From eeb5e9d8774ac465783c4b000709d42678cbfaa6 Mon Sep 17 00:00:00 2001
From: 21in7 <skawksmsduzo@gmail.com>
Date: Mon, 2 Mar 2026 19:55:12 +0900
Subject: [PATCH] feat: add ADX filter to block sideways market entries

ADX < 25 now returns HOLD in get_signal(), preventing entries during
trendless (sideways) markets. NaN ADX values fall through to existing
weighted signal logic. Also syncs the vectorized dataset builder with
the same ADX filter to keep training data consistent.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
---
 src/dataset_builder.py   | 10 ++++++++++
 src/indicators.py        |  6 ++++++
 tests/test_indicators.py | 27 +++++++++++++++++++++++++++
 3 files changed, 43 insertions(+)

diff --git a/src/dataset_builder.py b/src/dataset_builder.py
index 1a27acb..9b63761 100644
--- a/src/dataset_builder.py
+++ b/src/dataset_builder.py
@@ -47,6 +47,10 @@ def _calc_indicators(df: pd.DataFrame) -> pd.DataFrame:
     d["stoch_k"] = stoch["STOCHRSIk_14_14_3_3"]
     d["stoch_d"] = stoch["STOCHRSId_14_14_3_3"]
 
+    # ADX (14) — 횡보장 필터
+    adx_df = ta.adx(high, low, close, length=14)
+    d["adx"] = adx_df["ADX_14"]
+
     return d
 
 
@@ -112,6 +116,12 @@ def _calc_signals(d: pd.DataFrame) -> np.ndarray:
     # 둘 다 해당하면 HOLD (충돌 방지)
     signal_arr[long_enter & short_enter] = "HOLD"
 
+    # ADX 횡보장 필터: ADX < 25이면 추세 부재로 판단하여 진입 차단
+    if "adx" in d.columns:
+        adx = d["adx"].values
+        low_adx = (~np.isnan(adx)) & (adx < 25)
+        signal_arr[low_adx] = "HOLD"
+
     return signal_arr
 
 
diff --git a/src/indicators.py b/src/indicators.py
index 5a2f166..4b34fc2 100644
--- a/src/indicators.py
+++ b/src/indicators.py
@@ -60,6 +60,12 @@ class Indicators:
         last = df.iloc[-1]
         prev = df.iloc[-2]
 
+        # ADX 횡보장 필터: ADX < 25이면 추세 부재로 판단하여 진입 차단
+        adx = last.get("adx", None)
+        if adx is not None and not pd.isna(adx) and adx < 25:
+            logger.debug(f"ADX 필터: {adx:.1f} < 25 — HOLD")
+            return "HOLD"
+
         long_signals  = 0
         short_signals = 0
 
diff --git a/tests/test_indicators.py b/tests/test_indicators.py
index 9d20fbd..1135677 100644
--- a/tests/test_indicators.py
+++ b/tests/test_indicators.py
@@ -54,6 +54,33 @@ def test_adx_column_exists(sample_df):
     assert (valid >= 0).all()
 
 
+def test_adx_filter_blocks_low_adx(sample_df):
+    """ADX < 25일 때 가중치와 무관하게 HOLD를 반환해야 한다."""
+    ind = Indicators(sample_df)
+    df = ind.calculate_all()
+    # 강한 LONG 신호가 나오도록 지표 조작
+    df.loc[df.index[-1], "rsi"] = 20              # RSI 과매도 → +1
+    df.loc[df.index[-2], "macd"] = -1             # MACD 골든크로스 → +2
+    df.loc[df.index[-2], "macd_signal"] = 0
+    df.loc[df.index[-1], "macd"] = 1
+    df.loc[df.index[-1], "macd_signal"] = 0
+    df.loc[df.index[-1], "volume"] = df.loc[df.index[-1], "vol_ma20"] * 2  # 거래량 서지
+    # ADX를 강제로 낮은 값으로 설정
+    df["adx"] = 15.0
+    signal = ind.get_signal(df)
+    assert signal == "HOLD"
+
+
+def test_adx_nan_falls_through(sample_df):
+    """ADX가 NaN(초기 캔들)이면 기존 가중치 로직으로 폴백해야 한다."""
+    ind = Indicators(sample_df)
+    df = ind.calculate_all()
+    df["adx"] = float("nan")
+    signal = ind.get_signal(df)
+    # NaN이면 차단하지 않고 기존 로직 실행 → LONG/SHORT/HOLD 중 하나
+    assert signal in ("LONG", "SHORT", "HOLD")
+
+
 def test_signal_returns_direction(sample_df):
     ind = Indicators(sample_df)
     df = ind.calculate_all()