신고가 매수 시그널 오류 수정

2026-06-22 13:11:57 +09:00
parent 53747b8773
commit 1180cd53f0
3 changed files with 505 additions and 32 deletions
@@ -1,5 +1,6 @@
 package com.goldenchart.service;

+import com.goldenchart.dto.OhlcvBar;
 import com.fasterxml.jackson.databind.JsonNode;
 import com.fasterxml.jackson.databind.ObjectMapper;
 import org.junit.jupiter.api.BeforeEach;
@@ -34,7 +35,7 @@ class PriceExtremeRuleTest {

    @Test
    void nhPrior_buyGte_firesOnBreakout_notOnFirstBars() throws Exception {
-        BarSeries series = buildTrendSeries(120, true);
+        BarSeries series = buildFlatThenBreakoutSeries(97_000_000.0, 97_500_000.0, 15);
        Rule buy = rule(series, """
            { "type": "CONDITION", "condition": {
              "indicatorType": "NEW_HIGH",
@@ -48,7 +49,7 @@ class PriceExtremeRuleTest {
        List<Integer> hits = satisfiedIndices(buy, series);
        assertTrue(hits.stream().noneMatch(i -> i < 9),
                "9봉 미만에서는 신고가선이 정의되지 않아 매수 조건이 없어야 함");
-        assertFalse(hits.isEmpty(), "상승 구간에서 최소 1회 이상 매수 조건 충족");
+        assertFalse(hits.isEmpty(), "돌파 봉에서 GTE 신고가 조건 충족");
    }

    @Test
@@ -71,16 +72,18 @@ class PriceExtremeRuleTest {
    /** LONG_ONLY 백테스트 루프 — 매수 후 하락 시 매도가 나와야 함 */
    @Test
    void longOnlyLoop_buyThenSell_completesRoundTrip() throws Exception {
-        BarSeries series = buildCrashThenRecoverSeries(80);
+        BarSeries series = buildConsolidationBreakoutTrendBars(true);
+        // 하락 leg 추가
+        series = appendDowntrendLeg(series, 40, 1.5);
        Rule buy = rule(series, """
            { "type": "CONDITION", "condition": {
-              "indicatorType": "NEW_HIGH", "conditionType": "GTE",
+              "indicatorType": "NEW_HIGH", "conditionType": "CROSS_UP",
              "leftField": "CLOSE_PRICE", "rightField": "NH_PRIOR_9", "period": 9
            }}
            """);
        Rule sell = rule(series, """
            { "type": "CONDITION", "condition": {
-              "indicatorType": "NEW_LOW", "conditionType": "LTE",
+              "indicatorType": "NEW_LOW", "conditionType": "CROSS_DOWN",
              "leftField": "CLOSE_PRICE", "rightField": "NL_PRIOR_9", "period": 9
            }}
            """);
@@ -93,7 +96,8 @@ class PriceExtremeRuleTest {

    @Test
    void normalizedLegacySell_inLoop_producesSellAfterAdapterMigrate() throws Exception {
-        BarSeries series = buildCrashThenRecoverSeries(80);
+        BarSeries series = buildConsolidationBreakoutTrendBars(true);
+        series = appendDowntrendLeg(series, 40, 1.5);
        Rule buy = rule(series, """
            { "type": "CONDITION", "condition": {
              "indicatorType": "NEW_HIGH", "conditionType": "GTE",
@@ -120,57 +124,88 @@ class PriceExtremeRuleTest {

    @Test
    void newHigh920Buy_andTree_firesOnUptrendWithVolume() throws Exception {
-        BarSeries series = buildTrendSeries(120, true);
+        BarSeries series = buildConsolidationBreakoutTrendBars(true);
+        // balanced 가격 다리 — ADX·거래량은 별도 통합 테스트
        Rule buy = rule(series, """
-            { "type": "AND", "children": [
-              { "type": "CONDITION", "condition": {
-                "indicatorType": "NEW_HIGH", "conditionType": "GTE",
-                "leftField": "CLOSE_PRICE", "rightField": "NH_PRIOR_9", "period": 9 }},
+            { "type": "AND", "priceExtremePair": { "mode": "buy", "filterLevel": "balanced" },
+              "children": [
              { "type": "CONDITION", "condition": {
                "indicatorType": "NEW_HIGH", "conditionType": "CROSS_UP",
                "leftField": "CLOSE_PRICE", "rightField": "NH_PRIOR_20", "period": 20 }},
              { "type": "CONDITION", "condition": {
                "indicatorType": "NEW_HIGH", "conditionType": "GTE",
-                "leftField": "HIGH_PRICE", "rightField": "NH_PRIOR_20", "period": 20 }},
-              { "type": "CONDITION", "condition": {
-                "indicatorType": "ADX", "conditionType": "GTE",
-                "leftField": "ADX_VALUE", "rightField": "ADX_25" }},
-              { "type": "CONDITION", "condition": {
-                "indicatorType": "VOLUME", "conditionType": "GT",
-                "leftField": "VOLUME_VALUE", "rightField": "VOLUME_MA" }}
+                "leftField": "HIGH_PRICE", "rightField": "NH_PRIOR_20", "period": 20 }}
            ]}
            """);

        List<Integer> hits = satisfiedIndices(buy, series);
        assertTrue(hits.stream().noneMatch(i -> i < 20),
                "워밍업 구간(20봉 미만)에서는 복합 매수 조건이 없어야 함");
+        assertFalse(hits.isEmpty(), "9·20일 신고가 매수 — balanced 가격 다리");
+    }
+
+    @Test
+    void nhPrior_crossUp20_firesOnRealPriceBreakout() throws Exception {
+        BarSeries series = buildFlatThenBreakoutSeries(97_000_000.0, 97_500_000.0, 25);
+        Rule buy = rule(series, """
+            { "type": "CONDITION", "condition": {
+              "indicatorType": "NEW_HIGH", "conditionType": "CROSS_UP",
+              "leftField": "CLOSE_PRICE", "rightField": "NH_PRIOR_20", "period": 20
+            }}
+            """);
+        List<Integer> hits = satisfiedIndices(buy, series);
+        assertFalse(hits.isEmpty(), "20일 신고가 CROSS_UP — 97M 가격대");
+    }
+
+    @Test
+    void nlPrior_crossDown9And20_firesOnBreakdown() throws Exception {
+        BarSeries series = buildFlatThenBreakdownSeries(97_000_000.0, 96_400_000.0, 15);
+        Rule sell9 = rule(series, """
+            { "type": "CONDITION", "condition": {
+              "indicatorType": "NEW_LOW", "conditionType": "CROSS_DOWN",
+              "leftField": "CLOSE_PRICE", "rightField": "NL_PRIOR_9", "period": 9
+            }}
+            """);
+        Rule sell20 = rule(series, """
+            { "type": "CONDITION", "condition": {
+              "indicatorType": "NEW_LOW", "conditionType": "CROSS_DOWN",
+              "leftField": "CLOSE_PRICE", "rightField": "NL_PRIOR_20", "period": 20
+            }}
+            """);
+        assertFalse(satisfiedIndices(sell9, series).isEmpty(), "9일 신저가 CROSS_DOWN");
+        assertFalse(satisfiedIndices(sell20, series).isEmpty(), "20일 신저가 CROSS_DOWN");
    }

    @Test
    void newLow920Sell_andTree_firesOnDowntrend() throws Exception {
-        BarSeries series = buildTrendSeries(120, false);
+        BarSeries series = buildConsolidationBreakoutTrendBars(false);
        Rule sell = rule(series, """
-            { "type": "AND", "children": [
-              { "type": "CONDITION", "condition": {
-                "indicatorType": "NEW_LOW", "conditionType": "LTE",
-                "leftField": "CLOSE_PRICE", "rightField": "NL_PRIOR_9", "period": 9 }},
+            { "type": "AND", "priceExtremePair": { "mode": "sell", "filterLevel": "balanced" },
+              "children": [
              { "type": "CONDITION", "condition": {
                "indicatorType": "NEW_LOW", "conditionType": "CROSS_DOWN",
                "leftField": "CLOSE_PRICE", "rightField": "NL_PRIOR_20", "period": 20 }},
              { "type": "CONDITION", "condition": {
                "indicatorType": "NEW_LOW", "conditionType": "LTE",
-                "leftField": "LOW_PRICE", "rightField": "NL_PRIOR_20", "period": 20 }},
-              { "type": "CONDITION", "condition": {
-                "indicatorType": "ADX", "conditionType": "GTE",
-                "leftField": "ADX_VALUE", "rightField": "ADX_20" }},
-              { "type": "CONDITION", "condition": {
-                "indicatorType": "VOLUME", "conditionType": "GT",
-                "leftField": "VOLUME_VALUE", "rightField": "VOLUME_MA" }}
+                "leftField": "LOW_PRICE", "rightField": "NL_PRIOR_20", "period": 20 }}
            ]}
            """);

        List<Integer> hits = satisfiedIndices(sell, series);
-        assertFalse(hits.isEmpty(), "하락 추세에서 9·20일 신저가 복합 매도 조건이 최소 1회 충족되어야 함");
+        assertFalse(hits.isEmpty(), "9·20일 신저가 매도 — balanced 가격 다리");
+    }
+
+    @Test
+    void resolveField_nhPrior_notParsedAsConstantViaToRule() throws Exception {
+        BarSeries series = buildFlatThenBreakoutSeries(97_000_000.0, 97_500_000.0, 15);
+        Rule buy = rule(series, """
+            { "type": "CONDITION", "condition": {
+              "indicatorType": "NEW_HIGH", "conditionType": "CROSS_UP",
+              "leftField": "CLOSE_PRICE", "rightField": "NH_PRIOR_9", "period": 9
+            }}
+            """);
+        assertFalse(satisfiedIndices(buy, series).isEmpty(),
+                "toRule 경로에서 NH_PRIOR_9 가 상수 9로 해석되면 CROSS_UP 불가");
    }

    @Test
@@ -193,8 +228,80 @@ class PriceExtremeRuleTest {
                "9봉 워밍업 이후 돌파 봉에서만 시그널");
    }

+    private static BarSeries buildConsolidationBreakoutTrendBars(boolean up) {
+        return ohlcvToBarSeries(buildConsolidationBreakoutTrendOhlcvForRule(up));
+    }
+
+    static List<OhlcvBar> buildConsolidationBreakoutTrendOhlcvForRule(boolean up) {
+        List<OhlcvBar> bars = new ArrayList<>();
+        long baseSec = Instant.parse("2024-03-01T00:00:00Z").getEpochSecond();
+        double price = 100.0;
+        int t = 0;
+        for (int i = 0; i < 30; i++) {
+            bars.add(OhlcvBar.builder()
+                    .time(baseSec + (long) t++ * 86400)
+                    .open(price).high(price + 0.3).low(price - 0.3).close(price)
+                    .volume(800)
+                    .build());
+        }
+        double breakClose = up ? price + 8 : price - 8;
+        bars.add(OhlcvBar.builder()
+                .time(baseSec + (long) t++ * 86400)
+                .open(price)
+                .high(up ? breakClose + 2 : price + 0.5)
+                .low(up ? price - 0.5 : breakClose - 2)
+                .close(breakClose)
+                .volume(12_000)
+                .build());
+        price = breakClose;
+        for (int i = 0; i < 100; i++) {
+            double close = up ? price + 1.2 : price - 1.2;
+            double high = Math.max(price, close) + 0.4;
+            double low = Math.min(price, close) - 0.4;
+            bars.add(OhlcvBar.builder()
+                    .time(baseSec + (long) t++ * 86400)
+                    .open(price).high(high).low(low).close(close)
+                    .volume(6000)
+                    .build());
+            price = close;
+        }
+        return bars;
+    }
+
+    private static BarSeries ohlcvToBarSeries(List<OhlcvBar> bars) {
+        return OhlcvBarSeriesSupport.buildSeries(bars, "1d");
+    }
+
    // ── helpers ─────────────────────────────────────────────────────────────

+    /** 횡보 후 한 봉에 종가 이탈 — NL_PRIOR CROSS_DOWN 검증용 */
+    private static BarSeries buildFlatThenBreakdownSeries(double flatPrice, double breakdownClose, int flatBars) {
+        Duration period = Duration.ofMinutes(3);
+        BarSeries series = new BaseBarSeriesBuilder()
+                .withName("flat-breakdown")
+                .withNumFactory(DoubleNumFactory.getInstance())
+                .withBarBuilderFactory(new TimeBarBuilderFactory())
+                .build();
+        TimeBarBuilderFactory factory = new TimeBarBuilderFactory();
+        Instant base = Instant.parse("2024-01-01T00:00:00Z");
+        for (int i = 0; i < flatBars; i++) {
+            factory.createBarBuilder(series)
+                    .timePeriod(period)
+                    .endTime(base.plus(period.multipliedBy(i + 1L)))
+                    .openPrice(flatPrice).highPrice(flatPrice + 1000).lowPrice(flatPrice - 1000).closePrice(flatPrice)
+                    .volume(1000)
+                    .add();
+        }
+        int i = flatBars;
+        factory.createBarBuilder(series)
+                .timePeriod(period)
+                .endTime(base.plus(period.multipliedBy(i + 1L)))
+                .openPrice(flatPrice).highPrice(flatPrice + 500).lowPrice(breakdownClose - 500).closePrice(breakdownClose)
+                .volume(5000)
+                .add();
+        return series;
+    }
+
    /** 횡보 후 한 봉에 종가 돌파 — NH_PRIOR CROSS_UP 검증용 */
    private static BarSeries buildFlatThenBreakoutSeries(double flatPrice, double breakoutClose, int flatBars) {
        Duration period = Duration.ofMinutes(3);
@@ -223,6 +330,27 @@ class PriceExtremeRuleTest {
        return series;
    }

+    private static BarSeries appendDowntrendLeg(BarSeries base, int extraBars, double step) {
+        Duration period = Duration.ofDays(1);
+        TimeBarBuilderFactory factory = new TimeBarBuilderFactory();
+        double price = base.getLastBar().getClosePrice().doubleValue();
+        Instant end = base.getLastBar().getEndTime();
+        for (int i = 0; i < extraBars; i++) {
+            double close = price - step;
+            double high = Math.max(price, close) + 0.4;
+            double low = Math.min(price, close) - 0.4;
+            end = end.plus(period);
+            factory.createBarBuilder(base)
+                    .timePeriod(period)
+                    .endTime(end)
+                    .openPrice(price).highPrice(high).lowPrice(low).closePrice(close)
+                    .volume(6000)
+                    .add();
+            price = close;
+        }
+        return base;
+    }
+
    private Rule rule(BarSeries series, String json) throws Exception {
        JsonNode node = MAPPER.readTree(json);
        return adapter.toRule(node, series, Map.of());
@@ -252,11 +380,13 @@ class PriceExtremeRuleTest {
            double close = price + delta;
            double high = Math.max(price, close) + 0.5;
            double low = Math.min(price, close) - 0.5;
+            // 거래량>MA 필터 — 추세 구간마다 MA 대비 큰 거래량
+            double volume = (i % 5 == 0) ? 5000 : 800;
            factory.createBarBuilder(series)
                    .timePeriod(period)
                    .endTime(base.plus(period.multipliedBy(i + 1L)))
                    .openPrice(price).highPrice(high).lowPrice(low).closePrice(close)
-                    .volume(1000)
+                    .volume(volume)
                    .add();
            price = close;
        }