diff --git a/.env.example b/.env.example index 6abce5e..ecea922 100644 --- a/.env.example +++ b/.env.example @@ -8,11 +8,25 @@ DISCORD_WEBHOOK_URL= ML_THRESHOLD=0.55 NO_ML_FILTER=true MAX_SAME_DIRECTION=2 +# Global defaults (fallback when no per-symbol override) ATR_SL_MULT=2.0 ATR_TP_MULT=2.0 SIGNAL_THRESHOLD=3 ADX_THRESHOLD=25 VOL_MULTIPLIER=2.5 + +# Per-symbol strategy params (2026-03-17 sweep optimized) +ATR_SL_MULT_XRPUSDT=1.5 +ATR_TP_MULT_XRPUSDT=4.0 +ADX_THRESHOLD_XRPUSDT=30 + +ATR_SL_MULT_TRXUSDT=1.0 +ATR_TP_MULT_TRXUSDT=4.0 +ADX_THRESHOLD_TRXUSDT=30 + +ATR_SL_MULT_DOGEUSDT=2.0 +ATR_TP_MULT_DOGEUSDT=2.0 +ADX_THRESHOLD_DOGEUSDT=30 DASHBOARD_API_URL=http://10.1.10.24:8000 BINANCE_TESTNET_API_KEY= BINANCE_TESTNET_API_SECRET= diff --git a/data/dogeusdt/combined_15m.parquet b/data/dogeusdt/combined_15m.parquet index 80cb2e1..a407383 100644 Binary files a/data/dogeusdt/combined_15m.parquet and b/data/dogeusdt/combined_15m.parquet differ diff --git a/data/trxusdt/combined_15m.parquet b/data/trxusdt/combined_15m.parquet index 35ad389..5cd175d 100644 Binary files a/data/trxusdt/combined_15m.parquet and b/data/trxusdt/combined_15m.parquet differ diff --git a/data/xrpusdt/combined_15m.parquet b/data/xrpusdt/combined_15m.parquet index 9a85adb..182a534 100644 Binary files a/data/xrpusdt/combined_15m.parquet and b/data/xrpusdt/combined_15m.parquet differ diff --git a/results/dogeusdt/strategy_sweep_20260317_172011.json b/results/dogeusdt/strategy_sweep_20260317_172011.json new file mode 100644 index 0000000..7f8e350 --- /dev/null +++ b/results/dogeusdt/strategy_sweep_20260317_172011.json @@ -0,0 +1,7511 @@ +[ + { + "params": { + "atr_sl_mult": 2.0, + "atr_tp_mult": 2.0, + "signal_threshold": 3, + "adx_threshold": 30, + "volume_multiplier": 2.5 + }, + "summary": { + "total_trades": 24, + "total_pnl": 402.2273, + "return_pct": 40.22, + "win_rate": 66.67, + "avg_win": 56.515, + "avg_loss": -62.7517, + "profit_factor": 1.8, + "max_drawdown_pct": 14.13, + "sharpe_ratio": 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"max_drawdown_pct": 0.0, + "sharpe_ratio": 0.0, + "total_fees": 0.0, + "close_reasons": {} + } + } +] \ No newline at end of file diff --git a/src/bot.py b/src/bot.py index 40604cb..320da94 100644 --- a/src/bot.py +++ b/src/bot.py @@ -18,6 +18,7 @@ class TradingBot: def __init__(self, config: Config, symbol: str = None, risk: RiskManager = None): self.config = config self.symbol = symbol or config.symbol + self.strategy = config.get_symbol_params(self.symbol) self.exchange = BinanceFuturesClient(config, symbol=self.symbol) self.notifier = DiscordNotifier(config.discord_webhook_url) self.risk = risk or RiskManager(config) @@ -141,9 +142,9 @@ class TradingBot: df_with_indicators = ind.calculate_all() raw_signal, signal_detail = ind.get_signal( df_with_indicators, - signal_threshold=self.config.signal_threshold, - adx_threshold=self.config.adx_threshold, - volume_multiplier=self.config.volume_multiplier, + signal_threshold=self.strategy.signal_threshold, + adx_threshold=self.strategy.adx_threshold, + volume_multiplier=self.strategy.volume_multiplier, ) current_price = df_with_indicators["close"].iloc[-1] @@ -198,8 +199,8 @@ class TradingBot: logger.info(f"[{self.symbol}] 포지션 크기: 잔고={per_symbol_balance:.2f}/{balance:.2f} USDT, 증거금비율={margin_ratio:.1%}, 수량={quantity}") stop_loss, take_profit = Indicators(df).get_atr_stop( df, signal, price, - atr_sl_mult=self.config.atr_sl_mult, - atr_tp_mult=self.config.atr_tp_mult, + atr_sl_mult=self.strategy.atr_sl_mult, + atr_tp_mult=self.strategy.atr_tp_mult, ) notional = quantity * price @@ -429,7 +430,12 @@ class TradingBot: self._is_reentering = False async def run(self): - logger.info(f"[{self.symbol}] 봇 시작, 레버리지 {self.config.leverage}x") + s = self.strategy + logger.info( + f"[{self.symbol}] 봇 시작, 레버리지 {self.config.leverage}x | " + f"SL={s.atr_sl_mult}x TP={s.atr_tp_mult}x Signal≥{s.signal_threshold} " + f"ADX≥{s.adx_threshold} Vol≥{s.volume_multiplier}x" + ) await self._recover_position() await self._init_oi_history() diff --git a/src/config.py b/src/config.py index c40e980..69a48bf 100644 --- a/src/config.py +++ b/src/config.py @@ -5,6 +5,16 @@ from dotenv import load_dotenv load_dotenv() +@dataclass +class SymbolStrategyParams: + """Per-symbol strategy parameters (from sweep optimization).""" + atr_sl_mult: float = 2.0 + atr_tp_mult: float = 2.0 + signal_threshold: int = 3 + adx_threshold: float = 25.0 + volume_multiplier: float = 2.5 + + @dataclass class Config: api_key: str = "" @@ -57,3 +67,24 @@ class Config: corr_env = os.getenv("CORRELATION_SYMBOLS", "BTCUSDT,ETHUSDT") self.correlation_symbols = [s.strip() for s in corr_env.split(",") if s.strip()] + # Per-symbol strategy params: {symbol: SymbolStrategyParams} + self._symbol_params: dict[str, SymbolStrategyParams] = {} + for sym in self.symbols: + self._symbol_params[sym] = SymbolStrategyParams( + atr_sl_mult=float(os.getenv(f"ATR_SL_MULT_{sym}", str(self.atr_sl_mult))), + atr_tp_mult=float(os.getenv(f"ATR_TP_MULT_{sym}", str(self.atr_tp_mult))), + signal_threshold=int(os.getenv(f"SIGNAL_THRESHOLD_{sym}", str(self.signal_threshold))), + adx_threshold=float(os.getenv(f"ADX_THRESHOLD_{sym}", str(self.adx_threshold))), + volume_multiplier=float(os.getenv(f"VOL_MULTIPLIER_{sym}", str(self.volume_multiplier))), + ) + + def get_symbol_params(self, symbol: str) -> SymbolStrategyParams: + """Get strategy params for a symbol. Falls back to global defaults.""" + return self._symbol_params.get(symbol, SymbolStrategyParams( + atr_sl_mult=self.atr_sl_mult, + atr_tp_mult=self.atr_tp_mult, + signal_threshold=self.signal_threshold, + adx_threshold=self.adx_threshold, + volume_multiplier=self.volume_multiplier, + )) +