21in7 f53b8a5a0f research: MTF + BTC 추세 필터 백테스트 — FAIL, MTF 전략 최종 폐기 ...

- 메인 가설(BTC 1h EMA50/200 ADX>20) OOS fees PF 0.90, 베이스라인(0.94)보다 악화
- 12개 sweep 조합 중 합격(fees PF>=1.2) 0개
- 761일 데이터로 전략 근본적 edge 부재 확인

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

2026-05-04 09:24:45 +09:00

..

__init__.py

feat: implement ML filter with LightGBM for trading signal validation

2026-03-01 17:07:18 +09:00

collect_ls_ratio_loop.sh

feat: add L/S ratio collector service for top_acct and global ratios

2026-03-22 22:20:30 +09:00

collect_ls_ratio.py

feat: add L/S ratio collector service for top_acct and global ratios

2026-03-22 22:20:30 +09:00

collect_oi.py

feat: add OI long-term collection script for cron-based data accumulation

2026-03-04 20:24:14 +09:00

compare_symbols.py

feat: add symbol comparison and position sizing analysis tools

2026-03-18 23:35:42 +09:00

deploy_model.sh

feat: add --symbol/--all CLI to all training scripts for per-symbol pipeline

2026-03-05 23:21:32 +09:00

evaluate_oos.py

fix: evaluate_oos 판정 로직을 fees_only PF 기준으로 수정하고 MTF OOS 최종 결과 문서화

2026-05-04 09:01:40 +09:00

fetch_history.py

fix: add retry with exponential backoff to OI/funding API calls (#4)

2026-03-07 16:00:52 +09:00

fr_oi_backtest.py

feat: 전략 리서치 스크립트 및 테스트 일괄 추가

2026-05-04 09:03:06 +09:00

funding_oi_analysis.py

feat: 전략 리서치 스크립트 및 테스트 일괄 추가

2026-05-04 09:03:06 +09:00

ls_ratio_backtest.py

feat: 전략 리서치 스크립트 및 테스트 일괄 추가

2026-05-04 09:03:06 +09:00

mtf_backtest.py

feat: add MTF pullback bot for OOS dry-run verification

2026-03-30 15:58:40 +09:00

mtf_btc_filter_backtest.py

research: MTF + BTC 추세 필터 백테스트 — FAIL, MTF 전략 최종 폐기

2026-05-04 09:24:45 +09:00

position_sizing_analysis.py

feat: add symbol comparison and position sizing analysis tools

2026-03-18 23:35:42 +09:00

profile_training.py

feat: remove in-container retraining, training is now mac-only

2026-03-01 18:54:00 +09:00

revalidate_apr15.py

feat: 전략 리서치 스크립트 및 테스트 일괄 추가

2026-05-04 09:03:06 +09:00

run_backtest.py

feat: add testnet mode support and fix UDS order type classification

2026-03-23 13:05:38 +09:00

run_optuna.sh

feat: add run_optuna.sh wrapper script for Optuna tuning

2026-03-02 14:50:50 +09:00

run_tests.sh

feat: implement HOLD negative sampling and stratified undersampling in ML pipeline

2026-03-03 00:13:42 +09:00

strategy_sweep.py

feat: strategy parameter sweep and production param optimization

2026-03-06 23:39:43 +09:00

taker_ratio_analysis.py

feat: add L/S ratio collector service for top_acct and global ratios

2026-03-22 22:20:30 +09:00

test_reverse_reenter.sh

feat: implement immediate re-entry after closing position on reverse signal

2026-03-02 01:34:36 +09:00

trade_ls_analysis.py

feat: 전략 리서치 스크립트 및 테스트 일괄 추가

2026-05-04 09:03:06 +09:00

train_and_deploy.sh

feat: enhance data handling and model training features

2026-03-05 23:57:44 +09:00

train_mlx_model.py

feat(ml): add purged gap (embargo=24) to walk-forward + ablation CLI

2026-03-21 19:42:51 +09:00

train_model.py

feat(ml): add purged gap (embargo=24) to walk-forward + ablation CLI

2026-03-21 19:42:51 +09:00

tune_hyperparams.py

feat(ml): add purged gap (embargo=24) to walk-forward + ablation CLI

2026-03-21 19:42:51 +09:00

verify_prod_api.py

feat: add algo order compatibility and orphan order cleanup

2026-03-23 20:46:59 +09:00

weekly_report.py

fix: update weekly report to XRP-only with production params

2026-03-22 22:30:39 +09:00