feat: Enhance trading system with new e_min_chg_pct parameter and related logic

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.
This commit is contained in:
Your Name
2026-08-01 16:19:24 +09:00
parent 7050f788c5
commit cb7e5037a0
30 changed files with 2206 additions and 253 deletions

View File

@@ -26,6 +26,8 @@ MIN_PF="${MIN_PF:-0}"
# STRATEGIES="momentum tail" bash ...
# STRATEGIES="us_momentum momentum" bash ...
STRATEGIES="${STRATEGIES:-momentum tail breakout scalp}"
# kiwoom|ls — 웹 Optuna 이력소스 / CLI UNIVERSE_HISTORY_SOURCE
UNIVERSE_HISTORY_SOURCE="${UNIVERSE_HISTORY_SOURCE:-${BACKTEST_UNIVERSE_HISTORY_SOURCE:-kiwoom}}"
PY="${PY:-.venv/bin/python}"
TS0="$(date +%Y%m%d_%H%M%S)"
MASTER="logs/optuna_4strat_tpe_${START}_${END}_${TS0}_master.log"
@@ -34,6 +36,7 @@ MASTER="logs/optuna_4strat_tpe_${START}_${END}_${TS0}_master.log"
echo "======== Optuna 4전략 TPE 순차 시작 $(date -Is) ========"
echo "START=$START END=$END MODE=$MODE TRIALS=$TRIALS"
echo "STRATEGIES=$STRATEGIES"
echo "UNIVERSE_HISTORY_SOURCE=$UNIVERSE_HISTORY_SOURCE"
echo "min_wr=$MIN_WIN_RATE min_pf=$MIN_PF min_trades=$MIN_TRADES"
echo "apply-best=OFF orderbook=off n_jobs=1 (사후 results_gated + briefing.md)"
echo "master_log=$MASTER"
@@ -55,7 +58,7 @@ run_one() {
{
echo ""
echo "-------- [$strat] START $(date -Is) study=$study --------"
echo "-------- [$strat] START $(date -Is) study=$study univ=$UNIVERSE_HISTORY_SOURCE --------"
} | tee -a "$MASTER"
echo "$log" > "logs/optuna_${strat}_tpe_latest.logpath"
echo "$study" > "logs/optuna_${strat}_tpe_latest.study"
@@ -74,6 +77,7 @@ run_one() {
--no-progress \
--study-name "$study" \
--sort-by "$sort_by" \
--universe-history-source "$UNIVERSE_HISTORY_SOURCE" \
>"$log" 2>&1
local rc=$?
set -e