[signal_i]
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vols = [float(x.get("volume") or 0) for x in candles]
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win = max(1, min(20, signal_i))
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avg = sum(vols[signal_i - win : signal_i]) / win if win else 0
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vol = vols[signal_i]
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vol_info = "vol=%.0f avg20=%.0f need>=%.0f" % (
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vol, avg, avg * float(params["vol_mult"]),
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)
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print(
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f"\n[{tag}] {code} {r['name']} live_buy={r['buy_date']} @{r['buy_price']}"
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)
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print(f" candles={len(candles)} entry_key={entry_key} signal_i={signal_i} sig_key={sig_key}")
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print(f" universe: in_entry_slot={in_entry_slot} in_sig_slot={in_sig_slot} first_slots={slots}")
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print(f" TRIGGER@signal: {status} | {detail} | {vol_info}")
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# also scan morning for first PASS in BT conditions
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first_pass = None
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for i in range(1, len(candles)):
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st, det = eval_at(candles, i, params)
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if st == "PASS":
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ck = str(candles[i]["candle_time"])[:12]
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if slot_has(univ, ck, code) or not univ:
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first_pass = (ck, det)
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break
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print(f" first PASS+univ day: {first_pass}")
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print("\n" + "=" * 72)
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print("B) BT ONLY — 실매는 왜 안 샀나 (BT 매수시각 기준)")
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print("=" * 72)
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for code, buy_t in bt_user:
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code = _z(code)
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if code in live_codes:
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continue
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day, entry_key = _hm_from_buy(buy_t)
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candles = load_candles(db, code, day)
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entry_i = find_index(candles, entry_key)
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signal_i = (entry_i - 1) if entry_i is not None and entry_i >= 1 else None
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sig_key = str(candles[signal_i]["candle_time"])[:12] if signal_i is not None else ""
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status, detail = eval_at(candles, signal_i, params) if signal_i is not None else ("no", "")
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slots = first_slots(univ, code, day, 5)
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# history presence count
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n_hist = db.conn.execute(
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"SELECT COUNT(*) n FROM target_candidates_history WHERE strategy_id=%s AND code=%s AND slot_key LIKE %s",
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("SCALP", code, day + "%"),
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).fetchone()["n"]
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print(f"\n[BT_ONLY] {code} bt_buy={buy_t}")
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print(f" hist_rows={n_hist} first_slots={slots}")
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print(f" TRIGGER@BT_signal {sig_key}: {status} | {detail}")
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print(f" in_sig_slot={slot_has(univ, sig_key, code)} in_entry_slot={slot_has(univ, entry_key, code)}")
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print("\n" + "=" * 72)
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print("C) BOTH — 시각 차이")
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print("=" * 72)
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live_by = {_z(r["code"]): r for r in live_rows}
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for code, buy_t in bt_user:
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code = _z(code)
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if code not in live_by:
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continue
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lr = live_by[code]
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print(f" {code}: LIVE {lr['buy_date']} @{lr['buy_price']} | BT {buy_t}")
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# vol_mult ON/OFF sensitivity for LIVE_ONLY
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print("\n" + "=" * 72)
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print("D) LIVE_ONLY — vol_mult=0 이면 PASS 되나?")
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print("=" * 72)
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p0 = dict(params)
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p0["vol_mult"] = 0.0
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for r in live_rows:
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code = _z(r["code"])
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if code in bt_codes:
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continue
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day, entry_key = _hm_from_buy(r["buy_date"])
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candles = load_candles(db, code, day)
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entry_i = find_index(candles, entry_key) or nearest_index(candles, entry_key)
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signal_i = (entry_i - 1) if entry_i and entry_i >= 1 else None
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s1, d1 = eval_at(candles, signal_i, params) if signal_i is not None else ("?", "")
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s0, d0 = eval_at(candles, signal_i, p0) if signal_i is not None else ("?", "")
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print(f" {code}: vol1.5={s1}({d1[:40]}) | vol0={s0}({d0[:40]})")
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# min_price with defense OFF should not block — confirm
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print("\n" + "=" * 72)
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print("E) 슬롯 경쟁 가설 — 실매 매수 시각에 BT 후보가 몇 개?")
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print("=" * 72)
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# for each live buy minute, count how many codes PASS in that signal slot among univ
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for r in live_rows[:5]:
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day, entry_key = _hm_from_buy(r["buy_date"])
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# signal approx entry-1min
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try:
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sig_num = int(entry_key) - 1
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sig_key = str(sig_num)
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except Exception:
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sig_key = entry_key
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# fix minute borrow
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if entry_key.endswith("00"):
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# 0900 -> 0859 not valid; use find
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pass
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hh = int(entry_key[8:10])
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mm = int(entry_key[10:12])
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if mm == 0:
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hh -= 1
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mm = 59
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else:
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mm -= 1
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sig_key = "%s%02d%02d" % (day, hh, mm)
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codes_in = list(univ.get(sig_key) or [])
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passes = []
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for c in codes_in[:80]:
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candles = load_candles(db, _z(c), day)
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si = find_index(candles, sig_key)
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if si is None:
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continue
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st, det = eval_at(candles, si, params)
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if st == "PASS":
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passes.append((_z(c), det))
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print(
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f" live={_z(r['code'])} @{r['buy_date']} sig={sig_key} "
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f"univ={len(codes_in)} PASS={len(passes)} sample={passes[:6]}"
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)
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db.close()
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if __name__ == "__main__":
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main()
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94
scripts/run_optuna_3strat_apply_20260720.sh
Executable file
94
scripts/run_optuna_3strat_apply_20260720.sh
Executable file
@@ -0,0 +1,94 @@
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#!/bin/bash
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# 모멘텀·돌파·스캘핑 Optuna 순차 + --apply-best (2026-07-20 1일)
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# 동시 실행 금지(RAM). 장전 적용용.
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#
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# nohup bash scripts/run_optuna_3strat_apply_20260720.sh >> logs/optuna_3strat_apply_0720_master.log 2>&1 &
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# tail -f logs/optuna_3strat_apply_0720_master.log
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set -euo pipefail
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cd /home/hoon/kis_bot
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mkdir -p logs kis_trader/backtest/results
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START="${START:-2026-07-20}"
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END="${END:-2026-07-20}"
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MODE="${MODE:-fine}"
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TRIALS="${TRIALS:-200}"
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MIN_TRADES="${MIN_TRADES:-1}"
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STRATEGIES="${STRATEGIES:-momentum breakout scalp}"
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TS0="$(date +%Y%m%d_%H%M%S)"
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MASTER="logs/optuna_3strat_apply_${START//-/}_${END//-/}_${TS0}_master.log"
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{
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echo "======== Optuna 3전략 순차+apply-best 시작 $(date -Is) ========"
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echo "START=$START END=$END MODE=$MODE TRIALS=$TRIALS"
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echo "STRATEGIES=$STRATEGIES apply-best=ON orderbook=off n_jobs=1"
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echo "master_log=$MASTER"
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free -h | sed -n '1,2p'
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} | tee -a "$MASTER"
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echo "$MASTER" > logs/optuna_3strat_apply_latest_master.logpath
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run_one() {
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local strat="$1"
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local ts study log sort_by
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ts="$(date +%Y%m%d_%H%M%S)"
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study="${strat}_${MODE}_apply_${START//-/}_${ts}"
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log="logs/optuna_seq_${strat}_${MODE}_apply_${ts}.log"
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sort_by="pnl"
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if [[ "$strat" == "momentum" || "$strat" == "scalp" ]]; then
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sort_by="score"
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fi
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||||
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||||
{
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||||
echo ""
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||||
echo "-------- $(date -Is) START $strat study=$study --------"
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echo "LOG=$log"
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} | tee -a "$MASTER"
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echo "$log" > "logs/optuna_seq_${strat}_latest.logpath"
|
||||
echo "$study" > "logs/optuna_seq_${strat}_latest.study"
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||||
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set +e
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||||
python3 -u kis_trader/backtest/param_search_optuna.py \
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--strategy "$strat" \
|
||||
--mode "$MODE" \
|
||||
--start "$START" \
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||||
--end "$END" \
|
||||
--trials "$TRIALS" \
|
||||
--min_trades "$MIN_TRADES" \
|
||||
--sort-by "$sort_by" \
|
||||
--orderbook-filter off \
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||||
--no-progress \
|
||||
--n-jobs 1 \
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||||
--study-name "$study" \
|
||||
--apply-best \
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||||
> "$log" 2>&1
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||||
local rc=$?
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||||
set -e
|
||||
|
||||
{
|
||||
echo "-------- $(date -Is) END $strat rc=$rc --------"
|
||||
if [[ $rc -ne 0 ]]; then
|
||||
echo "⚠️ $strat 실패(rc=$rc) — 다음 전략 계속. tail: $log"
|
||||
else
|
||||
echo "✅ $strat 완료(+apply-best 시도). log=$log"
|
||||
grep -E "apply-best|DB 적용|env_config|스킵|best|순익|PnL" "$log" | tail -20 || true
|
||||
fi
|
||||
free -h | sed -n '2p'
|
||||
} | tee -a "$MASTER"
|
||||
|
||||
return 0
|
||||
}
|
||||
|
||||
for s in $STRATEGIES; do
|
||||
run_one "$s"
|
||||
done
|
||||
|
||||
{
|
||||
echo ""
|
||||
echo "======== 전부 종료 $(date -Is) ========"
|
||||
echo "master=$MASTER"
|
||||
for s in $STRATEGIES; do
|
||||
echo " $s logpath=$(cat logs/optuna_seq_${s}_latest.logpath 2>/dev/null || echo '?')"
|
||||
echo " $s study=$(cat logs/optuna_seq_${s}_latest.study 2>/dev/null || echo '?')"
|
||||
done
|
||||
echo "※ apply-best: 총손익≤0 이면 코드가 DB 적용 스킵할 수 있음 — 각 로그 grep apply"
|
||||
} | tee -a "$MASTER"
|
||||
100
scripts/run_optuna_4strat_seq_20260715_16.sh
Executable file
100
scripts/run_optuna_4strat_seq_20260715_16.sh
Executable file
@@ -0,0 +1,100 @@
|
||||
#!/bin/bash
|
||||
# 4전략 Optuna 순차 실행 (동시 X — RAM 13G + 틱 2일 로딩 시 병렬은 OOM/스왑 위험)
|
||||
# 기간: 2026-07-15 ~ 2026-07-16 (거래일) · apply-best 없음 · 호가 OFF
|
||||
#
|
||||
# 사용:
|
||||
# nohup bash scripts/run_optuna_4strat_seq_20260715_16.sh >> logs/optuna_4strat_seq_master.log 2>&1 &
|
||||
# tail -f logs/optuna_4strat_seq_master.log
|
||||
# # 전략별: tail -f logs/optuna_seq_<strategy>_*.log
|
||||
#
|
||||
# 환경변수 오버라이드 예:
|
||||
# MODE=coarse TRIALS=100 STRATEGIES="tail scalp" bash scripts/run_optuna_4strat_seq_20260715_16.sh
|
||||
|
||||
set -euo pipefail
|
||||
cd /home/hoon/kis_bot
|
||||
mkdir -p logs kis_trader/backtest/results
|
||||
|
||||
START="${START:-2026-07-15}"
|
||||
END="${END:-2026-07-16}"
|
||||
MODE="${MODE:-fine}"
|
||||
TRIALS="${TRIALS:-200}"
|
||||
MIN_TRADES="${MIN_TRADES:-1}"
|
||||
# 공백 구분: tail momentum breakout scalp
|
||||
STRATEGIES="${STRATEGIES:-tail momentum breakout scalp}"
|
||||
TS0="$(date +%Y%m%d_%H%M%S)"
|
||||
MASTER="logs/optuna_4strat_seq_${START}_${END}_${TS0}_master.log"
|
||||
|
||||
{
|
||||
echo "======== Optuna 4전략 순차 시작 $(date -Is) ========"
|
||||
echo "START=$START END=$END MODE=$MODE TRIALS=$TRIALS"
|
||||
echo "STRATEGIES=$STRATEGIES"
|
||||
echo "apply-best=OFF orderbook=off n_jobs=1"
|
||||
echo "master_log=$MASTER"
|
||||
free -h | sed -n '1,2p'
|
||||
df -h / | tail -1
|
||||
} | tee -a "$MASTER"
|
||||
echo "$MASTER" > logs/optuna_4strat_seq_latest_master.logpath
|
||||
|
||||
run_one() {
|
||||
local strat="$1"
|
||||
local ts study log sort_by
|
||||
ts="$(date +%Y%m%d_%H%M%S)"
|
||||
study="${strat}_${MODE}_${START//-/}_${END//-/}_${ts}"
|
||||
log="logs/optuna_seq_${strat}_${MODE}_${ts}.log"
|
||||
sort_by="pnl"
|
||||
if [[ "$strat" == "momentum" || "$strat" == "scalp" ]]; then
|
||||
sort_by="score"
|
||||
fi
|
||||
|
||||
{
|
||||
echo ""
|
||||
echo "-------- $(date -Is) START $strat study=$study --------"
|
||||
echo "LOG=$log"
|
||||
} | tee -a "$MASTER"
|
||||
echo "$log" > "logs/optuna_seq_${strat}_latest.logpath"
|
||||
echo "$study" > "logs/optuna_seq_${strat}_latest.study"
|
||||
|
||||
# --apply-best 없음 (기본 미적용)
|
||||
set +e
|
||||
python3 -u kis_trader/backtest/param_search_optuna.py \
|
||||
--strategy "$strat" \
|
||||
--mode "$MODE" \
|
||||
--start "$START" \
|
||||
--end "$END" \
|
||||
--trials "$TRIALS" \
|
||||
--min_trades "$MIN_TRADES" \
|
||||
--sort-by "$sort_by" \
|
||||
--orderbook-filter off \
|
||||
--no-progress \
|
||||
--n-jobs 1 \
|
||||
--study-name "$study" \
|
||||
> "$log" 2>&1
|
||||
local rc=$?
|
||||
set -e
|
||||
|
||||
{
|
||||
echo "-------- $(date -Is) END $strat rc=$rc --------"
|
||||
if [[ $rc -ne 0 ]]; then
|
||||
echo "⚠️ $strat 실패(rc=$rc) — 다음 전략 계속. tail: $log"
|
||||
else
|
||||
echo "✅ $strat 완료. log=$log"
|
||||
fi
|
||||
free -h | sed -n '2p'
|
||||
} | tee -a "$MASTER"
|
||||
|
||||
return 0
|
||||
}
|
||||
|
||||
for s in $STRATEGIES; do
|
||||
run_one "$s"
|
||||
done
|
||||
|
||||
{
|
||||
echo ""
|
||||
echo "======== 전부 종료 $(date -Is) ========"
|
||||
echo "master=$MASTER"
|
||||
for s in $STRATEGIES; do
|
||||
echo " $s logpath=$(cat logs/optuna_seq_${s}_latest.logpath 2>/dev/null || echo '?')"
|
||||
echo " $s study=$(cat logs/optuna_seq_${s}_latest.study 2>/dev/null || echo '?')"
|
||||
done
|
||||
} | tee -a "$MASTER"
|
||||
@@ -106,6 +106,37 @@ def main() -> None:
|
||||
})
|
||||
assert agg2._confirmed[key][0]["volume"] == 800
|
||||
|
||||
# 진행 중 분봉은 REST/merge confirmed 에 넣지 않음 (장초 직전봉% 왜곡 방지)
|
||||
import datetime as _dt
|
||||
agg3 = CandleAggregator(db=None, timeframes=[1])
|
||||
code2 = "333050"
|
||||
frozen = _dt.datetime(2026, 7, 16, 9, 0, 34)
|
||||
# 전일 + 미완성 당일 09:00 을 넣으려 할 때 → 09:00 만 skip
|
||||
n = agg3.merge_confirmed_bars(
|
||||
code2, 1,
|
||||
[
|
||||
bar("202607151530", 5280, 5280, 5280, 5280, 960, "rest"),
|
||||
bar("202607160900", 5220, 5250, 5200, 5220, 10, "rest"), # 진행분
|
||||
],
|
||||
log_tag="smoke_skip_open",
|
||||
skip_incomplete_bucket=True,
|
||||
now=frozen,
|
||||
)
|
||||
assert n == 1
|
||||
buf3 = agg3._confirmed[(code2, 1)]
|
||||
assert len(buf3) == 1 and buf3[0]["candle_time"] == "202607151530"
|
||||
# 이미 들어간 진행분 purge
|
||||
agg3._confirmed[(code2, 1)].append(
|
||||
bar("202607160900", 5220, 5250, 5200, 5220, 10, "rest")
|
||||
)
|
||||
agg3.merge_confirmed_bars(
|
||||
code2, 1, [], log_tag="smoke_purge", skip_incomplete_bucket=True, now=frozen,
|
||||
)
|
||||
assert all(
|
||||
str(c["candle_time"])[:12] < "202607160900"
|
||||
for c in agg3._confirmed[(code2, 1)]
|
||||
)
|
||||
|
||||
print("SMOKE_OK candle_upsert_rollup")
|
||||
|
||||
|
||||
|
||||
Reference in New Issue
Block a user