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전략수정 및 버그수정

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shuim
2026-02-22 23:29:22 +09:00
parent d49c6209cb
commit 7867ced1b6
3 changed files with 25 additions and 14 deletions
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22
backend/app/services/day_trading_strategy.py
View File

@@ -115,13 +115,13 @@ def aggregate_to_5min(candles: List[MinuteCandle]) -> List[MinuteCandle]:
if not candles:
return []
buckets: Dict[int, List[MinuteCandle]] = {}
buckets: Dict[tuple, 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
key = (c.date, (h * 60 + m) // 5) # 날짜 포함 → 다른 날 캔들 혼합 방지
buckets.setdefault(key, []).append(c)
result: List[MinuteCandle] = []
@@ -234,9 +234,11 @@ def check_orb_signal(
if recent_vol < orb.avg_vol_per_min * 1.5:
return None
# 직전 5분봉 양봉 확인
# 직전 5분봉 양봉 확인 (5분봉 2개 이상 없으면 보수적으로 차단)
candles_5m = aggregate_to_5min(candles_1min)
if len(candles_5m) >= 2 and candles_5m[-2].close < candles_5m[-2].open:
if len(candles_5m) < 2:
return None # 데이터 부족 시 진입 차단
if 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))
@@ -298,7 +300,8 @@ def check_vwap_bounce_signal(
return None
atr = _atr(candles_5min, 14)
stop_loss = (current_price - 1.5 * atr) if atr else current_price * (1 - STOP_LOSS_PCT)
raw_stop = (current_price - 1.5 * atr) if atr else current_price * (1 - STOP_LOSS_PCT)
stop_loss = max(raw_stop, current_price * (1 - STOP_LOSS_PCT * 2), 1.0)
target = (current_price + 2.0 * atr) if atr else vwap * 1.03
return DayTradeSignal(
@@ -355,8 +358,13 @@ def check_rsi_bb_signal(
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
raw_stop = (current_price - 1.5 * atr) if atr else current_price * (1 - STOP_LOSS_PCT)
stop_loss = max(raw_stop, current_price * (1 - STOP_LOSS_PCT * 2), 1.0)
# 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)
if target <= current_price: # 방어 로직 (stop_loss ≥ current_price 극단 케이스)
return None
return DayTradeSignal(
stock_code=stock_code,

13
backend/app/services/mean_reversion_strategy.py
View File

@@ -210,7 +210,7 @@ def check_buy_signal(
if regime == MarketRegime.BULL:
rsi_ok = rsi <= 30 # ← 25 → 30으로 완화: 진입 기회 ~2배 증가
vol_ok = current_volume >= avg_volume_20d * 2 # 거래량 20일평균 200% 이상
if rsi_ok or vol_ok:
if rsi_ok or (vol_ok and rsi <= 50): # vol_ok 단독 시 RSI 50 상한 (과열 진입 차단)
bb_low_minus = bb_lower * 0.97 # -3%
bb_low_plus = bb_lower * 1.015 # +1.5%
if bb_low_minus <= close <= bb_low_plus:
@@ -299,16 +299,17 @@ def check_exit_signal(
# ── 3. 2차 익절: 1차 완료 후 ─────────────────────────────────────
if remaining_pct <= threshold:
# 3a. 트레일링 스탑: 취고가 대비 -3% 하락 시 잔여 전량 청산
# 수익 구존 보장 위해 진입가 위 구간에서만 적용
# 3a. 트레일링 스탑: 최고가 대비 -3% 하락 시 잔여 전량 청산
# close > entry_price 조건 제거 → dead zone 차단
# (entry 아래로 떨어져도 trailing_high가 entry보다 높으면 즉시 청산)
if trailing_high is not None and trailing_high > entry_price:
trail_stop = trailing_high * 0.97
if close < trail_stop and close > entry_price:
if close < trail_stop:
return ExitSignal(
action="SELL_ALL",
reason=(
f"트레일링 청산: close={close:.0f} < 취고가×0.97={trail_stop:.0f} "
f"(취고가={trailing_high:.0f})"
f"트레일링 청산: close={close:.0f} < 최고가×0.97={trail_stop:.0f} "
f"(최고가={trailing_high:.0f})"
),
sell_pct=1.0,
)