feat: implement ML filter with LightGBM for trading signal validation

- Added MLFilter class to load and evaluate LightGBM model for trading signals.
- Introduced retraining mechanism to update the model daily based on new data.
- Created feature engineering and label building utilities for model training.
- Updated bot logic to incorporate ML filter for signal validation.
- Added scripts for data fetching and model training.

Made-with: Cursor

scripts/train_model.py

@@ -0,0 +1,151 @@
+"""
+과거 캔들 데이터로 LightGBM 필터 모델을 학습하고 저장한다.
+사용법: python scripts/train_model.py --data data/xrpusdt_1m.parquet
+"""
+import argparse
+import json
+from datetime import datetime
+from pathlib import Path
+
+import joblib
+import lightgbm as lgb
+import numpy as np
+import pandas as pd
+from sklearn.metrics import roc_auc_score, classification_report
+from sklearn.model_selection import TimeSeriesSplit
+
+from src.indicators import Indicators
+from src.ml_features import build_features, FEATURE_COLS
+from src.label_builder import build_labels
+
+LOOKAHEAD = 60
+ATR_SL_MULT = 1.5
+ATR_TP_MULT = 3.0
+MODEL_PATH = Path("models/lgbm_filter.pkl")
+PREV_MODEL_PATH = Path("models/lgbm_filter_prev.pkl")
+LOG_PATH = Path("models/training_log.json")
+
+
+def generate_dataset(df: pd.DataFrame) -> pd.DataFrame:
+    """신호 발생 시점마다 피처와 레이블을 생성한다."""
+    rows = []
+    total = len(df)
+
+    for i in range(60, total - LOOKAHEAD):
+        window = df.iloc[i - 60: i + 1].copy()
+        ind = Indicators(window)
+        df_ind = ind.calculate_all()
+
+        if df_ind.isna().any().any():
+            continue
+
+        signal = ind.get_signal(df_ind)
+        if signal == "HOLD":
+            continue
+
+        entry_price = float(df_ind["close"].iloc[-1])
+        atr = float(df_ind["atr"].iloc[-1])
+        if atr <= 0:
+            continue
+
+        stop_loss   = entry_price - atr * ATR_SL_MULT if signal == "LONG" else entry_price + atr * ATR_SL_MULT
+        take_profit = entry_price + atr * ATR_TP_MULT if signal == "LONG" else entry_price - atr * ATR_TP_MULT
+
+        future = df.iloc[i + 1: i + 1 + LOOKAHEAD]
+        label = build_labels(
+            future_closes=future["close"].tolist(),
+            future_highs=future["high"].tolist(),
+            future_lows=future["low"].tolist(),
+            take_profit=take_profit,
+            stop_loss=stop_loss,
+            side=signal,
+        )
+        if label is None:
+            continue
+
+        features = build_features(df_ind, signal)
+        row = features.to_dict()
+        row["label"] = label
+        rows.append(row)
+
+        if len(rows) % 500 == 0:
+            print(f"  샘플 생성 중: {len(rows)}개 (인덱스 {i}/{total})")
+
+    return pd.DataFrame(rows)
+
+
+def train(data_path: str):
+    print(f"데이터 로드: {data_path}")
+    df = pd.read_parquet(data_path)
+    print(f"캔들 수: {len(df)}")
+
+    print("데이터셋 생성 중...")
+    dataset = generate_dataset(df)
+    print(f"학습 샘플: {len(dataset)}개 (양성={dataset['label'].sum():.0f}, 음성={(dataset['label']==0).sum():.0f})")
+
+    if len(dataset) < 200:
+        raise ValueError(f"학습 샘플 부족: {len(dataset)}개 (최소 200 필요)")
+
+    X = dataset[FEATURE_COLS]
+    y = dataset["label"]
+
+    split = int(len(X) * 0.8)
+    X_train, X_val = X.iloc[:split], X.iloc[split:]
+    y_train, y_val = y.iloc[:split], y.iloc[split:]
+
+    model = lgb.LGBMClassifier(
+        n_estimators=300,
+        learning_rate=0.05,
+        num_leaves=31,
+        min_child_samples=20,
+        subsample=0.8,
+        colsample_bytree=0.8,
+        class_weight="balanced",
+        random_state=42,
+        verbose=-1,
+    )
+    model.fit(
+        X_train, y_train,
+        eval_set=[(X_val, y_val)],
+        callbacks=[lgb.early_stopping(30, verbose=False), lgb.log_evaluation(50)],
+    )
+
+    val_proba = model.predict_proba(X_val)[:, 1]
+    auc = roc_auc_score(y_val, val_proba)
+    print(f"\n검증 AUC: {auc:.4f}")
+    print(classification_report(y_val, (val_proba >= 0.60).astype(int)))
+
+    if MODEL_PATH.exists():
+        import shutil
+        shutil.copy(MODEL_PATH, PREV_MODEL_PATH)
+        print(f"기존 모델 백업: {PREV_MODEL_PATH}")
+
+    MODEL_PATH.parent.mkdir(exist_ok=True)
+    joblib.dump(model, MODEL_PATH)
+    print(f"모델 저장: {MODEL_PATH}")
+
+    log = []
+    if LOG_PATH.exists():
+        with open(LOG_PATH) as f:
+            log = json.load(f)
+    log.append({
+        "date": datetime.now().isoformat(),
+        "auc": round(auc, 4),
+        "samples": len(dataset),
+        "model_path": str(MODEL_PATH),
+    })
+    with open(LOG_PATH, "w") as f:
+        json.dump(log, f, indent=2)
+
+    return auc
+
+
+def main():
+    parser = argparse.ArgumentParser()
+    parser.add_argument("--data", default="data/xrpusdt_1m.parquet")
+    args = parser.parse_args()
+    train(args.data)
+
+
+if __name__ == "__main__":
+    main()