refactor(phase2): Add DayTradingStrategy example and indicators module

backend/app/strategy/strategies/day_trading.py

@@ -0,0 +1,181 @@
+"""
+Day Trading Strategy (Refactored)
+
+기존 day_trading_strategy.py를 BaseStrategy 구조로 변환
+
+전략:
+  - ORB (Opening Range Breakout)
+  - VWAP Bounce
+  - RSI+BB 과매도 반등
+"""
+import logging
+from typing import Optional, Dict, Any
+from datetime import datetime, time
+import pytz
+
+from app.strategy.base_strategy import BaseStrategy
+from app.strategy.signal import Signal, SignalType
+from app.core.config import settings
+
+logger = logging.getLogger(__name__)
+
+
+class DayTradingStrategy(BaseStrategy):
+    """
+    데이트레이딩 전략 (단기 스칼핑)
+    
+    09:00~15:20 간 급등/급락 모멘텀 포착
+    """
+    
+    DEFAULT_CONFIG = {
+        "max_positions": 3,
+        "max_capital_ratio": 0.1,  # 종목당 10%
+        "orb_breakout_margin": 0.002,  # 0.2% 돌파
+        "stop_loss_pct": 0.025,  # -2.5%
+        "entry_cutoff": "14:30",  # 신규 진입 마감
+        "eod_flat": "15:20",  # EOD 청산
+    }
+    
+    def __init__(self, name: str = "DayTrading", config: Optional[Dict[str, Any]] = None):
+        merged_config = {**self.DEFAULT_CONFIG, **(config or {})}
+        super().__init__(name, merged_config)
+        
+        self.kst = pytz.timezone("Asia/Seoul")
+        self.entry_cutoff = self._parse_time(self.config["entry_cutoff"])
+        self.eod_flat = self._parse_time(self.config["eod_flat"])
+    
+    def _parse_time(self, time_str: str) -> time:
+        """문자열 "HH:MM" → time 객체"""
+        h, m = map(int, time_str.split(":"))
+        return time(h, m)
+    
+    async def analyze(
+        self,
+        stock_code: str,
+        market_data: Dict[str, Any],
+        portfolio_data: Optional[Dict[str, Any]] = None
+    ) -> Optional[Signal]:
+        """
+        시장 데이터 분석
+        
+        Args:
+            market_data: {
+                "current_price": float,
+                "minute_chart": List[dict],  # 1분봉
+                "orderbook": dict,
+                "stock_name": str,
+            }
+            portfolio_data: {
+                "holding_quantity": int,
+                "avg_price": float,
+            }
+        """
+        current_time = datetime.now(self.kst).time()
+        
+        # 1. 시간 체크
+        if current_time >= self.eod_flat:
+            # EOD 청산 신호
+            if portfolio_data and portfolio_data.get("holding_quantity", 0) > 0:
+                return Signal(
+                    stock_code=stock_code,
+                    signal_type=SignalType.SELL,
+                    strategy_name=self.name,
+                    timestamp=datetime.now(self.kst),
+                    quantity=portfolio_data["holding_quantity"],
+                    price=None,  # 시장가
+                    confidence=1.0,
+                    reason="EOD 강제 청산"
+                )
+            return None
+        
+        if current_time >= self.entry_cutoff:
+            # 신규 진입 차단
+            return None
+        
+        # 2. 현재 보유 중이면 청산 조건 체크
+        if portfolio_data and portfolio_data.get("holding_quantity", 0) > 0:
+            exit_signal = self._check_exit(
+                stock_code,
+                market_data,
+                portfolio_data
+            )
+            if exit_signal:
+                return exit_signal
+            return None  # 보유 유지
+        
+        # 3. 신규 진입 검토
+        return self._check_entry(stock_code, market_data)
+    
+    def _check_entry(self, stock_code: str, market_data: Dict[str, Any]) -> Optional[Signal]:
+        """신규 진입 신호 체크"""
+        current_price = market_data.get("current_price")
+        minute_chart = market_data.get("minute_chart", [])
+        
+        if not current_price or not minute_chart:
+            return None
+        
+        # 예시: ORB 전략 (간단화)
+        # 실제는 기존 check_orb_signal() 등을 호출
+        
+        # 임시 구현: 단순 예시
+        if len(minute_chart) >= 30:  # 09:00~09:30 데이터 있음
+            orb_high = max(c.get("high", 0) for c in minute_chart[:30])
+            
+            if current_price > orb_high * (1 + self.config["orb_breakout_margin"]):
+                stop_loss = current_price * (1 - self.config["stop_loss_pct"])
+                target = current_price * 1.03  # +3% 목표
+                
+                return Signal(
+                    stock_code=stock_code,
+                    signal_type=SignalType.BUY,
+                    strategy_name=self.name,
+                    timestamp=datetime.now(self.kst),
+                    quantity=None,  # OrderManager가 계산
+                    price=current_price,
+                    confidence=0.75,
+                    stop_loss_price=stop_loss,
+                    take_profit_price=target,
+                    reason=f"ORB 돌파: {orb_high:.0f} → {current_price:.0f}",
+                    metadata={"strategy_type": "ORB"}
+                )
+        
+        return None
+    
+    def _check_exit(self, stock_code: str, market_data: Dict[str, Any], portfolio_data: Dict[str, Any]) -> Optional[Signal]:
+        """청산 신호 체크"""
+        current_price = market_data.get("current_price")
+        avg_price = portfolio_data.get("avg_price")
+        quantity = portfolio_data.get("holding_quantity")
+        
+        if not current_price or not avg_price or not quantity:
+            return None
+        
+        # 손절 체크
+        stop_loss = avg_price * (1 - self.config["stop_loss_pct"])
+        if current_price <= stop_loss:
+            return Signal(
+                stock_code=stock_code,
+                signal_type=SignalType.STOP_LOSS,
+                strategy_name=self.name,
+                timestamp=datetime.now(self.kst),
+                quantity=quantity,
+                price=None,  # 시장가
+                confidence=1.0,
+                reason=f"손절: {current_price:.0f} ≤ {stop_loss:.0f}"
+            )
+        
+        # 익절 체크
+        target = avg_price * 1.03
+        if current_price >= target:
+            return Signal(
+                stock_code=stock_code,
+                signal_type=SignalType.TAKE_PROFIT,
+                strategy_name=self.name,
+                timestamp=datetime.now(self.kst),
+                quantity=quantity,
+                price=None,
+                confidence=1.0,
+                reason=f"목표가 도달: {current_price:.0f} ≥ {target:.0f}"
+            )
+        
+        return None