feat: add OOS dry-run evaluation script (evaluate_oos.py)

Fetches MTF trade JSONL from prod server via scp, calculates
win rate / PF / cumulative PnL / avg duration by Total/LONG/SHORT,
and outputs LIVE deploy go/no-go verdict (trades >= 5 AND PF >= 1.0).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>

scripts/evaluate_oos.py

@@ -0,0 +1,175 @@
+"""
+MTF Pullback Bot — OOS Dry-run 평가 스크립트
+─────────────────────────────────────────────
+프로덕션 서버에서 JSONL 거래 기록을 가져와
+승률·PF·누적PnL·평균보유시간을 계산하고 LIVE 배포 판정을 출력한다.
+
+Usage:
+    python scripts/evaluate_oos.py
+    python scripts/evaluate_oos.py --symbol XRPUSDTUSDT
+    python scripts/evaluate_oos.py --local  # 로컬 파일만 사용 (서버 fetch 스킵)
+"""
+
+import argparse
+import subprocess
+import sys
+from pathlib import Path
+
+import pandas as pd
+
+# ── 설정 ──────────────────────────────────────────────────────────
+PROD_HOST = "root@10.1.10.24"
+REMOTE_DIR = "/root/cointrader/data/trade_history"
+LOCAL_DIR = Path("data/trade_history")
+
+# ── 판정 기준 ─────────────────────────────────────────────────────
+MIN_TRADES = 5
+MIN_PF = 1.0
+
+
+def fetch_from_prod(filename: str) -> Path:
+    """프로덕션 서버에서 JSONL 파일을 scp로 가져온다."""
+    LOCAL_DIR.mkdir(parents=True, exist_ok=True)
+    remote_path = f"{PROD_HOST}:{REMOTE_DIR}/{filename}"
+    local_path = LOCAL_DIR / filename
+
+    print(f"[Fetch] {remote_path} → {local_path}")
+    result = subprocess.run(
+        ["scp", remote_path, str(local_path)],
+        capture_output=True, text=True,
+    )
+    if result.returncode != 0:
+        print(f"[Fetch] scp 실패: {result.stderr.strip()}")
+        if local_path.exists():
+            print(f"[Fetch] 로컬 캐시 사용: {local_path}")
+        else:
+            print("[Fetch] 로컬 캐시도 없음. 종료.")
+            sys.exit(1)
+    else:
+        print(f"[Fetch] 완료 ({local_path.stat().st_size:,} bytes)")
+
+    return local_path
+
+
+def load_trades(path: Path) -> pd.DataFrame:
+    """JSONL 파일을 DataFrame으로 로드."""
+    df = pd.read_json(path, lines=True)
+
+    if df.empty:
+        print("[Load] 거래 기록이 비어있습니다.")
+        sys.exit(1)
+
+    df["entry_ts"] = pd.to_datetime(df["entry_ts"], utc=True)
+    df["exit_ts"] = pd.to_datetime(df["exit_ts"], utc=True)
+    df["duration_min"] = (df["exit_ts"] - df["entry_ts"]).dt.total_seconds() / 60
+
+    print(f"[Load] {len(df)}건 로드 완료 ({df['entry_ts'].min():%Y-%m-%d} ~ {df['exit_ts'].max():%Y-%m-%d})")
+    return df
+
+
+def calc_metrics(df: pd.DataFrame) -> dict:
+    """핵심 지표 계산. 빈 DataFrame이면 안전한 기본값 반환."""
+    n = len(df)
+    if n == 0:
+        return {"trades": 0, "win_rate": 0.0, "pf": 0.0, "cum_pnl": 0.0, "avg_dur": 0.0}
+
+    wins = df[df["pnl_bps"] > 0]
+    losses = df[df["pnl_bps"] < 0]
+
+    win_rate = len(wins) / n * 100
+    gross_profit = wins["pnl_bps"].sum() if len(wins) > 0 else 0.0
+    gross_loss = abs(losses["pnl_bps"].sum()) if len(losses) > 0 else 0.0
+    pf = gross_profit / gross_loss if gross_loss > 0 else float("inf")
+    cum_pnl = df["pnl_bps"].sum()
+    avg_dur = df["duration_min"].mean()
+
+    return {
+        "trades": n,
+        "win_rate": round(win_rate, 1),
+        "pf": round(pf, 2),
+        "cum_pnl": round(cum_pnl, 1),
+        "avg_dur": round(avg_dur, 1),
+    }
+
+
+def print_report(df: pd.DataFrame):
+    """성적표 출력."""
+    total = calc_metrics(df)
+    longs = calc_metrics(df[df["side"] == "LONG"])
+    shorts = calc_metrics(df[df["side"] == "SHORT"])
+
+    header = f"{'':>10} {'Trades':>8} {'WinRate':>9} {'PF':>8} {'CumPnL':>10} {'AvgDur':>10}"
+    sep = "─" * 60
+
+    print()
+    print(sep)
+    print("  MTF Pullback Bot — OOS Dry-run 성적표")
+    print(sep)
+    print(header)
+    print(sep)
+
+    for label, m in [("Total", total), ("LONG", longs), ("SHORT", shorts)]:
+        pf_str = f"{m['pf']:.2f}" if m["pf"] != float("inf") else "∞"
+        dur_str = f"{m['avg_dur']:.0f}m" if m["trades"] > 0 else "-"
+        print(
+            f"{label:>10} {m['trades']:>8d} {m['win_rate']:>8.1f}% {pf_str:>8} "
+            f"{m['cum_pnl']:>+10.1f} {dur_str:>10}"
+        )
+
+    print(sep)
+
+    # ── 개별 거래 내역 ──
+    print()
+    print("  거래 내역")
+    print(sep)
+    print(f"{'#':>3} {'Side':>6} {'Entry':>10} {'Exit':>10} {'PnL(bps)':>10} {'Dur':>8} {'Reason'}")
+    print(sep)
+    for i, row in df.iterrows():
+        dur = f"{row['duration_min']:.0f}m"
+        reason = row.get("reason", "")
+        if len(reason) > 25:
+            reason = reason[:25] + "…"
+        print(
+            f"{i+1:>3} {row['side']:>6} {row['entry_price']:>10.4f} {row['exit_price']:>10.4f} "
+            f"{row['pnl_bps']:>+10.1f} {dur:>8} {reason}"
+        )
+    print(sep)
+
+    # ── 최종 판정 ──
+    print()
+    if total["trades"] >= MIN_TRADES and total["pf"] >= MIN_PF:
+        print(f"  [판정: 통과] 엣지가 증명되었습니다. LIVE 배포(자금 투입)를 권장합니다.")
+        print(f"  (거래수 {total['trades']} >= {MIN_TRADES}, PF {total['pf']:.2f} >= {MIN_PF:.1f})")
+    else:
+        reasons = []
+        if total["trades"] < MIN_TRADES:
+            reasons.append(f"거래수 {total['trades']} < {MIN_TRADES}")
+        if total["pf"] < MIN_PF:
+            reasons.append(f"PF {total['pf']:.2f} < {MIN_PF:.1f}")
+        print(f"  [판정: 보류] 기준 미달. OOS 검증 실패로 실전 투입을 보류합니다.")
+        print(f"  ({', '.join(reasons)})")
+    print()
+
+
+def main():
+    parser = argparse.ArgumentParser(description="MTF OOS Dry-run 평가")
+    parser.add_argument("--symbol", default="xrpusdtusdt", help="심볼 (파일명 소문자, 기본: xrpusdtusdt)")
+    parser.add_argument("--local", action="store_true", help="로컬 파일만 사용 (서버 fetch 스킵)")
+    args = parser.parse_args()
+
+    filename = f"mtf_{args.symbol}.jsonl"
+
+    if args.local:
+        local_path = LOCAL_DIR / filename
+        if not local_path.exists():
+            print(f"[Error] 로컬 파일 없음: {local_path}")
+            sys.exit(1)
+    else:
+        local_path = fetch_from_prod(filename)
+
+    df = load_trades(local_path)
+    print_report(df)
+
+
+if __name__ == "__main__":
+    main()