feat(옵투나·웹): 후처리 재탐색·ob_modes·적용감사·수집통계

- Optuna web jobs/TPE/apply snapshot·틱로더 정합, jobs limit·감사로그 - 백테 UI 호가모드·후보 적용 흐름, feed_collect_stats API/탭 - 가설검증·교차검증 룰, 4전략 스모크·OB slot41 진단 스크립트 Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-27 15:23:44 +09:00
parent 5e44b86f8b
commit 8fbba264ba
30 changed files with 2973 additions and 186 deletions
--- a/scripts/mom_bt_one_day_trial120.py
+++ b/scripts/mom_bt_one_day_trial120.py
@@ -0,0 +1,146 @@
+#!/usr/bin/env python3
+"""Apply trial#120 params → 1일 모멘텀 백테 (호가 ON). DB 미변경."""
+from __future__ import annotations
+
+import json
+import sys
+import time
+from pathlib import Path
+
+_ROOT = Path(__file__).resolve().parents[1]
+if str(_ROOT) not in sys.path:
+    sys.path.insert(0, str(_ROOT))
+
+
+def main() -> int:
+    t0 = time.time()
+    start = end = "2026-08-25"
+    out_json = _ROOT / "logs" / "mom_bt_20260825_trial120_ob_on.json"
+    print(f"start prepare {start} OB=on", flush=True)
+
+    from database import TradeDB
+    from kis_trader.backtest.optuna_momentum import prepare_momentum_search_context
+    from kis_trader.backtest.param_search_momentum import evaluate_momentum_param_combo
+
+    db = TradeDB()
+    row = db.conn.execute(
+        "SELECT payload_json FROM optuna_study_result WHERE study_name=%s",
+        ("momentum_tpe_20260818_20260821_20260823_192516",),
+    ).fetchone()
+    payload = json.loads(row["payload_json"])
+    t120 = next(x for x in payload["results_gated"] if x.get("optuna_trial_number") == 120)
+    combo = dict(t120["params"])
+    print(
+        "trial120 ob=%s whip=%s sl=%s tp=%s" % (
+            combo.get("_orderbook_filter_enabled"),
+            combo.get("whipsaw_enabled"),
+            combo.get("sl_pct"),
+            combo.get("tp_pct"),
+        ),
+        flush=True,
+    )
+
+    ctx = prepare_momentum_search_context(
+        start,
+        end,
+        "tpe",
+        orderbook_filter="on",
+        market="KR",
+    )
+    if ctx is None:
+        print("PREPARE FAILED", flush=True)
+        return 1
+
+    print(
+        "ctx ready codes=%d ticks=%s ob_codes=%d fee=%s slot=%s max=%s budget=%s"
+        % (
+            len(ctx.codes_candles),
+            bool(ctx.ticks_by_code),
+            len(ctx.orderbook_by_code or {}),
+            ctx.fee_rate,
+            ctx.slot_money,
+            ctx.max_stocks,
+            ctx.total_budget_krw,
+        ),
+        flush=True,
+    )
+
+    base = dict(ctx.base_fixed)
+    base["_orderbook_filter_enabled"] = True
+    base["ob_filter_enabled"] = True
+
+    grid_keys = list(payload.get("grid_keys") or [])
+    if not grid_keys:
+        grid_keys = [k for k in combo.keys() if not str(k).startswith("_")]
+
+    result = evaluate_momentum_param_combo(
+        combo,
+        base_fixed=base,
+        grid_keys=grid_keys,
+        codes_candles=ctx.codes_candles,
+        min_trades=0,
+        min_win_rate=0.0,
+        min_pf=0.0,
+        universe_by_slot=ctx.universe_by_slot,
+        slot_money=ctx.slot_money,
+        max_stocks=ctx.max_stocks,
+        total_budget_krw=ctx.total_budget_krw,
+        fee_rate=ctx.fee_rate,
+        sell_tax=ctx.sell_tax,
+        period_days=1,
+        cache_holder=ctx.cache_holder,
+        ticks_by_code=ctx.ticks_by_code,
+        orderbook_by_code=ctx.orderbook_by_code,
+        program_by_code=getattr(ctx, "program_by_code", None),
+        start_key="20260825",
+        end_key="20260825",
+        include_trades=True,
+    )
+    print("elapsed_sec", round(time.time() - t0, 1), flush=True)
+    if not result:
+        print("NO RESULT", flush=True)
+        return 2
+
+    trades = result.get("_trades") or result.get("trades") or []
+    out = {
+        "ok": True,
+        "date": start,
+        "source": "optuna trial#120 + prepare orderbook_filter=on",
+        "study": "momentum_tpe_20260818_20260821_20260823_192516",
+        "total_trades": result.get("total_trades"),
+        "win_rate": result.get("win_rate"),
+        "total_pnl": result.get("total_pnl"),
+        "pf": result.get("pf"),
+        "trades": trades,
+    }
+    print(
+        "RESULT trades=%s WR=%s PnL=%s PF=%s"
+        % (out["total_trades"], out["win_rate"], out["total_pnl"], out["pf"]),
+        flush=True,
+    )
+    for tr in trades:
+        code = str(tr.get("code") or "")
+        line = (
+            "  %s->%s %s %s pnl=%s entry=%s exit=%s"
+            % (
+                tr.get("buy_time") or tr.get("entry_time"),
+                tr.get("sell_time") or tr.get("exit_time"),
+                code,
+                tr.get("sell_reason"),
+                tr.get("pnl"),
+                tr.get("entry_price") or tr.get("buy_price"),
+                tr.get("exit_price") or tr.get("sell_price"),
+            )
+        )
+        print(line, flush=True)
+        if code == "417010":
+            print("  *** NANOTEAM IN BACKTEST ***", flush=True)
+
+    out_json.write_text(json.dumps(out, ensure_ascii=False, indent=2, default=str))
+    print("JSON", out_json, flush=True)
+    print("DONE", flush=True)
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())