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shuim
2026-04-09 08:42:57 +09:00
parent 6b1e5a79c9
commit 3965760021
3 changed files with 17 additions and 21 deletions
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25
backend/app/services/day_trading_strategy.py
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@@ -341,17 +341,14 @@ def check_orb_signal(
# [P1] ORB 손절: ATR 하한 + 하드 스탑 상한 클램프
atr_orb = _atr(aggregate_to_5min(candles_1min), 14)
hard_stop = current_price * (1 - settings.DAY_TRADE_REVERSION_STOP_LOSS_PCT) # 상한 클램프
orb_stop = max(orb.low, current_price * (1 - settings.DAY_TRADE_ORB_STOP_LOSS_PCT))
# ATR 기반 하한: 최소 ATR 손절폭 확보 (수수료 커버)
if atr_orb:
atr_floor = current_price - settings.DAY_TRADE_ORB_ATR_FLOOR_MULT * atr_orb
orb_stop = max(orb_stop, atr_floor)
# 상한 클램프: 일일 손실 한도 대비 종목당 최대 한도
stop_loss = max(orb_stop, hard_stop)
# 최소 손절폭 보장: ATR/ORB가 너무 좁으면 노이즈에 즉시 손절 → 최소 -1.0% 확보
# 최소 손절폭 보장: 노이즈 손절 방지
min_stop = current_price * (1 - settings.DAY_TRADE_MIN_STOP_LOSS_PCT)
stop_loss = min(stop_loss, min_stop)
stop_loss = min(orb_stop, min_stop)
risk = current_price - stop_loss
if risk <= 0:
return None # 손절폭이 0 이하면 진입 무의미
@@ -412,12 +409,11 @@ def check_vwap_bounce_signal(
return None
atr = _atr(candles_5min, 14)
raw_stop = (current_price - settings.DAY_TRADE_VWAP_ATR_MULT * atr) if atr else current_price * (1 - settings.DAY_TRADE_ORB_STOP_LOSS_PCT)
hard_stop_vwap = current_price * (1 - settings.DAY_TRADE_REVERSION_STOP_LOSS_PCT)
stop_loss = max(raw_stop, hard_stop_vwap, 1.0) # 타이트한 쪽 = 진입가에 가까운 = 높은 가격, 최소 1원 보장
# 최소 손절폭 보장: ATR이 너무 작으면 노이즈에 즉시 손절 → 최소 -1.0% 확보
raw_stop = (current_price - settings.DAY_TRADE_VWAP_ATR_MULT * atr) if atr else current_price * (1 - settings.DAY_TRADE_REVERSION_STOP_LOSS_PCT)
# 최소 손절폭 보장: 노이즈 손절 방지
min_stop = current_price * (1 - settings.DAY_TRADE_MIN_STOP_LOSS_PCT)
stop_loss = min(stop_loss, min_stop)
stop_loss = min(raw_stop, min_stop)
stop_loss = max(stop_loss, 1.0) # 최소 1원 보장
target = (current_price + settings.DAY_TRADE_TARGET_MULTIPLIER * atr) if atr else vwap * 1.03
return DayTradeSignal(
@@ -474,12 +470,11 @@ def check_rsi_bb_signal(
return None
atr = _atr(candles_5min, 14)
raw_stop = (current_price - settings.DAY_TRADE_RSI_BB_ATR_MULT * atr) if atr else current_price * (1 - settings.DAY_TRADE_ORB_STOP_LOSS_PCT)
hard_stop_rsi = current_price * (1 - settings.DAY_TRADE_REVERSION_STOP_LOSS_PCT)
stop_loss = max(raw_stop, hard_stop_rsi, 1.0) # 타이트한 쪽 = 진입가에 가까운 = 높은 가격, 최소 1원 보장
# 최소 손절폭 보장: ATR이 너무 작으면 노이즈에 즉시 손절 → 최소 -1.0% 확보
raw_stop = (current_price - settings.DAY_TRADE_RSI_BB_ATR_MULT * atr) if atr else current_price * (1 - settings.DAY_TRADE_REVERSION_STOP_LOSS_PCT)
# 최소 손절폭 보장: 노이즈 손절 방지
min_stop = current_price * (1 - settings.DAY_TRADE_MIN_STOP_LOSS_PCT)
stop_loss = min(stop_loss, min_stop)
stop_loss = min(raw_stop, min_stop)
stop_loss = max(stop_loss, 1.0) # 최소 1원 보장
# 최소 1.5R 보장: bb_middle이 너무 가까우면 R:R 확보를 위해 목표 상향
risk = current_price - stop_loss
target = max(bb_middle, current_price + risk * 1.5) # 1.5R 보장