감으로 찾던 눌림목, 파이썬 자동매매 조건식으로 바꾸는 법

python -m pip install yfinance pandas matplotlib

from pathlib import Path

import matplotlib.pyplot as plt
import yfinance as yf
from matplotlib import font_manager


TICKER = "005930.KS"
START_DATE = "2018-01-01"
END_DATE = "2026-01-01"
CHART_START_DATE = "2024-01-01"
VOLUME_MULTIPLIER = 1.2
OUTPUT_FILE = Path("rules_chart.png")


available_fonts = {item.name for item in font_manager.fontManager.ttflist}
for font_name in ("Malgun Gothic", "AppleGothic", "UnDotum", "DejaVu Sans"):
    if font_name in available_fonts:
        plt.rcParams["font.family"] = font_name
        break
plt.rcParams["axes.unicode_minus"] = False

price = yf.download(TICKER, start=START_DATE, end=END_DATE, auto_adjust=True, progress=False, multi_level_index=False)
if price.empty:
    raise RuntimeError(f"가격 데이터를 받지 못했습니다: {TICKER}")

price = price.rename(columns=str.lower).dropna().copy()
price["sma_20"] = price["close"].rolling(20).mean()
price["sma_60"] = price["close"].rolling(60).mean()
price["sma_120"] = price["close"].rolling(120).mean()
price["volume_average_20"] = price["volume"].shift(1).rolling(20).mean()
price["trend_condition"] = (price["sma_60"] > price["sma_120"]) & (price["close"] > price["sma_120"])
price["recovery_condition"] = (price["close"] > price["sma_20"]) & (price["close"].shift(1) <= price["sma_20"].shift(1))
price["volume_condition"] = price["volume"] >= price["volume_average_20"] * VOLUME_MULTIPLIER
price["entry_signal"] = price["trend_condition"] & price["recovery_condition"] & price["volume_condition"]
price["volume_ratio"] = price["volume"] / price["volume_average_20"]

signal_table = price.loc[price["entry_signal"], ["close", "sma_20", "sma_60", "sma_120", "volume_ratio"]].copy()
signal_table.columns = ["종가", "20일선", "60일선", "120일선", "거래량배수"]
print(f"전체 거래일: {len(price):,}일")
print(f"상승 추세 조건: {int(price['trend_condition'].sum()):,}일")
print(f"20일선 회복 조건: {int(price['recovery_condition'].sum()):,}일")
print(f"거래량 조건: {int(price['volume_condition'].sum()):,}일")
print(f"최종 진입 후보: {int(price['entry_signal'].sum()):,}회")
print(signal_table.round(2).tail(10).to_string())

chart_data = price.loc[CHART_START_DATE:].copy()
chart_signals = chart_data.loc[chart_data["entry_signal"]]
fig, (price_axis, volume_axis) = plt.subplots(2, 1, figsize=(12, 8), sharex=True, gridspec_kw={"height_ratios": [3, 1]}, facecolor="white")
price_axis.plot(chart_data.index, chart_data["close"], color="#111827", linewidth=1.8, label="수정 종가")
price_axis.plot(chart_data.index, chart_data["sma_20"], color="#F59E0B", linewidth=1.4, label="20일선")
price_axis.plot(chart_data.index, chart_data["sma_60"], color="#0F766E", linewidth=1.4, label="60일선")
price_axis.plot(chart_data.index, chart_data["sma_120"], color="#64748B", linewidth=1.4, label="120일선")
price_axis.scatter(chart_signals.index, chart_signals["close"], color="#DC2626", edgecolor="white", linewidth=0.8, marker="^", s=85, zorder=5, label="진입 후보")
price_axis.set_title("삼성전자 눌림목 후보 신호 객관화", fontsize=17, fontweight="bold", pad=16)
price_axis.set_ylabel("가격")
price_axis.legend(loc="upper left", ncol=5, frameon=False)
price_axis.grid(axis="y", color="#E5E7EB", linewidth=0.8)
price_axis.yaxis.tick_right()
price_axis.yaxis.set_label_position("right")

volume_colors = ["#F59E0B" if value >= VOLUME_MULTIPLIER else "#CBD5E1" for value in chart_data["volume_ratio"].fillna(0.0)]
volume_axis.bar(chart_data.index, chart_data["volume_ratio"], color=volume_colors, width=2.0)
volume_axis.axhline(VOLUME_MULTIPLIER, color="#DC2626", linewidth=1.2, linestyle="--", label="과거 20일 평균의 1.2배")
volume_axis.set_ylabel("거래량 배수")
volume_axis.legend(loc="upper left", frameon=False)
volume_axis.grid(axis="y", color="#E5E7EB", linewidth=0.8)
volume_axis.yaxis.tick_right()
volume_axis.yaxis.set_label_position("right")

for axis in (price_axis, volume_axis):
    axis.spines["top"].set_visible(False)
    axis.spines["left"].set_visible(False)
    axis.spines["right"].set_color("#D1D5DB")
    axis.spines["bottom"].set_color("#D1D5DB")

fig.tight_layout()
fig.savefig(OUTPUT_FILE, dpi=160, bbox_inches="tight", facecolor="white")
plt.show()

trend_condition AND recovery_condition AND volume_condition

신호는 t일 장 마감 후 확정한다.
포지션이 없을 때만 t+1일 시가에 진입한다.
진입가에서 정한 손실 한도에 도달하면 청산한다.
최대 보유 기간을 넘으면 청산한다.
청산 후 정한 거래일 동안 재진입하지 않는다.