shuim
a264561576
- 스윙 체결가 확인 전 executed_price NULL + fill_sweep, 진입가 resolve(ActiveTrade↔Portfolio), 0체결/부분체결 매수 장부 원복 - DT 고아 감지(근거 한정)·0체결 매도 복원·stale 점검 확대, 시간손절 -0.3% 원복 - 폴백 손절 ATR 캐시, 거래량부족-차단 신호 매수 차단, 현금 5% 유보 재적용, MDD peak/reset 수정 - KIS 서킷브레이커 청산 우회·경보, db_worker 재큐잉 순서, heartbeat·health-watch 사이드카 - 실시간 WS 재구독·41건 우선순위·다건 프레임 분할, 차트 샘플 제거·당일봉 합성, WS 서브프로토콜 인증 - 프론트: 미관리 그룹·확인 모달·차트 실시간 반영·예수금 표시 정정 - 전문가 에이전트 6종 추가(.claude/agents) - 유닛 스위트 2667 passed (소켓 차단 하), tsc OK Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01Y83Za98XsNw9zuA4FTUytN
169 lines
6.7 KiB
Python
169 lines
6.7 KiB
Python
"""kr_backtest_engine R4: 장중 저가 손절 + 스윙 시간손절 + 모멘텀 전용 청산.
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라이브 적응형/DB 조회는 호출 즉시 예외(거짓 통과 방지). 기대값은 settings 참조.
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"""
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from datetime import date
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import pytest
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from app.core.config import settings
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from app.services import kr_backtest_engine as eng
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from app.services.kr_backtest_engine import (
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BarData,
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KrBacktestEngine,
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MeanReversionBacktest,
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Position,
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check_momentum_exit_backtest_v2,
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check_time_stop_backtest_v2,
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intraday_stop_fill_v2,
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)
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@pytest.fixture(autouse=True)
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def _no_live_state(monkeypatch):
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def boom(*a, **k):
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raise AssertionError("백테스트 청산이 라이브 상태를 읽음")
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import app.services.adaptive_strategy as adp
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import app.services.mean_reversion_strategy as mr
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monkeypatch.setattr(adp, "get_current_adaptive_params", boom)
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monkeypatch.setattr(mr, "resolve_swing_stop_params_v2", boom)
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monkeypatch.setattr(eng, "check_exit_signal", boom)
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monkeypatch.setattr(eng, "calculate_rsi", lambda *a, **k: float(settings.MEAN_REVERSION_RSI_EXIT_THRESHOLD) + 1)
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monkeypatch.setattr(eng, "calculate_bollinger", lambda *a, **k: (20000.0, 20000.0, 8000.0))
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monkeypatch.setattr(eng, "calculate_atr", lambda *a, **k: 10.0)
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def _p(**kw):
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return {**MeanReversionBacktest().default_params(), **kw}
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def _bar(i, o, h, l, c):
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return BarData(trade_date=date.fromordinal(738000 + i), open_price=o, high_price=h,
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low_price=l, close_price=c, volume=1000, stock_code="A")
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def _flat(n, price=10000):
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return [_bar(i, price, price + 5, price - 5, price) for i in range(n)]
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# ---- 순수 함수 ----
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def test_intraday_stop_fill_low_touch_and_gap():
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p = _p(atr_stop_multiplier=settings.ATR_STOP_MULTIPLIER)
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# ATR=10 -> stop = max(10000-2.5*10, 10000*(1-pct)) = 9975
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assert intraday_stop_fill_v2(p, 10000, 10, 10000, 10000, 9980) is None
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base, stop = intraday_stop_fill_v2(p, 10000, 10, 10000, 10000, 9970)
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assert stop == pytest.approx(9975) and base == pytest.approx(9975)
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base, stop = intraday_stop_fill_v2(p, 10000, 10, 10000, 9800, 9700) # 갭다운 -> 시가
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assert base == 9800
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def test_intraday_stop_sign_guard():
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# 양수 손절률이 들어와도 +7% 로 해석되면 안 된다
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p = _p(stop_loss_pct=abs(settings.STOP_LOSS_PERCENT), atr_stop_multiplier=settings.SWING_ATR_STOP_MULT_MAX)
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assert intraday_stop_fill_v2(p, 10000, 10, 10000, 10000, 9990) is None
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def test_time_stop_boundaries_use_settings():
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d = settings.SWING_TIME_STOP_DAYS
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m = settings.SWING_TIME_STOP_MIN_PROFIT_PCT
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assert check_time_stop_backtest_v2(_p(), d - 1, m - 1) is None
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assert check_time_stop_backtest_v2(_p(), d, m + 0.1) is None
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sig = check_time_stop_backtest_v2(_p(), d, m - 0.1)
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assert sig and sig.sell_pct == 1.0 and "시간손절" in sig.reason
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assert check_time_stop_backtest_v2(_p(swing_time_stop_enabled=False), d, 0.0) is None
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def test_momentum_exit_stages():
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p = _p()
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s1 = check_momentum_exit_backtest_v2(p, 11100, 10000, 10, 1.0, 11100)
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assert s1 and s1.action == "SELL_PARTIAL" and s1.sell_pct == 0.30
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assert check_momentum_exit_backtest_v2(p, 11100, 10000, 10, 0.70, 11100) is None
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s2 = check_momentum_exit_backtest_v2(p, 12100, 10000, 10, 0.70, 12100)
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assert s2 and s2.sell_pct == 0.30
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stop = check_momentum_exit_backtest_v2(p, 9000, 10000, 10, 1.0, 10000)
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assert stop and stop.sell_pct == 1.0
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trail = check_momentum_exit_backtest_v2(p, 11000, 10000, 100, 0.40, 11500) # 고점-1.5*ATR=11350
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assert trail and trail.sell_pct == 1.0 and "트레일링" in trail.reason
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# ---- on_bar 통합: 시간손절 우선순위 / 모멘텀 분기 ----
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def _pos(**kw):
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base = dict(stock_code="A", entry_date=date(2024, 1, 1), entry_price=10000.0, quantity=7,
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highest_since_entry=10100.0, remaining_pct=1.0, original_quantity=7)
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base.update(kw)
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return Position(**base)
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def test_time_stop_overrides_partial_signal():
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st = MeanReversionBacktest()
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bars = {"A": _flat(80, 10100)}
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d = settings.SWING_TIME_STOP_DAYS
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o = st.on_bar(70, bars, {"A": _pos(entry_bar_idx=70 - d)}, 0, 1e7, _p(max_positions=1))
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assert o and o[0]["sell_pct"] == 1.0 and "시간손절" in o[0]["reason"] and o[0]["quantity"] == 7
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o = st.on_bar(70, bars, {"A": _pos(entry_bar_idx=70 - d + 1)}, 0, 1e7, _p(max_positions=1))
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assert o and o[0]["sell_pct"] == 0.5
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def test_momentum_position_skips_time_stop():
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st = MeanReversionBacktest()
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bars = {"A": _flat(80, 10100)}
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d = settings.SWING_TIME_STOP_DAYS
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o = st.on_bar(70, bars, {"A": _pos(entry_bar_idx=70 - d, strategy="MOMENTUM_BREAKOUT")},
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0, 1e7, _p(max_positions=1))
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assert o == []
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def test_momentum_position_uses_momentum_exit():
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st = MeanReversionBacktest()
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bars = {"A": _flat(80, 11100)}
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o = st.on_bar(70, bars, {"A": _pos(highest_since_entry=11100.0, strategy="MOMENTUM_BREAKOUT")},
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0, 1e7, _p(max_positions=1))
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assert o and o[0]["sell_pct"] == 0.30 and "모멘텀" in o[0]["reason"]
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# ---- 엔진 A-B: 장중 터치 후 종가 회복 ----
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class _BuyOnce(MeanReversionBacktest):
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def on_bar(self, bar_idx, bars, positions, cash, total_equity, params):
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if bar_idx == 64 and "A" not in positions:
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return [{"action": "BUY", "stock_code": "A", "price": 10000.0, "quantity": 10,
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"reason": "t", "sell_pct": 0.0}]
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return []
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def _run(intraday, bars_list):
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dates = [b.trade_date for b in bars_list]
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params = _p(intraday_stop_enabled=intraday, stop_slippage_pct=0.0)
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res = KrBacktestEngine()._simulate({"A": bars_list}, dates, _BuyOnce(), params, 10_000_000, "KOSPI", 1)
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return [t for t in res.trades if t["side"] == "SELL"]
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def _series(low_bar_open=10000, low=9900):
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bars = _flat(70, 10000)
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bars[67] = _bar(67, low_bar_open, 10005, low, 10000) # 장중 급락 후 종가 회복
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return bars
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def test_engine_ab_intraday_stop_counts():
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on = _run(True, _series())
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off = _run(False, _series())
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assert len(on) == 1 and "장중손절" in on[0]["reason"]
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assert len(off) == 0
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assert on[0]["exit_price"] == pytest.approx(on[0]["entry_price"] - 25.0)
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def test_engine_gap_down_fills_at_open():
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on = _run(True, _series(low_bar_open=9700, low=9600))
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assert len(on) == 1 and on[0]["exit_price"] == pytest.approx(9700.0)
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def test_no_lookahead_atr_uses_prev_bars(monkeypatch):
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seen = []
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def fake_atr(h, l, c, period=14):
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seen.append(len(c))
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return 10.0
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monkeypatch.setattr(eng, "calculate_atr", fake_atr)
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st = MeanReversionBacktest()
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st.intraday_exits_v2(70, {"A": _flat(80)}, {"A": _pos()}, _p())
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assert seen == [70]
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