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shuim
2026-03-10 09:49:03 +09:00
parent a15ecaa314
commit 096e087a9a
8 changed files with 930 additions and 290 deletions
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18
backend/app/services/mean_reversion_strategy.py
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@@ -25,7 +25,7 @@ from typing import Optional, Dict, List, Tuple
from dataclasses import dataclass
from enum import Enum
from app.core.config import settings
from app.services.strategy_config_service import strategy_cfg
logger = logging.getLogger(__name__)
@@ -225,7 +225,7 @@ def check_buy_signal(
return None
if regime == MarketRegime.BULL:
rsi_ok = rsi <= settings.MEAN_REVERSION_RSI_THRESHOLD # ← 기본값 30
rsi_ok = rsi <= strategy_cfg.get("MEAN_REVERSION_RSI_THRESHOLD", 30.0)
if rsi_ok:
# [2026-03] RSI 반등 확인: rsi_prev 제공 시 RSI 하락 중이면 진입 금지
@@ -303,8 +303,10 @@ def check_exit_signal(
# ── 1. 손절 (최우선) ──────────────────────────────────────────
# [2026-03] ATR 손절 기준: lowest_since_entry → entry_price
# 이유: 매수 직후 저점이 낮으면 ATR 손절가가 현재가보다 훨씬 아래 → 손절 사실상 무력화
atr_stop = entry_price - 2.5 * atr
pct_stop = entry_price * 0.94 # -6%
atr_stop_mult = strategy_cfg.get("ATR_STOP_MULTIPLIER", 2.5)
stop_loss_pct = strategy_cfg.get("STOP_LOSS_PERCENT", -6.0) # e.g. -6.0
atr_stop = entry_price - atr_stop_mult * atr
pct_stop = entry_price * (1 + stop_loss_pct / 100)
stop_price = max(atr_stop, pct_stop) # 높은 값 = 타이트한 손절
if close <= stop_price:
@@ -392,13 +394,13 @@ def calculate_position_size(
if rsi is not None:
if rsi <= 20:
multiplier = settings.MEAN_REVERSION_MULTIPLIER_STRONG
multiplier = strategy_cfg.get("MEAN_REVERSION_MULTIPLIER_STRONG", 1.50)
elif rsi <= 25:
multiplier = settings.MEAN_REVERSION_MULTIPLIER_NORMAL
multiplier = strategy_cfg.get("MEAN_REVERSION_MULTIPLIER_NORMAL", 1.25)
else:
multiplier = settings.MEAN_REVERSION_MULTIPLIER_WEAK
multiplier = strategy_cfg.get("MEAN_REVERSION_MULTIPLIER_WEAK", 1.00)
else:
multiplier = settings.MEAN_REVERSION_MULTIPLIER_WEAK
multiplier = strategy_cfg.get("MEAN_REVERSION_MULTIPLIER_WEAK", 1.00)
if adx is not None and adx < 15:
multiplier = min(multiplier + 0.25, 2.0)