feat: implement Smart Volatility Scanner with RSI/volume filters (issue #76)
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Add Python-first scanning pipeline that reduces Gemini API calls by filtering
stocks before AI analysis: KIS rankings API -> RSI/volume filter -> AI judgment.

## Implementation
- Add RSI calculation (Wilder's smoothing method) to VolatilityAnalyzer
- Add KIS API methods: fetch_market_rankings() and get_daily_prices()
- Create SmartVolatilityScanner with configurable thresholds
- Integrate scanner into main.py realtime mode
- Add selection_context logging to trades table for Evolution system

## Configuration
- RSI_OVERSOLD_THRESHOLD: 30 (configurable 0-50)
- RSI_MOMENTUM_THRESHOLD: 70 (configurable 50-100)
- VOL_MULTIPLIER: 2.0 (minimum volume ratio, configurable 1-10)
- SCANNER_TOP_N: 3 (max candidates per scan, configurable 1-10)

## Benefits
- Reduces Gemini API calls (process 1-3 qualified stocks vs 20-30 ranked)
- Python-based technical filtering before expensive AI judgment
- Tracks selection criteria (RSI, volume_ratio, signal, score) for strategy optimization
- Graceful fallback to static watchlist if ranking API fails

## Tests
- 13 new tests for SmartVolatilityScanner and RSI calculation
- All existing tests updated and passing
- Coverage maintained at 73%

Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
This commit is contained in:
agentson
2026-02-06 00:48:23 +09:00
parent 27f581f17d
commit f0ae25c533
9 changed files with 861 additions and 24 deletions

View File

@@ -124,6 +124,54 @@ class VolatilityAnalyzer:
return 1.0
return current_volume / avg_volume
def calculate_rsi(
self,
close_prices: list[float],
period: int = 14,
) -> float:
"""Calculate Relative Strength Index (RSI) using Wilder's smoothing.
Args:
close_prices: List of closing prices (oldest to newest, minimum period+1 values)
period: RSI period (default 14)
Returns:
RSI value between 0 and 100, or 50.0 (neutral) if insufficient data
Examples:
>>> analyzer = VolatilityAnalyzer()
>>> prices = [100 - i * 0.5 for i in range(20)] # Downtrend
>>> rsi = analyzer.calculate_rsi(prices)
>>> assert rsi < 50 # Oversold territory
"""
if len(close_prices) < period + 1:
return 50.0 # Neutral RSI if insufficient data
# Calculate price changes
changes = [close_prices[i] - close_prices[i - 1] for i in range(1, len(close_prices))]
# Separate gains and losses
gains = [max(0.0, change) for change in changes]
losses = [max(0.0, -change) for change in changes]
# Calculate initial average gain/loss (simple average for first period)
avg_gain = sum(gains[:period]) / period
avg_loss = sum(losses[:period]) / period
# Apply Wilder's smoothing for remaining periods
for i in range(period, len(changes)):
avg_gain = (avg_gain * (period - 1) + gains[i]) / period
avg_loss = (avg_loss * (period - 1) + losses[i]) / period
# Calculate RS and RSI
if avg_loss == 0:
return 100.0 # All gains, maximum RSI
rs = avg_gain / avg_loss
rsi = 100 - (100 / (1 + rs))
return rsi
def calculate_pv_divergence(
self,
price_change: float,