[2026-05-27] 포맷 후 복구 설치 스크립트 추가

2026-05-27 16:53:52 +09:00
parent 04577c63f1
commit 29db1bfcab
135 changed files with 2909 additions and 251 deletions
@@ -0,0 +1,128 @@
+"""
+Export entry snapshots joined with trade outcomes for later model training.
+
+Usage:
+    python scripts/export_training_dataset.py
+    python scripts/export_training_dataset.py data/training_dataset.csv
+"""
+import csv
+import os
+import sys
+from pathlib import Path
+
+
+ROOT = Path(__file__).resolve().parent.parent
+sys.path.insert(0, str(ROOT))
+
+from app.db.models import get_conn, init_db
+
+
+DEFAULT_OUT = ROOT / "data" / "training_dataset.csv"
+
+
+def export_csv(out_path: Path):
+    init_db()
+    out_path.parent.mkdir(parents=True, exist_ok=True)
+
+    query = """
+        WITH post AS (
+            SELECT
+                trade_id,
+                MAX(CASE WHEN elapsed_sec = 60 THEN current_price END) AS price_1m,
+                MAX(CASE WHEN elapsed_sec = 60 THEN return_pct END) AS ret_1m,
+                MAX(CASE WHEN elapsed_sec = 60 THEN mfe_pct END) AS mfe_1m,
+                MAX(CASE WHEN elapsed_sec = 60 THEN mae_pct END) AS mae_1m,
+                MAX(CASE WHEN elapsed_sec = 180 THEN current_price END) AS price_3m,
+                MAX(CASE WHEN elapsed_sec = 180 THEN return_pct END) AS ret_3m,
+                MAX(CASE WHEN elapsed_sec = 180 THEN mfe_pct END) AS mfe_3m,
+                MAX(CASE WHEN elapsed_sec = 180 THEN mae_pct END) AS mae_3m,
+                MAX(CASE WHEN elapsed_sec = 300 THEN current_price END) AS price_5m,
+                MAX(CASE WHEN elapsed_sec = 300 THEN return_pct END) AS ret_5m,
+                MAX(CASE WHEN elapsed_sec = 300 THEN mfe_pct END) AS mfe_5m,
+                MAX(CASE WHEN elapsed_sec = 300 THEN mae_pct END) AS mae_5m,
+                MAX(CASE WHEN elapsed_sec = 600 THEN current_price END) AS price_10m,
+                MAX(CASE WHEN elapsed_sec = 600 THEN return_pct END) AS ret_10m,
+                MAX(CASE WHEN elapsed_sec = 600 THEN mfe_pct END) AS mfe_10m,
+                MAX(CASE WHEN elapsed_sec = 600 THEN mae_pct END) AS mae_10m
+            FROM post_entry_snapshots
+            GROUP BY trade_id
+        )
+        SELECT
+            s.trade_id,
+            s.date,
+            s.ticker,
+            s.name,
+            s.entry_time,
+            s.current_price,
+            s.entry_price,
+            s.target_price,
+            s.stop_price,
+            s.today_open,
+            s.prev_high,
+            s.prev_low,
+            s.prev_amount,
+            s.volume,
+            s.change_pct,
+            s.market_sentiment,
+            s.sentiment_score,
+            s.risk_level,
+            s.trade_allowed,
+            s.hot_sectors,
+            s.avoid_sectors,
+            s.boosted_tickers,
+            s.blacklist_tickers,
+            s.ai_boosted,
+            s.ai_win_score,
+            s.ai_stop_loss_score,
+            s.ai_model_version,
+            s.position_size_multiplier,
+            s.combined_multiplier,
+            s.entry_reason,
+            post.price_1m,
+            post.ret_1m,
+            post.mfe_1m,
+            post.mae_1m,
+            post.price_3m,
+            post.ret_3m,
+            post.mfe_3m,
+            post.mae_3m,
+            post.price_5m,
+            post.ret_5m,
+            post.mfe_5m,
+            post.mae_5m,
+            post.price_10m,
+            post.ret_10m,
+            post.mfe_10m,
+            post.mae_10m,
+            t.exit_time,
+            t.exit_price,
+            t.quantity,
+            t.exit_reason,
+            t.pnl,
+            CASE WHEN t.pnl > 0 THEN 1 ELSE 0 END AS label_win,
+            CASE WHEN t.exit_reason = 'SL' THEN 1 ELSE 0 END AS label_stop_loss
+        FROM entry_snapshots s
+        LEFT JOIN trades t ON t.id = s.trade_id
+        LEFT JOIN post ON post.trade_id = s.trade_id
+        ORDER BY s.date, s.entry_time, s.ticker
+    """
+
+    with get_conn() as conn:
+        conn.row_factory = None
+        cur = conn.execute(query)
+        headers = [d[0] for d in cur.description]
+        rows = cur.fetchall()
+
+    with out_path.open("w", newline="", encoding="utf-8-sig") as f:
+        writer = csv.writer(f)
+        writer.writerow(headers)
+        writer.writerows(rows)
+
+    print(f"exported {len(rows)} rows -> {out_path}")
+
+
+if __name__ == "__main__":
+    target = Path(sys.argv[1]) if len(sys.argv) > 1 else DEFAULT_OUT
+    if not target.is_absolute():
+        target = ROOT / target
+    export_csv(target)