수정사항

backend/app/api/endpoints/recommendations.py

@@ -19,6 +19,7 @@ from app.core.market_schedule import is_market_open
 from app.services.mean_reversion_strategy import (
     MarketRegime, detect_market_regime, check_buy_signal,
     calculate_atr, calculate_adx, calculate_rsi, calculate_bollinger, is_reversal_candle,
+    calculate_position_size_v2,
 )
 from app.services.mdd_manager import mdd_manager
 from app.services.loss_tracker import loss_tracker
@@ -1319,6 +1320,7 @@ async def get_rule_based_recommendations_from_db(db: AsyncSession):
                 "change_rate": round(float(stock.change_rate), 2) if stock.change_rate else 0,
                 "volume": stock.volume,
                 "rsi": round(float(stock.rsi), 2) if stock.rsi else None,
+                "adx_14": round(float(stock.adx_14), 2) if stock.adx_14 else None,
                 "ma5": int(stock.ma5) if stock.ma5 else None,
                 "ma20": int(stock.ma20) if stock.ma20 else None,
                 "stochastic_k": round(float(stock.stochastic_k), 2) if stock.stochastic_k else None,
@@ -1332,10 +1334,8 @@ async def get_rule_based_recommendations_from_db(db: AsyncSession):
                 "rule_name": rule.name,
                 "rule_description": rule.description,
                 "rule_priority": rule.priority,
-                "position_ratio": actions.get("position_sizing", {}).get("target_ratio", 0.10),
                 "take_profit": actions.get("take_profit", 3.0),
                 "stop_loss": actions.get("stop_loss", -1.5),
-                "max_position_pct": actions.get("max_position_pct", 0.12),
                 "max_add_buys": actions.get("max_add_buys", 3),
                 "add_buy_cooldown_min": actions.get("add_buy_cooldown_min", 15),
             }
@@ -1382,6 +1382,7 @@ async def get_rule_based_recommendations_from_db(db: AsyncSession):
                 "change_rate": round(float(stock.change_rate), 2) if stock.change_rate else 0,
                 "volume": stock.volume,
                 "rsi": round(float(stock.rsi), 2) if stock.rsi else None,
+                "adx_14": round(float(stock.adx_14), 2) if stock.adx_14 else None,
                 "ma5": int(stock.ma5) if stock.ma5 else None,
                 "ma20": int(stock.ma20) if stock.ma20 else None,
                 "stochastic_k": round(float(stock.stochastic_k), 2) if stock.stochastic_k else None,
@@ -1395,10 +1396,8 @@ async def get_rule_based_recommendations_from_db(db: AsyncSession):
                 "rule_name": "고점수 분석 종목",
                 "rule_description": "매매 규칙 조건 미충족 - 분석 점수 기준 상위 종목",
                 "rule_priority": 99,
-                "position_ratio": 0.10,
                 "take_profit": 3.0,
                 "stop_loss": -1.5,
-                "max_position_pct": 0.10,
                 "max_add_buys": 2,
                 "add_buy_cooldown_min": 30,
             }
@@ -1900,8 +1899,9 @@ async def execute_auto_trade_background(recommendations_response: dict, db: Asyn
             #     continue
 
             try:
-                # 🐻 하락장 포지션 축소 비율 전달
+                # 시장 레짐 정보 전달 (포지션 사이징에서 regime 복원에 사용)
                 stock["_position_multiplier"] = position_multiplier
+                stock["_regime_str"] = market_regime.get("regime_200d", "bear") if market_regime else "bear"
                 result = await execute_auto_trade(stock, db)
                 total_processed += 1
                 
@@ -2174,10 +2174,7 @@ async def execute_auto_trade(stock: dict, db: AsyncSession):
                 logger.info(f"🚫 일일 매매 한도 초과: {stock_name} 당일 {daily_buy_count}/{max_daily_trades}회")
                 return {"action": "HOLD", "stock": stock_name, "reason": "daily_trade_limit"}
 
-            # 기본 파라미터 (권장 안전 프로파일, 규칙에서 오버라이드 가능)
+            cooldown_min = int(stock.get("add_buy_cooldown_min", 30) or 30)  # 추가매수 쿨다운(분)
-            target_ratio = float(stock.get("position_ratio", 0.10) or 0.10)  # 목표 비중(자산 대비)
-            max_position_pct = float(stock.get("max_position_pct", 0.12) or 0.12)  # 최대 비중 캡
-            cooldown_min = int(stock.get("add_buy_cooldown_min", 30) or 30)  # 추가매수 쿨다운(분) - 30분으로 증가
 
             # 🔥 쿨다운 체크 (보유 여부와 관계없이 항상 체크)
             # 포트폴리오 동기화가 느릴 수 있으므로, DB 거래 내역 기준으로 체크
@@ -2220,23 +2217,21 @@ async def execute_auto_trade(stock: dict, db: AsyncSession):
                 logger.info(f"🚫 MCP AI 매수 거부: {stock_name} ({mcp_reason})")
                 return {"action": "HOLD", "stock": stock_name, "reason": mcp_reason}
 
-            if total_assets > 0:
+            # 동적 포지션 사이징 (CLAUDE.md 섹션 6.1: 종목당 최대 4%, regime/RSI/ADX 반영)
-                current_value = (holding.quantity * current_price) if holding else 0.0
+            current_value = float(holding.quantity * current_price) if holding else 0.0
-                desired_value = total_assets * target_ratio
+            regime_str = stock.get("_regime_str", "bear")
-                max_allowed_value = total_assets * max_position_pct
+            regime = MarketRegime.BULL if regime_str == "bull" else MarketRegime.BEAR
-                add_value = max(0.0, desired_value - current_value)
+            invest_amount = calculate_position_size_v2(
-                add_value = min(add_value, max(0.0, max_allowed_value - current_value))
+                total_assets=total_assets,
-                invest_amount = min(add_value, available_cash)
+                available_cash=available_cash,
-            else:
+                current_strategy_allocation=current_value,
-                # 총자산 미확정 시 보수적으로 현금의 10%
+                regime=regime,
-                invest_amount = available_cash * 0.10
+                rsi=stock.get("rsi"),
-
+                adx=stock.get("adx_14"),
-            # 🐻 하락장 포지션 축소 적용
+            )
-            pos_mult = float(stock.get("_position_multiplier", 1.0))
+            if invest_amount <= 0 and total_assets <= 0:
-            if pos_mult < 1.0:
+                # 총자산 미확정 시 보수적으로 현금의 4%
-                original_amount = invest_amount
+                invest_amount = available_cash * 0.04
-                invest_amount = invest_amount * pos_mult
-                logger.info(f"🐻 하락장 포지션 축소: {stock_name} {original_amount:,.0f}원 → {invest_amount:,.0f}원 (x{pos_mult})")
 
             quantity = int(invest_amount / current_price)
 

backend/app/services/mean_reversion_strategy.py

@@ -381,6 +381,46 @@ def calculate_position_size(
     return result
 
 
+def calculate_position_size_v2(
+    total_assets: float,
+    available_cash: float,
+    current_strategy_allocation: float,
+    regime: MarketRegime,
+    rsi: Optional[float] = None,
+    adx: Optional[float] = None,
+    max_per_position: float = 0.04,
+    max_strategy_capital_bull: float = 0.70,
+    max_strategy_capital_bear: float = 0.30,
+) -> float:
+    """CLAUDE.md 섹션 6.1 + RSI/ADX 동적 포지션 사이징
+
+    calculate_position_size 기반으로 RSI·ADX 보정 추가:
+    - RSI ≤ 20: ×1.2 (깊은 과매도 = 더 유리한 진입)
+    - RSI ≤ 25: ×1.1
+    - ADX > 30: ×0.8 (강추세 중 평균회귀 위험 = 포지션 축소)
+    보정 후에도 종목당 4% 상한 재적용 (CLAUDE.md 절대 룰)
+    """
+    base = calculate_position_size(
+        total_assets, available_cash, current_strategy_allocation,
+        regime, max_per_position, max_strategy_capital_bull, max_strategy_capital_bear,
+    )
+    if base <= 0:
+        return 0.0
+
+    mult = 1.0
+    if rsi is not None:
+        if rsi <= 20:
+            mult *= 1.2
+        elif rsi <= 25:
+            mult *= 1.1
+
+    if adx is not None and adx > 30:
+        mult *= 0.8
+
+    max_allowed = total_assets * max_per_position
+    return min(base * mult, max_allowed, available_cash)
+
+
 def check_h1_breakout_with_ma5(
     h1_closes: List[float],
     h1_current_close: float,

backend/app/services/watchlist.py

@@ -73,6 +73,7 @@ async def initialize_watchlist(
     top_codes  = {row.stock_code for row in top_stocks}
 
     added          = 0
+    scanner_added  = 0
     added_codes: set[str] = set()
     scanner_slots  = SCANNER_PRIORITY_SLOTS
 
@@ -90,6 +91,7 @@ async def initialize_watchlist(
         added_codes.add(row.stock_code)
         scanner_slots -= 1
         added += 1
+        scanner_added += 1
 
     # --- 2순위: 스캐너에만 있고 score 랭킹에는 없는 종목 (최대 scanner_slots개) ---
     extra = list(scanner_tickers - top_codes)
@@ -113,6 +115,7 @@ async def initialize_watchlist(
             ))
             added_codes.add(row.stock_code)
             added += 1
+            scanner_added += 1
 
     # --- 3순위: 나머지 슬롯 — score 상위 순 ---
     remaining = WATCHLIST_INIT_SIZE - added
@@ -132,12 +135,11 @@ async def initialize_watchlist(
 
     await session.commit()
 
-    scanner_added = added - remaining if remaining >= 0 else added
     logger.info(
         "📋 워치리스트 초기화: %d개 (scanner_signal=%d, morning_batch=%d, 기준일: %s)",
         added,
-        len([c for c in added_codes]),  # 로깅용 (simplified)
+        scanner_added,
-        remaining if remaining >= 0 else 0,
+        added - scanner_added,
         analysis_date,
     )
     return added