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.
257 lines
8.7 KiB
Python
257 lines
8.7 KiB
Python
#!/usr/bin/env python3
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"""
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전략 백테 CLI 1회 — 웹 API 와 동일 핸들러 (Flask test_request_context).
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python3 -u scripts/run_strategy_backtest_cli.py \\
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--strategy scalp|breakout|momentum|tail \\
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--start 2026-07-20 --end 2026-07-22
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꼬리(tail)는 세밀 progress 가 필요하면 scripts/run_tail_backtest_cli.py 를 쓰세요.
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이 스크립트는 스캘핑·돌파·모멘텀(+ tail 폴백)용.
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DB 미저장. Optuna 아님.
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"""
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from __future__ import annotations
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import argparse
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import json
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import logging
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import sys
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import threading
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import time
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from datetime import datetime
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from pathlib import Path
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from typing import Any, Dict, Optional
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from urllib.parse import urlencode
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ROOT = Path(__file__).resolve().parents[1]
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if str(ROOT) not in sys.path:
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sys.path.insert(0, str(ROOT))
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from kis_trader.utils.kr_trading_day import clamp_to_prev_kr_trading_day
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logging.basicConfig(
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level=logging.INFO,
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format="%(asctime)s [%(levelname)s] %(message)s",
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datefmt="%H:%M:%S",
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)
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logger = logging.getLogger("strategy_bt_cli")
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_ROUTE = {
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"scalp": ("/api/backtest/scalping", "api_backtest_scalping"),
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"breakout": ("/api/backtest/breakout", "api_backtest_breakout"),
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"momentum": ("/api/backtest/momentum", "api_backtest_momentum"),
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"tail": ("/api/backtest/tail", "api_backtest_tail"),
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}
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def _write_progress(
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path: Optional[str],
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*,
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pct: float,
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phase: str,
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message: str = "",
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) -> None:
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if not path:
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return
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try:
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payload = {
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"pct": int(max(0, min(100, round(float(pct))))),
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"phase": str(phase or ""),
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"message": str(message or ""),
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"ts": time.time(),
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}
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p = Path(path)
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p.parent.mkdir(parents=True, exist_ok=True)
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tmp = p.with_suffix(".tmp")
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tmp.write_text(json.dumps(payload, ensure_ascii=False), encoding="utf-8")
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tmp.replace(p)
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except Exception:
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pass
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def _bool_arg(val: Optional[str], default: Optional[bool] = None) -> Optional[bool]:
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if val is None or str(val).strip() == "":
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return default
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return str(val).strip().lower() in ("1", "true", "t", "y", "yes", "on")
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def _heartbeat(prog_file: Optional[str], stop_evt: threading.Event) -> None:
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"""엔진 중 조악 progress (웹 핸들러는 내부 progress 없음)."""
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pct = 30.0
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while not stop_evt.wait(2.0):
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pct = min(88.0, pct + 2.5)
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_write_progress(prog_file, pct=pct, phase="engine", message="웹엔진 실행중")
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def main() -> int:
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ap = argparse.ArgumentParser(description="전략 백테 CLI (웹 동일 핸들러)")
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ap.add_argument(
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"--strategy",
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required=True,
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choices=sorted(_ROUTE.keys()),
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help="scalp|breakout|momentum|tail",
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)
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ap.add_argument("--start", required=True)
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ap.add_argument("--end", required=True)
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ap.add_argument("--timeframe", type=int, default=0, help="꼬리만 사용(3/5/15/60), 0=기본")
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ap.add_argument(
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"--universe",
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default="history",
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help="history|all|sim (전략별 웹 파서 따름)",
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)
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ap.add_argument(
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"--universe-history-source",
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default="",
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choices=["", "kiwoom", "ls"],
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help="이력 테이블: kiwoom(기본) | ls (BACKTEST_UNIVERSE_HISTORY_SOURCE)",
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)
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ap.add_argument("--job-id", default="")
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ap.add_argument("--out-dir", default="")
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ap.add_argument("--progress-file", default="")
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ap.add_argument("--orderbook-filter", choices=["off", "on", "auto"], default="off")
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ap.add_argument("--tick-db", default="", help="1/0/빈칸")
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ap.add_argument("--env-timeline", action="store_true")
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ap.add_argument("--params-json", default="", help="미사용(예약) — 웹폼 저장 후 DB 반영 권장")
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args = ap.parse_args()
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strat = args.strategy.strip().lower()
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start = clamp_to_prev_kr_trading_day(str(args.start).strip())
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end = clamp_to_prev_kr_trading_day(str(args.end).strip())
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if start > end:
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start, end = end, start
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ts = datetime.now().strftime("%Y%m%d_%H%M%S")
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job_id = (args.job_id or f"{strat}_bt_cli_{start.replace('-', '')}_{end.replace('-', '')}_{ts}").strip()
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out_dir = Path(args.out_dir) if args.out_dir else (ROOT / "kis_trader" / "backtest" / "results")
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out_dir.mkdir(parents=True, exist_ok=True)
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out_json = out_dir / f"{job_id}.json"
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prog_file = (args.progress_file or "").strip() or None
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logger.info(
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"🚀 %s BT CLI 시작 job=%s | %s~%s univ=%s hist_src=%s",
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strat, job_id, start, end, args.universe, args.universe_history_source or "env/kiwoom",
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)
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t0 = time.time()
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_write_progress(prog_file, pct=5, phase="init", message="초기화")
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q: Dict[str, Any] = {
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"start": start,
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"end": end,
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"universe": args.universe or "history",
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}
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if (args.universe_history_source or "").strip():
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q["universe_history_source"] = str(args.universe_history_source).strip()
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if args.timeframe and int(args.timeframe) > 0:
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q["timeframe"] = int(args.timeframe)
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if args.env_timeline:
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q["env_timeline"] = "1"
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tick = _bool_arg(args.tick_db, None)
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if tick is not None:
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q["backtest_use_tick_db"] = "1" if tick else "0"
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ob = (args.orderbook_filter or "off").strip().lower()
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if ob == "off":
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q["ob_filter"] = "0"
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elif ob == "on":
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q["ob_filter"] = "1"
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qs = urlencode({k: str(v) for k, v in q.items() if v is not None and str(v) != ""})
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path, fn_name = _ROUTE[strat]
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_write_progress(prog_file, pct=20, phase="import", message="웹모듈 로드")
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import backtest_web as bw # noqa: WPS433 — CLI 전용, 웹과 동일 핸들러
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fn = getattr(bw, fn_name, None)
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if not callable(fn):
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logger.error("핸들러 없음: %s", fn_name)
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_write_progress(prog_file, pct=100, phase="error", message=f"핸들러 없음 {fn_name}")
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return 1
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stop_hb = threading.Event()
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hb = threading.Thread(target=_heartbeat, args=(prog_file, stop_hb), daemon=True)
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hb.start()
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_write_progress(prog_file, pct=30, phase="engine", message="웹엔진 실행중")
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data = None
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http_status = 200
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try:
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with bw.app.test_request_context(f"{path}?{qs}"):
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resp = fn()
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if isinstance(resp, tuple):
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# Flask: (jsonify(...), 500) — 본문만 취하면 실패를 성공으로 오인함
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http_status = int(resp[1]) if len(resp) > 1 else 200
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resp = resp[0]
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elif hasattr(resp, "status_code"):
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try:
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http_status = int(resp.status_code)
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except (TypeError, ValueError):
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http_status = 200
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data = resp.get_json(silent=True) if hasattr(resp, "get_json") else None
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if not isinstance(data, dict):
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raise RuntimeError(f"응답 JSON 아님: {type(resp)}")
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# 핸들러가 jsonify({"error": ...}, 500) 을 주면 summary 없이 error 만 옴
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if http_status >= 400 or (
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data.get("error") and not data.get("summary")
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):
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raise RuntimeError(str(data.get("error") or f"HTTP {http_status}"))
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finally:
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stop_hb.set()
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try:
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hb.join(timeout=1.0)
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except Exception:
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pass
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if not isinstance(data, dict):
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raise RuntimeError("백테 응답 없음")
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elapsed = time.time() - t0
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summary = data.get("summary") or {}
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trades = data.get("trades") or []
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out = dict(data)
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out.pop("error", None)
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out["ok"] = True
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out["job_id"] = job_id
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out["kind"] = "strategy_bt_cli"
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out["strategy"] = strat
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out["start"] = start
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out["end"] = end
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out["elapsed_sec"] = round(elapsed, 1)
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out["n_trades"] = len(trades) if isinstance(trades, list) else int(summary.get("total_trades") or 0)
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out["note"] = f"웹 {path} 동일 핸들러 · DB 미저장 · Optuna 아님"
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out_json.write_text(json.dumps(out, ensure_ascii=False, indent=2, default=str), encoding="utf-8")
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_write_progress(
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prog_file,
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pct=100,
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phase="done",
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message=f"완료 trades={out['n_trades']} PnL={summary.get('total_pnl')}",
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)
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logger.info(
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"✅ 완료 %.1fs | trades=%s WR=%s PnL=%s | %s",
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elapsed,
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out["n_trades"],
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summary.get("win_rate"),
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summary.get("total_pnl"),
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out_json,
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)
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print(
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json.dumps(
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{
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"ok": True,
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"job_id": job_id,
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"strategy": strat,
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"result_json": str(out_json),
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"summary": summary,
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"elapsed_sec": round(elapsed, 1),
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},
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ensure_ascii=False,
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)
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)
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return 0
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if __name__ == "__main__":
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try:
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raise SystemExit(main())
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except Exception as exc:
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logger.exception("실패: %s", exc)
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raise SystemExit(1)
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