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/features.py
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backend/app/models/features.py
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"""모델 학습/추론용 피처 빌더.
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종목 1개 + 룩백 기간을 받아 (date 단위) DataFrame 반환:
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- OHLCV
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- returns r1
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- TA: rsi14, macd, macd_signal, atr14, bb_pct, sma20, ema12, vol_z20
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- trading_value: foreign_net, institution_net, individual_net (정규화 X, scale 그대로)
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- macro 정렬: kospi, kosdaq, usdkrw, us10y, kospi_r1, usdkrw_r1
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- sentiment (v_sentiment_daily): mean_score, weighted_score, n_articles,
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pos_minus_neg = pos_ratio - neg_ratio. 3일 롤링 mean 도 추가.
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학습 타깃 (build_features 에서만 생성):
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- y_close_h{1,3,5}: close.shift(-H)
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- y_ret_h{1,3,5}: y_close_h / close - 1
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- y_dir_h{1,3,5}: sign(y_ret_h) (1=up, -1=down, 0=flat ±0.3% 이내)
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inference 용 build_features 는 dropna 안 함. 학습용 build_training_frame 은 dropna.
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"""
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from __future__ import annotations
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import logging
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from dataclasses import dataclass
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from datetime import date, timedelta
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import numpy as np
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import pandas as pd
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from sqlalchemy import text
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from app.db.connection import get_engine
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logger = logging.getLogger(__name__)
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FLAT_BAND = 0.003 # ±0.3% 이내는 flat
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HORIZONS_DEFAULT = (1, 3, 5)
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@dataclass
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class FeatureFrame:
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code: str
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df: pd.DataFrame
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target_horizons: tuple[int, ...]
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def _load_ohlcv(code: str, start: date, end: date) -> pd.DataFrame:
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eng = get_engine()
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sql = text(
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"""
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SELECT date, open, high, low, close, volume
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FROM ohlcv_daily
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WHERE code = :code AND date BETWEEN :s AND :e
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ORDER BY date
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"""
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)
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with eng.connect() as conn:
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rows = conn.execute(sql, {"code": code, "s": start, "e": end}).all()
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if not rows:
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return pd.DataFrame(columns=["date", "open", "high", "low", "close", "volume"])
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df = pd.DataFrame(rows, columns=["date", "open", "high", "low", "close", "volume"])
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df["date"] = pd.to_datetime(df["date"]).dt.date
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return df
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def _load_trading(code: str, start: date, end: date) -> pd.DataFrame:
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eng = get_engine()
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sql = text(
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"""
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SELECT date, foreign_net, institution_net, individual_net
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FROM trading_value_daily
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WHERE code = :code AND date BETWEEN :s AND :e
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ORDER BY date
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"""
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)
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with eng.connect() as conn:
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rows = conn.execute(sql, {"code": code, "s": start, "e": end}).all()
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if not rows:
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return pd.DataFrame(columns=["date", "foreign_net", "institution_net", "individual_net"])
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df = pd.DataFrame(rows, columns=["date", "foreign_net", "institution_net", "individual_net"])
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df["date"] = pd.to_datetime(df["date"]).dt.date
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return df
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def _load_macro(start: date, end: date) -> pd.DataFrame:
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eng = get_engine()
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sql = text(
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"SELECT date, key, value FROM macro_daily "
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"WHERE date BETWEEN :s AND :e ORDER BY date"
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)
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with eng.connect() as conn:
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rows = conn.execute(sql, {"s": start, "e": end}).all()
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if not rows:
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return pd.DataFrame(columns=["date"])
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df = pd.DataFrame(rows, columns=["date", "key", "value"])
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pivot = df.pivot_table(index="date", columns="key", values="value", aggfunc="last").reset_index()
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pivot["date"] = pd.to_datetime(pivot["date"]).dt.date
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pivot.columns.name = None
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return pivot
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def _load_sentiment(code: str, start: date, end: date) -> pd.DataFrame:
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eng = get_engine()
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sql = text(
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"""
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SELECT date, n_articles, mean_score, pos_ratio, neg_ratio,
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weighted_score
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FROM v_sentiment_daily
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WHERE code = :code AND date BETWEEN :s AND :e
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ORDER BY date
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"""
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)
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with eng.connect() as conn:
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rows = conn.execute(sql, {"code": code, "s": start, "e": end}).all()
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cols = ["date", "n_articles", "mean_score", "pos_ratio", "neg_ratio", "weighted_score"]
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if not rows:
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return pd.DataFrame(columns=cols)
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df = pd.DataFrame(rows, columns=cols)
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df["date"] = pd.to_datetime(df["date"]).dt.date
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df["pos_minus_neg"] = df["pos_ratio"].fillna(0) - df["neg_ratio"].fillna(0)
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return df
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def _add_ta(df: pd.DataFrame) -> pd.DataFrame:
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"""ta 패키지로 기술 지표 추가."""
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from ta.momentum import RSIIndicator
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from ta.trend import EMAIndicator, MACD, SMAIndicator
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from ta.volatility import AverageTrueRange, BollingerBands
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close = df["close"].astype(float)
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high = df["high"].astype(float)
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low = df["low"].astype(float)
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vol = df["volume"].astype(float)
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df["r1"] = close.pct_change()
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df["rsi14"] = RSIIndicator(close=close, window=14, fillna=False).rsi()
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macd = MACD(close=close, window_slow=26, window_fast=12, window_sign=9, fillna=False)
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df["macd"] = macd.macd()
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df["macd_signal"] = macd.macd_signal()
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df["atr14"] = AverageTrueRange(high=high, low=low, close=close, window=14, fillna=False).average_true_range()
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bb = BollingerBands(close=close, window=20, window_dev=2, fillna=False)
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df["bb_pct"] = bb.bollinger_pband()
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df["sma20"] = SMAIndicator(close=close, window=20, fillna=False).sma_indicator()
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df["ema12"] = EMAIndicator(close=close, window=12, fillna=False).ema_indicator()
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vol_mean = vol.rolling(20).mean()
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vol_std = vol.rolling(20).std().replace(0, np.nan)
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df["vol_z20"] = (vol - vol_mean) / vol_std
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return df
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def _add_targets(df: pd.DataFrame, horizons: tuple[int, ...]) -> pd.DataFrame:
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close = df["close"].astype(float)
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for h in horizons:
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df[f"y_close_h{h}"] = close.shift(-h)
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df[f"y_ret_h{h}"] = df[f"y_close_h{h}"] / close - 1.0
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df[f"y_dir_h{h}"] = np.where(
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df[f"y_ret_h{h}"] > FLAT_BAND, 1,
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np.where(df[f"y_ret_h{h}"] < -FLAT_BAND, -1, 0),
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)
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return df
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def build_features(
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code: str,
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*,
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lookback_days: int = 365 * 2,
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end_date: date | None = None,
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horizons: tuple[int, ...] = HORIZONS_DEFAULT,
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with_targets: bool = False,
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) -> FeatureFrame:
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"""code 1개 종목의 피처 DataFrame 생성.
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inference: with_targets=False 로 호출 → 최신 row 의 피처만 LGBM/Chronos 에 투입.
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training : with_targets=True 로 호출 → tail H 행은 타깃 NaN → dropna 로 제거.
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"""
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end = end_date or date.today()
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start = end - timedelta(days=lookback_days)
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ohlcv = _load_ohlcv(code, start, end)
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if ohlcv.empty:
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return FeatureFrame(code=code, df=ohlcv, target_horizons=horizons)
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df = ohlcv.copy().sort_values("date").reset_index(drop=True)
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df = _add_ta(df)
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trading = _load_trading(code, start, end)
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if not trading.empty:
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df = df.merge(trading, on="date", how="left")
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else:
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for col in ("foreign_net", "institution_net", "individual_net"):
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df[col] = np.nan
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macro = _load_macro(start, end)
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if not macro.empty:
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df = df.merge(macro, on="date", how="left")
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for k in ("kospi", "kosdaq", "usdkrw", "us10y"):
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if k in df.columns:
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df[f"{k}_r1"] = df[k].pct_change()
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sentiment = _load_sentiment(code, start, end)
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if not sentiment.empty:
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df = df.merge(sentiment, on="date", how="left")
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# 3일 롤링 평균
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for col in ("mean_score", "weighted_score", "pos_minus_neg", "n_articles"):
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if col in df.columns:
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df[f"{col}_3d"] = df[col].rolling(3, min_periods=1).mean()
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else:
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for col in ("n_articles", "mean_score", "pos_ratio", "neg_ratio",
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"weighted_score", "pos_minus_neg"):
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df[col] = np.nan
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if with_targets:
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df = _add_targets(df, horizons)
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return FeatureFrame(code=code, df=df, target_horizons=horizons)
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def feature_columns(df: pd.DataFrame) -> list[str]:
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"""LGBM 학습/추론용 피처 컬럼 목록. date / OHLCV / y_* 제외."""
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drop = {"date", "open", "high", "low", "close", "volume"}
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cols = [
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c for c in df.columns
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if c not in drop and not c.startswith("y_")
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]
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return cols
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