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feat: strategy parameter sweep and production param optimization

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- Add independent backtest engine (backtester.py) with walk-forward support
- Add backtest sanity check validator (backtest_validator.py)
- Add CLI tools: run_backtest.py, strategy_sweep.py (with --combined mode)
- Fix train-serve skew: unify feature z-score normalization (ml_features.py)
- Add strategy params (SL/TP ATR mult, ADX filter, volume multiplier) to
  config.py, indicators.py, dataset_builder.py, bot.py, backtester.py
- Fix WalkForwardBacktester not propagating strategy params to test folds
- Update production defaults: SL=2.0x, TP=2.0x, ADX=25, Vol=2.5
  (3-symbol combined PF: 0.71 → 1.24, MDD: 65.9% → 17.1%)
- Retrain ML models with new strategy parameters

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
21in7
2026-03-06 23:39:43 +09:00
parent 15fb9c158a
commit 02e41881ac
20 changed files with 2153 additions and 33 deletions
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6
tests/test_dataset_builder.py
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@@ -230,7 +230,7 @@ def signal_producing_df():
def test_hold_negative_labels_are_all_zero(signal_producing_df):
"""HOLD negative 샘플의 label은 전부 0이어야 한다."""
result = generate_dataset_vectorized(signal_producing_df, negative_ratio=3)
result = generate_dataset_vectorized(signal_producing_df, negative_ratio=3, adx_threshold=0, volume_multiplier=1.5)
assert len(result) > 0, "시그널이 발생하지 않아 테스트 불가"
assert "source" in result.columns
hold_neg = result[result["source"] == "hold_negative"]
@@ -241,8 +241,8 @@ def test_hold_negative_labels_are_all_zero(signal_producing_df):
def test_signal_samples_preserved_after_sampling(signal_producing_df):
"""계층적 샘플링 후 source='signal' 샘플이 하나도 버려지지 않아야 한다."""
result_signal_only = generate_dataset_vectorized(signal_producing_df, negative_ratio=0)
result_with_hold = generate_dataset_vectorized(signal_producing_df, negative_ratio=3)
result_signal_only = generate_dataset_vectorized(signal_producing_df, negative_ratio=0, adx_threshold=0, volume_multiplier=1.5)
result_with_hold = generate_dataset_vectorized(signal_producing_df, negative_ratio=3, adx_threshold=0, volume_multiplier=1.5)
assert len(result_signal_only) > 0, "시그널이 발생하지 않아 테스트 불가"
assert "source" in result_with_hold.columns