수정본

2026-02-22 17:23:20 +09:00
parent b147498c31
commit 32e2263f0a
109 changed files with 13979 additions and 4580 deletions
--- a/backend/app/services/day_trading_strategy.py
+++ b/backend/app/services/day_trading_strategy.py
@@ -0,0 +1,472 @@
+"""
+데이트레이딩 전략 (CLAUDE.md 섹션 8.2 확장)
+
+전략 3종:
+  1. ORB  — Opening Range Breakout (09:00~09:30 고점 돌파)
+  2. VWAP — VWAP 지지 + 과매도 반등
+  3. RSI_BB — 5분봉 RSI+볼린저 과매도 반등
+
+공통 규칙:
+  - EOD 강제 청산: 15:20 이후 전량 시장가 매도
+  - 일일 손실 한도: 전체 자본 -3% 초과 시 신규 진입 중단
+  - 동시 최대 3종목, 종목당 최대 10% 자본
+  - 전체 데이트레이딩 자본: 총자산의 최대 25% (CLAUDE.md 8.2)
+  - 수수료+슬리피지 포함 기준: 0.5% (매수 0.015% + 매도 0.3% + 슬리피지 0.2%)
+"""
+import logging
+from typing import Optional, Dict, List, Tuple
+from dataclasses import dataclass
+from datetime import time
+
+logger = logging.getLogger(__name__)
+
+# ── 장 시간 상수 (KST) ──────────────────────────────────────────────────────
+MARKET_OPEN   = time(9, 0)
+ORB_END       = time(9, 30)   # Opening Range 집계 종료
+ENTRY_CUTOFF  = time(15, 0)   # 신규 진입 마감 (이후는 청산만)
+EOD_FLAT      = time(15, 20)  # EOD 강제 청산 시작
+MARKET_CLOSE  = time(15, 30)
+
+# ── 리스크 파라미터 ───────────────────────────────────────────────────────────
+MAX_CAPITAL_RATIO  = 0.10   # 종목당 최대 10%
+MAX_DAY_TRADE_RATIO = 0.25  # 전체 데이트레이딩 최대 25%
+MAX_POSITIONS      = 3      # 동시 최대 3종목
+DAILY_LOSS_LIMIT   = -0.03  # 일일 손실 한도 -3%
+STOP_LOSS_PCT      = 0.02   # 종목 손절 -2%
+TRAILING_TRIGGER   = 0.015  # 트레일링 발동 +1.5%
+TRAILING_ATR_MULT  = 1.0    # 트레일링 ATR 배수
+ORB_BREAKOUT_MARGIN = 0.002 # ORB 돌파 최소 여유 +0.2%
+COST_PCT           = 0.005  # 수수료+슬리피지 합산 (매수+매도)
+
+
+# ── 데이터 클래스 ─────────────────────────────────────────────────────────────
+
+@dataclass
+class MinuteCandle:
+    """KIS API output2 데이터 정규화 결과"""
+    date: str        # YYYYMMDD
+    time: str        # HHMMSS
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: int
+    cum_volume: int   # 누적 거래량 (acml_vol)
+    cum_amount: float # 누적 거래대금 원 (acml_tr_pbmn)
+
+
+@dataclass
+class OpeningRange:
+    high: float
+    low: float
+    total_volume: int
+    avg_vol_per_min: float  # 분당 평균 거래량 (ORB 기간)
+
+
+@dataclass
+class DayTradeSignal:
+    stock_code: str
+    stock_name: str
+    strategy: str        # "ORB" | "VWAP_BOUNCE" | "RSI_BB"
+    entry_price: float
+    stop_loss: float
+    target_price: float
+    reason: str
+    confidence: float    # 0.0 ~ 1.0
+
+
+@dataclass
+class DayTradeExit:
+    action: str    # "SELL_ALL"
+    reason: str
+    sell_pct: float = 1.0
+
+
+# ── 분봉 파싱 헬퍼 ────────────────────────────────────────────────────────────
+
+def parse_minute_candles(raw_output2: list) -> List[MinuteCandle]:
+    """KIS API output2 리스트를 MinuteCandle 리스트로 변환
+
+    KIS 응답 필드:
+      stck_bsop_date / stck_cntg_hour / stck_oprc / stck_hgpr /
+      stck_lwpr / stck_prpr (종가) / cntg_vol / acml_vol / acml_tr_pbmn
+    """
+    candles: List[MinuteCandle] = []
+    for row in raw_output2:
+        try:
+            candles.append(MinuteCandle(
+                date=row.get("stck_bsop_date", ""),
+                time=row.get("stck_cntg_hour", ""),
+                open=float(row.get("stck_oprc", 0) or 0),
+                high=float(row.get("stck_hgpr", 0) or 0),
+                low=float(row.get("stck_lwpr", 0) or 0),
+                close=float(row.get("stck_prpr", 0) or 0),
+                volume=int(row.get("cntg_vol", 0) or 0),
+                cum_volume=int(row.get("acml_vol", 0) or 0),
+                cum_amount=float(row.get("acml_tr_pbmn", 0) or 0),
+            ))
+        except (ValueError, TypeError):
+            continue
+    return candles
+
+
+def aggregate_to_5min(candles: List[MinuteCandle]) -> List[MinuteCandle]:
+    """1분봉 → 5분봉 집계 (09:00 기준 5분 버킷)"""
+    if not candles:
+        return []
+
+    buckets: Dict[int, List[MinuteCandle]] = {}
+    for c in candles:
+        if not c.time:
+            continue
+        h = int(c.time[:2])
+        m = int(c.time[2:4])
+        key = (h * 60 + m) // 5
+        buckets.setdefault(key, []).append(c)
+
+    result: List[MinuteCandle] = []
+    for key in sorted(buckets):
+        bkt = buckets[key]
+        result.append(MinuteCandle(
+            date=bkt[0].date,
+            time=bkt[0].time,
+            open=bkt[0].open,
+            high=max(b.high for b in bkt),
+            low=min(b.low for b in bkt),
+            close=bkt[-1].close,
+            volume=sum(b.volume for b in bkt),
+            cum_volume=bkt[-1].cum_volume,
+            cum_amount=bkt[-1].cum_amount,
+        ))
+    return result
+
+
+# ── 지표 계산 ─────────────────────────────────────────────────────────────────
+
+def calculate_vwap(candles: List[MinuteCandle]) -> Optional[float]:
+    """VWAP = 누적거래대금 / 누적거래량 (당일 09:00 기준 누적)"""
+    if not candles:
+        return None
+    last = candles[-1]
+    if last.cum_volume <= 0:
+        return None
+    return last.cum_amount / last.cum_volume
+
+
+def calculate_opening_range(candles_1min: List[MinuteCandle]) -> Optional[OpeningRange]:
+    """09:00~09:29 분봉으로 Opening Range (H/L) 계산"""
+    orb = [c for c in candles_1min if "090000" <= c.time <= "092959"]
+    if len(orb) < 5:
+        return None
+    total_vol = sum(c.volume for c in orb)
+    return OpeningRange(
+        high=max(c.high for c in orb),
+        low=min(c.low for c in orb),
+        total_volume=total_vol,
+        avg_vol_per_min=total_vol / len(orb),
+    )
+
+
+def _rsi(candles: List[MinuteCandle], period: int = 14) -> Optional[float]:
+    closes = [c.close for c in candles]
+    if len(closes) < period + 1:
+        return None
+    gains, losses = [], []
+    for i in range(-period, 0):
+        d = closes[i] - closes[i - 1]
+        gains.append(max(d, 0))
+        losses.append(max(-d, 0))
+    avg_gain = sum(gains) / period
+    avg_loss = sum(losses) / period
+    if avg_loss == 0:
+        return 100.0
+    return 100 - (100 / (1 + avg_gain / avg_loss))
+
+
+def _bollinger(candles: List[MinuteCandle], period: int = 20) -> Optional[Tuple[float, float, float]]:
+    closes = [c.close for c in candles]
+    if len(closes) < period:
+        return None
+    window = closes[-period:]
+    mid = sum(window) / period
+    std = (sum((p - mid) ** 2 for p in window) / period) ** 0.5
+    return (mid + 2 * std, mid, mid - 2 * std)
+
+
+def _atr(candles: List[MinuteCandle], period: int = 14) -> Optional[float]:
+    if len(candles) < period + 1:
+        return None
+    trs = []
+    for i in range(1, len(candles)):
+        h, l, cp = candles[i].high, candles[i].low, candles[i - 1].close
+        trs.append(max(h - l, abs(h - cp), abs(l - cp)))
+    if len(trs) < period:
+        return None
+    return sum(trs[-period:]) / period
+
+
+# ── 진입 신호 ─────────────────────────────────────────────────────────────────
+
+def check_orb_signal(
+    stock_code: str,
+    stock_name: str,
+    candles_1min: List[MinuteCandle],
+    orb: OpeningRange,
+    current_price: float,
+) -> Optional[DayTradeSignal]:
+    """ORB 상향 돌파 매수 신호
+
+    조건:
+    1. 현재가 > ORB 고점 × 1.002 (0.2% 이상 돌파)
+    2. 최근 1분봉 거래량 ≥ ORB 분당평균 × 1.5 (거래량 폭발)
+    3. 직전 5분봉이 양봉 (음봉이면 Fake-out 위험)
+    """
+    if not orb or current_price <= 0:
+        return None
+
+    if current_price < orb.high * (1 + ORB_BREAKOUT_MARGIN):
+        return None
+
+    # 최근 1분봉 거래량 체크
+    if not candles_1min:
+        return None
+    recent_vol = candles_1min[-1].volume
+    if recent_vol < orb.avg_vol_per_min * 1.5:
+        return None
+
+    # 직전 5분봉 양봉 확인
+    candles_5m = aggregate_to_5min(candles_1min)
+    if len(candles_5m) >= 2 and candles_5m[-2].close < candles_5m[-2].open:
+        return None  # 직전 5분봉 음봉 → 스킵
+
+    stop_loss = max(orb.low, current_price * (1 - STOP_LOSS_PCT))
+    risk = current_price - stop_loss
+    # 수수료 고려: 목표 = 진입가 + 2R + 수수료 보전
+    target = current_price + max(risk * 2.0, current_price * 0.03)
+
+    vol_ratio = recent_vol / orb.avg_vol_per_min
+    confidence = min(0.85, 0.65 + vol_ratio * 0.05)
+
+    return DayTradeSignal(
+        stock_code=stock_code,
+        stock_name=stock_name,
+        strategy="ORB",
+        entry_price=current_price,
+        stop_loss=round(stop_loss, 0),
+        target_price=round(target, 0),
+        reason=(
+            f"ORB 상향 돌파: ORB고={orb.high:.0f}, "
+            f"현재={current_price:.0f}, 거래량={vol_ratio:.1f}배"
+        ),
+        confidence=round(confidence, 2),
+    )
+
+
+def check_vwap_bounce_signal(
+    stock_code: str,
+    stock_name: str,
+    candles_5min: List[MinuteCandle],
+    vwap: float,
+    current_price: float,
+) -> Optional[DayTradeSignal]:
+    """VWAP 지지 반등 매수 신호
+
+    조건:
+    1. 현재가가 VWAP의 -1% ~ 0.5% 구간 (VWAP 근처)
+    2. 5분봉 RSI(14) ≤ 40
+    3. 최근 봉 거래량 ≥ 직전 봉 × 1.3
+    4. 최근 5분봉 양봉 전환 (close > open)
+    """
+    if not candles_5min or vwap <= 0 or current_price <= 0:
+        return None
+
+    if not (vwap * 0.99 <= current_price <= vwap * 1.005):
+        return None
+
+    rsi = _rsi(candles_5min, 14)
+    if rsi is None or rsi > 40:
+        return None
+
+    if len(candles_5min) < 2:
+        return None
+    if candles_5min[-1].volume < candles_5min[-2].volume * 1.3:
+        return None
+
+    # 최근 봉 양봉 확인
+    last = candles_5min[-1]
+    if last.close <= last.open:
+        return None
+
+    atr = _atr(candles_5min, 14)
+    stop_loss = (current_price - 1.5 * atr) if atr else current_price * (1 - STOP_LOSS_PCT)
+    target = (current_price + 2.0 * atr) if atr else vwap * 1.03
+
+    return DayTradeSignal(
+        stock_code=stock_code,
+        stock_name=stock_name,
+        strategy="VWAP_BOUNCE",
+        entry_price=current_price,
+        stop_loss=round(stop_loss, 0),
+        target_price=round(target, 0),
+        reason=(
+            f"VWAP 반등: VWAP={vwap:.0f}, RSI={rsi:.1f}, "
+            f"현재={current_price:.0f}"
+        ),
+        confidence=0.65,
+    )
+
+
+def check_rsi_bb_signal(
+    stock_code: str,
+    stock_name: str,
+    candles_5min: List[MinuteCandle],
+    current_price: float,
+) -> Optional[DayTradeSignal]:
+    """5분봉 RSI + 볼린저 과매도 반등 신호
+
+    조건:
+    1. RSI(14) ≤ 30 (강한 과매도)
+    2. 종가 ≤ BB 하단
+    3. 직전 봉 대비 거래량 ≥ 1.3배
+    4. 최근 봉 양봉 (음봉이면 스킵)
+    """
+    if not candles_5min or current_price <= 0:
+        return None
+
+    rsi = _rsi(candles_5min, 14)
+    if rsi is None or rsi > 30:
+        return None
+
+    bb = _bollinger(candles_5min, 20)
+    if bb is None:
+        return None
+    bb_upper, bb_middle, bb_lower = bb
+
+    if current_price > bb_lower * 1.01:
+        return None
+
+    if len(candles_5min) < 2:
+        return None
+    if candles_5min[-1].volume < candles_5min[-2].volume * 1.3:
+        return None
+
+    last = candles_5min[-1]
+    if last.close <= last.open:
+        return None
+
+    atr = _atr(candles_5min, 14)
+    stop_loss = (current_price - 1.5 * atr) if atr else current_price * (1 - STOP_LOSS_PCT)
+    target = bb_middle  # BB 중앙선까지 반등 목표
+
+    return DayTradeSignal(
+        stock_code=stock_code,
+        stock_name=stock_name,
+        strategy="RSI_BB",
+        entry_price=current_price,
+        stop_loss=round(stop_loss, 0),
+        target_price=round(target, 0),
+        reason=(
+            f"5분봉 과매도 반등: RSI={rsi:.1f}, "
+            f"BB하단={bb_lower:.0f}, 현재={current_price:.0f}"
+        ),
+        confidence=0.60,
+    )
+
+
+# ── 청산 신호 ─────────────────────────────────────────────────────────────────
+
+def check_day_trade_exit(
+    entry_price: float,
+    current_price: float,
+    stop_loss: float,
+    target_price: float,
+    highest_since_entry: float,
+    candles_5min: List[MinuteCandle],
+    current_time: time,
+) -> Optional[DayTradeExit]:
+    """데이트레이딩 청산 조건 체크 (우선순위 순)
+
+    1. EOD 강제 청산 (15:20 이후)
+    2. 손절 (현재가 ≤ stop_loss)
+    3. 목표가 달성 (현재가 ≥ target_price)
+    4. 트레일링 스탑 (1.5% 수익 후 ATR 트레일)
+    5. 5분봉 RSI ≥ 70 (과매수 청산)
+    """
+    # 1. EOD 강제 청산
+    if current_time >= EOD_FLAT:
+        return DayTradeExit(
+            action="SELL_ALL",
+            reason=f"EOD 강제 청산 ({current_time.strftime('%H:%M')} ≥ 15:20)",
+        )
+
+    # 2. 손절
+    if current_price <= stop_loss:
+        loss_pct = (current_price - entry_price) / entry_price * 100
+        return DayTradeExit(
+            action="SELL_ALL",
+            reason=f"손절 {loss_pct:.1f}% (현재={current_price:.0f} ≤ 손절가={stop_loss:.0f})",
+        )
+
+    # 3. 목표가 달성
+    if current_price >= target_price:
+        gain_pct = (current_price - entry_price) / entry_price * 100
+        return DayTradeExit(
+            action="SELL_ALL",
+            reason=f"목표가 달성 +{gain_pct:.1f}% (현재={current_price:.0f} ≥ 목표={target_price:.0f})",
+        )
+
+    # 4. 트레일링 스탑 (1.5% 이상 수익 시 발동)
+    profit_pct = (highest_since_entry - entry_price) / entry_price
+    if profit_pct >= TRAILING_TRIGGER:
+        atr = _atr(candles_5min, 14)
+        if atr:
+            trailing_stop = highest_since_entry - TRAILING_ATR_MULT * atr
+            if current_price <= trailing_stop:
+                return DayTradeExit(
+                    action="SELL_ALL",
+                    reason=(
+                        f"트레일링 스탑: 최고={highest_since_entry:.0f}, "
+                        f"트레일={trailing_stop:.0f}, 현재={current_price:.0f}"
+                    ),
+                )
+
+    # 5. 과매수 청산 (RSI ≥ 70)
+    rsi = _rsi(candles_5min, 14)
+    if rsi is not None and rsi >= 70:
+        gain_pct = (current_price - entry_price) / entry_price * 100
+        if gain_pct > COST_PCT * 100:  # 수수료 이상 수익인 경우만
+            return DayTradeExit(
+                action="SELL_ALL",
+                reason=f"과매수 청산: RSI={rsi:.1f}≥70, 수익={gain_pct:.1f}%",
+            )
+
+    return None
+
+
+# ── 포지션 사이징 ─────────────────────────────────────────────────────────────
+
+def calculate_day_trade_position_size(
+    total_assets: float,
+    available_cash: float,
+    current_day_trade_amount: float,
+) -> float:
+    """데이트레이딩 포지션 크기 계산
+
+    - 종목당 최대: 총자산 × 10%
+    - 전체 데이트레이딩 합산: 총자산 × 25% (CLAUDE.md 8.2)
+    - 동시 최대 3종목 (MAX_POSITIONS)
+    """
+    max_total = total_assets * MAX_DAY_TRADE_RATIO
+    remaining_budget = max_total - current_day_trade_amount
+    per_position_max = total_assets * MAX_CAPITAL_RATIO
+    return max(0.0, min(per_position_max, remaining_budget, available_cash))
+
+
+def is_daily_loss_exceeded(
+    total_assets: float,
+    realized_pnl_today: float,
+) -> bool:
+    """일일 손실 한도 초과 여부 (전체 자본 -3%)"""
+    if total_assets <= 0:
+        return False
+    return (realized_pnl_today / total_assets) <= DAILY_LOSS_LIMIT