feat(weekly-report): add ML trigger check and degradation sweep

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
21in7
2026-03-07 00:42:53 +09:00
parent 3b0335f57e
commit 58596785aa
2 changed files with 109 additions and 0 deletions

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@@ -157,3 +157,59 @@ def load_trend(report_dir: str, weeks: int = 4) -> dict:
"mdd": mdd_list,
"pf_declining_3w": declining,
}
# ── ML 재학습 트리거 & 성능 저하 스윕 ─────────────────────────────
from scripts.strategy_sweep import (
run_single_backtest,
generate_combinations,
PARAM_GRID,
)
ML_TRADE_THRESHOLD = 150
def check_ml_trigger(
cumulative_trades: int,
current_pf: float,
pf_declining_3w: bool,
) -> dict:
"""ML 재학습 조건 체크. 3개 중 2개 이상 충족 시 권장."""
conditions = {
"cumulative_trades_enough": cumulative_trades >= ML_TRADE_THRESHOLD,
"pf_below_1": current_pf < 1.0,
"pf_declining_3w": pf_declining_3w,
}
met = sum(conditions.values())
return {
"conditions": conditions,
"met_count": met,
"recommend": met >= 2,
"cumulative_trades": cumulative_trades,
"threshold": ML_TRADE_THRESHOLD,
}
def run_degradation_sweep(
symbols: list[str],
train_months: int,
test_months: int,
top_n: int = 3,
) -> list[dict]:
"""전체 파라미터 스윕을 실행하고 PF 상위 N개 대안을 반환한다."""
combos = generate_combinations(PARAM_GRID)
results = []
for params in combos:
try:
summary = run_single_backtest(symbols, params, train_months, test_months)
results.append({"params": params, "summary": summary})
except Exception as e:
logger.warning(f"스윕 실패: {e}")
results.sort(
key=lambda r: r["summary"]["profit_factor"]
if r["summary"]["profit_factor"] != float("inf") else 999,
reverse=True,
)
return results[:top_n]