shuim/auto-stock
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

전략및 버그 수정

Browse Source
This commit is contained in:
shuim
2026-02-22 23:51:10 +09:00
parent 7867ced1b6
commit 81c16a8115
4 changed files with 20 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files

26
backend/app/services/day_trading_strategy.py
View File

@@ -32,7 +32,9 @@ 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%
STOP_LOSS_PCT = 0.02 # ORB 손절 -2%
STOP_LOSS_PCT_REVERSION = 0.025 # VWAP/RSI_BB 평균회귀 전략 손절 -2.5%
# ↑ ORB(-2%)보다 약간 넓게 잡되, 일일 손실 한도(-3%) 이내에서 단일 포지션이 소화 가능하도록 설정
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%
@@ -301,7 +303,7 @@ def check_vwap_bounce_signal(
atr = _atr(candles_5min, 14)
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)
stop_loss = max(raw_stop, current_price * (1 - STOP_LOSS_PCT_REVERSION), 1.0) # 하드 스탑 -2.5% (일일 손실 한도 -3% 이내)
target = (current_price + 2.0 * atr) if atr else vwap * 1.03
return DayTradeSignal(
@@ -359,7 +361,7 @@ def check_rsi_bb_signal(
atr = _atr(candles_5min, 14)
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)
stop_loss = max(raw_stop, current_price * (1 - STOP_LOSS_PCT_REVERSION), 1.0) # 하드 스탑 -2.5% (일일 손실 한도 -3% 이내)
# 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)
@@ -429,14 +431,16 @@ def check_day_trade_exit(
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}"
),
)
else:
trailing_stop = highest_since_entry * (1 - 0.02) # fallback: 최고가 -2% (5분봉 데이터 부족 시)
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)