7e4e9315c2
- 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
74 lines
2.1 KiB
Python
74 lines
2.1 KiB
Python
import pandas as pd
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import numpy as np
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import pytest
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from src.label_builder import build_labels
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def make_signal_df():
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"""
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신호 발생 시점 이후 가격이 TP에 도달하는 시나리오
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entry=100, TP=103, SL=98.5
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"""
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future_closes = [100.5, 101.0, 101.8, 102.5, 103.1, 103.5]
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future_highs = [c + 0.3 for c in future_closes]
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future_lows = [c - 0.3 for c in future_closes]
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return future_closes, future_highs, future_lows
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def test_label_tp_reached():
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closes, highs, lows = make_signal_df()
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label = build_labels(
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future_closes=closes,
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future_highs=highs,
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future_lows=lows,
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take_profit=103.0,
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stop_loss=98.5,
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side="LONG",
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)
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assert label == 1, "TP 먼저 도달해야 레이블 1"
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def test_label_sl_reached():
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future_closes = [99.5, 99.0, 98.8, 98.4, 98.0]
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future_highs = [c + 0.3 for c in future_closes]
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future_lows = [c - 0.3 for c in future_closes]
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label = build_labels(
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future_closes=future_closes,
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future_highs=future_highs,
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future_lows=future_lows,
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take_profit=103.0,
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stop_loss=98.5,
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side="LONG",
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)
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assert label == 0, "SL 먼저 도달해야 레이블 0"
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def test_label_neither_reached_returns_none():
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future_closes = [100.1, 100.2, 100.3]
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future_highs = [c + 0.1 for c in future_closes]
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future_lows = [c - 0.1 for c in future_closes]
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label = build_labels(
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future_closes=future_closes,
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future_highs=future_highs,
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future_lows=future_lows,
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take_profit=103.0,
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stop_loss=98.5,
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side="LONG",
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)
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assert label is None, "미결 시 None 반환"
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def test_label_short_tp():
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future_closes = [99.5, 99.0, 98.0, 97.0]
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future_highs = [c + 0.3 for c in future_closes]
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future_lows = [c - 0.3 for c in future_closes]
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label = build_labels(
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future_closes=future_closes,
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future_highs=future_highs,
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future_lows=future_lows,
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take_profit=97.0,
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stop_loss=101.5,
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side="SHORT",
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)
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assert label == 1
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