feat(signal_v2-phase3b): momentum_classifier + 6 unit tests

aggregate_1min_to_5min: 1분봉 5개 → 5분봉 1개 (open=첫, close=마지막,
high=max, low=min, volume=sum). classify_minute_momentum: 직전 5개
5분봉 양봉 개수 + 거래량 60분 multiplier → 5-level
(strong_up/weak_up/neutral/weak_down/strong_down).

40 tests pass.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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2026-05-16 17:55:34 +09:00
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"""분봉 OHLCV → 5-level 모멘텀 분류."""
from __future__ import annotations
from collections import deque
# 분류 카테고리
STRONG_UP = "strong_up"
WEAK_UP = "weak_up"
NEUTRAL = "neutral"
WEAK_DOWN = "weak_down"
STRONG_DOWN = "strong_down"
_BARS_PER_5MIN = 5
_LOOKBACK_5MIN_BARS = 5
_VOLUME_AVG_WINDOW = 12 # 60분 = 5분봉 12개
def aggregate_1min_to_5min(minute_bars: list[dict]) -> list[dict]:
"""1분봉 N개 → 5분봉 floor(N/5) 개. 시간 오름차순.
각 5분봉: open=첫 1분봉 open, high=max, low=min, close=마지막 close, volume=sum.
"""
bars_5min = []
chunks = len(minute_bars) // _BARS_PER_5MIN
for i in range(chunks):
chunk = minute_bars[i * _BARS_PER_5MIN : (i + 1) * _BARS_PER_5MIN]
bars_5min.append({
"datetime": chunk[0]["datetime"],
"open": chunk[0]["open"],
"high": max(b["high"] for b in chunk),
"low": min(b["low"] for b in chunk),
"close": chunk[-1]["close"],
"volume": sum(b["volume"] for b in chunk),
})
return bars_5min
def classify_minute_momentum(minute_bars: deque) -> str:
"""1분봉 deque → 5-level 모멘텀 분류.
Returns: STRONG_UP / WEAK_UP / NEUTRAL / WEAK_DOWN / STRONG_DOWN
"""
minute_list = list(minute_bars)
if len(minute_list) < _BARS_PER_5MIN * _LOOKBACK_5MIN_BARS:
return NEUTRAL # 데이터 부족
bars_5min = aggregate_1min_to_5min(minute_list)
if len(bars_5min) < _LOOKBACK_5MIN_BARS:
return NEUTRAL
recent = bars_5min[-_LOOKBACK_5MIN_BARS:]
up_count = sum(1 for b in recent if b["close"] > b["open"])
# 거래량 multiplier: recent 5 avg vs 60분 avg
recent_vol_avg = sum(b["volume"] for b in recent) / len(recent)
long_window = bars_5min[-_VOLUME_AVG_WINDOW:]
long_vol_avg = sum(b["volume"] for b in long_window) / len(long_window)
vol_mult = recent_vol_avg / long_vol_avg if long_vol_avg > 0 else 1.0
# 5-level 분류
if up_count == 5 and vol_mult >= 1.5:
return STRONG_UP
elif up_count >= 3 and vol_mult >= 1.0:
return WEAK_UP
elif up_count == 0 and vol_mult >= 1.5:
return STRONG_DOWN
elif up_count <= 2 and vol_mult < 1.0:
return WEAK_DOWN
else:
return NEUTRAL