feat(phase-3): Chronos zero-shot 예측 + 피처 빌더
- backend/app/models/chronos.py: amazon/chronos-t5-small (env CHRONOS_MODEL
override 가능). lazy singleton, cuda + bf16 자동, q10/median/q90 + raw
samples 반환 (앙상블 가중평균용).
- backend/app/models/features.py: 종목별 학습/추론 피처 DataFrame.
OHLCV + TA(rsi/macd/atr/bb/sma/ema/vol_z) + 외인기관거래대금 + macro
(kospi/kosdaq/usdkrw/us10y + r1) + sentiment(v_sentiment_daily, 3d rolling).
학습용은 with_targets=True 로 y_close_h{1,3,5}, y_ret_h*, y_dir_h*
(±0.3% flat band) 추가.
- pyproject.toml: chronos-forecasting 1.4.1, accelerate 0.30.1, joblib 1.4.2.
이 단계까지는 코드만. 실제 모델 다운로드는 첫 ping/predict 호출 시점에.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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backend/app/models/chronos.py
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backend/app/models/chronos.py
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"""Chronos zero-shot 시계열 예측 어댑터.
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모델: amazon/chronos-t5-small (46M, 빠르고 RTX 3070 Ti 에 충분히 들어감).
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환경변수 CHRONOS_MODEL 로 base/large 로 바꿀 수 있음.
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입력: 종가 시계열 (list[float], 최소 32 step).
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출력: horizon 일 quantile forecast (q10/median/q90).
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lazy singleton 으로 첫 호출 시 모델 로드. 디바이스는 settings.model_device 따라.
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"""
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from __future__ import annotations
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import logging
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import os
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import threading
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from dataclasses import dataclass
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from app.config import settings
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logger = logging.getLogger(__name__)
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MODEL_NAME = os.environ.get("CHRONOS_MODEL", "amazon/chronos-t5-small")
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_lock = threading.Lock()
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_state: dict[str, object] = {"loaded": False, "pipe": None, "device": None}
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@dataclass
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class ChronosForecast:
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horizon: int
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median: list[float]
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q10: list[float]
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q90: list[float]
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samples: list[list[float]] # raw samples for ensemble downstream
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def _resolve_device() -> str:
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import torch # lazy
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pref = (settings.model_device or "auto").lower()
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if pref == "cuda":
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return "cuda" if torch.cuda.is_available() else "cpu"
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if pref == "cpu":
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return "cpu"
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return "cuda" if torch.cuda.is_available() else "cpu"
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def _load() -> None:
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global _state
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with _lock:
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if _state["loaded"]:
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return
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import torch
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from chronos import ChronosPipeline
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token = settings.huggingface_token or None
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if token:
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os.environ.setdefault("HUGGINGFACE_HUB_TOKEN", token)
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os.environ.setdefault("HF_TOKEN", token)
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device = _resolve_device()
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# bf16 은 RTX 30xx 이상에서 지원. cpu 에선 fp32.
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dtype = torch.bfloat16 if device == "cuda" else torch.float32
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logger.info("loading Chronos %s on %s (dtype=%s)", MODEL_NAME, device, dtype)
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pipe = ChronosPipeline.from_pretrained(
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MODEL_NAME,
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device_map=device,
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torch_dtype=dtype,
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)
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_state.update({"loaded": True, "pipe": pipe, "device": device})
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def forecast(
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series: list[float],
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*,
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horizon: int = 5,
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num_samples: int = 30,
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) -> ChronosForecast:
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"""series 의 마지막 시점 이후 horizon 일 예측.
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series 는 일봉 종가. 최소 32개 권장 (그보다 짧으면 Chronos 분위 안정성 떨어짐).
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"""
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if len(series) < 32:
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raise ValueError(
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f"series too short ({len(series)}) for Chronos forecast (need >=32)"
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)
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_load()
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import numpy as np
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import torch
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pipe = _state["pipe"]
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context = torch.tensor([float(x) for x in series], dtype=torch.float32)
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with torch.no_grad():
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samples = pipe.predict(
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context=context,
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prediction_length=horizon,
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num_samples=num_samples,
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)
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# samples: (1, num_samples, prediction_length)
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arr = samples[0].cpu().float().numpy()
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q10 = np.quantile(arr, 0.10, axis=0).tolist()
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median = np.quantile(arr, 0.50, axis=0).tolist()
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q90 = np.quantile(arr, 0.90, axis=0).tolist()
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return ChronosForecast(
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horizon=horizon,
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median=[float(x) for x in median],
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q10=[float(x) for x in q10],
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q90=[float(x) for x in q90],
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samples=[[float(x) for x in row] for row in arr.tolist()],
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)
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def ping() -> dict[str, object]:
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try:
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_load()
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return {"status": "ok", "model": MODEL_NAME, "device": _state["device"]}
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except Exception as exc: # noqa: BLE001
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return {"status": "failed", "model": MODEL_NAME, "error": str(exc)}
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