분석결과 레포트 수정
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@@ -21,6 +21,8 @@ export interface TradeHistoryRow {
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price: number;
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quantity: number;
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pnlPct?: number;
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/** 매도 체결 시 실현 손익 (원) */
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pnlAmount?: number;
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}
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const BUY_TYPES = new Set(['BUY']);
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@@ -0,0 +1,335 @@
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import type { BacktestAnalysis, BacktestSignal } from './backendApi';
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import type {
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BacktestAnalysisReportModel,
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EvaluationAllocationReport,
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} from '../components/backtest/BacktestAnalysisReportModal';
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import type { EquityPoint, TradeHistoryRow } from './backtestEquity';
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import { repairUtf8Mojibake } from './textEncoding';
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import { getKoreanName } from './marketNameCache';
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import { toUpbitMarket } from './backtestUiUtils';
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export type BuyAllocationMode = 'full' | 'split';
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const BUY_TYPES = new Set<BacktestSignal['type']>(['BUY']);
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const SELL_TYPES = new Set<BacktestSignal['type']>(['SELL', 'SHORT_EXIT', 'PARTIAL_SELL']);
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function sortSignals(signals: BacktestSignal[]): BacktestSignal[] {
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return [...signals].sort((a, b) => {
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const t = a.time - b.time;
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if (t !== 0) return t;
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return (a.barIndex ?? 0) - (b.barIndex ?? 0);
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});
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}
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/** 최초 매수 이전 매도·최종 매도 이후 매수 시그널 제외 */
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export function filterSignalsForEvaluationReport(signals: BacktestSignal[]): BacktestSignal[] {
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const sorted = sortSignals(signals);
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const firstBuyIdx = sorted.findIndex(s => BUY_TYPES.has(s.type));
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if (firstBuyIdx < 0) return [];
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let lastSellIdx = -1;
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for (let i = sorted.length - 1; i >= 0; i--) {
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if (SELL_TYPES.has(sorted[i].type)) {
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lastSellIdx = i;
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break;
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}
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}
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return sorted.filter((s, i) => {
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if (i < firstBuyIdx && SELL_TYPES.has(s.type)) return false;
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if (lastSellIdx >= 0 && i > lastSellIdx && BUY_TYPES.has(s.type)) return false;
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return true;
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});
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}
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function buyCashFraction(buyIndexInCycle: number, mode: BuyAllocationMode): number | null {
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if (mode === 'full') {
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return buyIndexInCycle === 1 ? 1 : null;
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}
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if (buyIndexInCycle === 1) return 0.4;
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if (buyIndexInCycle === 2) return 0.3;
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if (buyIndexInCycle === 3) return 1;
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return null;
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}
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export interface EvaluationSimulationResult {
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curve: EquityPoint[];
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trades: TradeHistoryRow[];
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finalCash: number;
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finalQty: number;
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lastPrice: number;
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}
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/** 필터링된 시그널 기준 포트폴리오 시뮬레이션 (매도는 전량) */
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export function simulateEvaluationPortfolio(
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signals: BacktestSignal[],
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initialCapital: number,
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symbol: string,
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mode: BuyAllocationMode,
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): EvaluationSimulationResult {
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const sorted = sortSignals(signals);
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const curve: EquityPoint[] = [];
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const trades: TradeHistoryRow[] = [];
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if (sorted.length === 0) {
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const now = Math.floor(Date.now() / 1000);
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return {
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curve: [{ time: now, equity: initialCapital }],
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trades: [],
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finalCash: initialCapital,
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finalQty: 0,
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lastPrice: 0,
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};
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}
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let cash = initialCapital;
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let qty = 0;
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let totalCost = 0;
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let buyIndexInCycle = 0;
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let tradeId = 0;
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let lastPrice = sorted[0].price;
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const markEquity = (time: number, price: number) => {
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lastPrice = price;
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const equity = qty > 0 ? qty * price + cash : cash;
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const prev = curve[curve.length - 1];
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if (!prev || prev.time !== time || Math.abs(prev.equity - equity) > 0.01) {
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curve.push({ time, equity });
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}
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};
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markEquity(sorted[0].time, sorted[0].price);
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for (const s of sorted) {
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if (BUY_TYPES.has(s.type)) {
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if (qty === 0) buyIndexInCycle = 0;
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buyIndexInCycle += 1;
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const frac = buyCashFraction(buyIndexInCycle, mode);
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if (frac != null && cash > 0) {
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const spend = cash * frac;
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if (spend > 0 && s.price > 0) {
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const buyQty = spend / s.price;
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cash -= spend;
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totalCost += spend;
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qty += buyQty;
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tradeId += 1;
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trades.push({
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id: tradeId,
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time: s.time,
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symbol,
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side: 'buy',
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price: s.price,
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quantity: buyQty,
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});
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}
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}
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markEquity(s.time, s.price);
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} else if (SELL_TYPES.has(s.type) && qty > 0) {
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const proceeds = qty * s.price;
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const pnl = proceeds - totalCost;
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const avgEntry = totalCost / qty;
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const pnlPct = avgEntry > 0 ? (s.price - avgEntry) / avgEntry : 0;
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cash += proceeds;
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tradeId += 1;
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trades.push({
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id: tradeId,
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time: s.time,
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symbol,
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side: 'sell',
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price: s.price,
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quantity: qty,
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pnlPct,
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pnlAmount: pnl,
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});
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qty = 0;
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totalCost = 0;
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buyIndexInCycle = 0;
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markEquity(s.time, s.price);
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} else {
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markEquity(s.time, s.price);
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}
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}
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if (qty > 0) {
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markEquity(sorted[sorted.length - 1].time, lastPrice);
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} else if (curve.length === 1) {
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const last = sorted[sorted.length - 1];
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markEquity(last.time, last.price);
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}
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return { curve, trades, finalCash: cash, finalQty: qty, lastPrice };
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}
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function maxDrawdownFraction(curve: number[]): number {
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if (curve.length < 2) return 0;
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let peak = curve[0];
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let mdd = 0;
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for (const v of curve) {
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if (v > peak) peak = v;
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if (peak > 0) {
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const dd = (peak - v) / peak;
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if (dd > mdd) mdd = dd;
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}
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}
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return mdd;
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}
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function maxRunupFraction(curve: number[]): number {
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if (curve.length < 2) return 0;
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let trough = curve[0];
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let runup = 0;
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for (const v of curve) {
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if (v < trough) trough = v;
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if (trough > 0) {
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const ru = (v - trough) / trough;
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if (ru > runup) runup = ru;
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}
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}
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return runup;
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}
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function sharpeFromCurve(curve: number[]): number {
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if (curve.length < 3) return 0;
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const rets: number[] = [];
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for (let i = 1; i < curve.length; i++) {
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const prev = curve[i - 1];
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if (prev > 0) rets.push((curve[i] - prev) / prev);
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}
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if (!rets.length) return 0;
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const mean = rets.reduce((a, b) => a + b, 0) / rets.length;
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const variance = rets.reduce((a, r) => a + (r - mean) ** 2, 0) / rets.length;
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const std = Math.sqrt(variance);
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if (std === 0) return mean > 0 ? 2.45 : 0;
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return (mean / std) * Math.sqrt(252);
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}
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function buildAnalysisFromSimulation(
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sim: EvaluationSimulationResult,
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initialCapital: number,
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buyAndHoldReturnPct: number,
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stillHolding: boolean,
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): BacktestAnalysis {
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const curveValues = sim.curve.map(p => p.equity);
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const finalEquity = curveValues.length ? curveValues[curveValues.length - 1] : initialCapital;
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const holdingsValue = sim.finalQty > 0 ? sim.finalQty * sim.lastPrice : 0;
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const cashBalance = sim.finalCash;
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const sells = sim.trades.filter(t => t.side === 'sell');
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let wins = 0;
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let grossProfit = 0;
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let grossLoss = 0;
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let breakEven = 0;
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for (const t of sells) {
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const pnl = t.pnlAmount ?? 0;
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if (pnl > 0) {
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wins += 1;
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grossProfit += pnl;
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} else if (pnl < 0) {
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grossLoss += Math.abs(pnl);
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} else {
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breakEven += 1;
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}
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}
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const total = sells.length;
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const profitLossRatio = grossLoss > 0 ? grossProfit / grossLoss : grossProfit > 0 ? 99 : 0;
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const mdd = maxDrawdownFraction(curveValues);
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const sharpe = sharpeFromCurve(curveValues);
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const totalReturnPct = initialCapital > 0 ? (finalEquity - initialCapital) / initialCapital : 0;
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const totalPnl = finalEquity - initialCapital;
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const realizedFromSells = grossProfit - grossLoss; // net realized from closed rounds
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return {
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initialCapital,
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finalEquity,
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analysisMethod: stillHolding ? 'MARK_TO_MARKET' : 'REALIZED_ONLY',
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cashBalance: stillHolding ? cashBalance : finalEquity,
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holdingsValue: stillHolding && holdingsValue > 0 ? holdingsValue : undefined,
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realizedPnl: stillHolding ? realizedFromSells : totalPnl,
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unrealizedPnl: stillHolding ? totalPnl - realizedFromSells : undefined,
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totalReturnPct,
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totalProfitLoss: finalEquity - initialCapital,
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grossProfit,
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grossLoss,
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avgReturnPct: total > 0 ? totalReturnPct / total : 0,
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profitLossRatio: Math.min(profitLossRatio, 99),
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numberOfPositions: total,
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numberOfWinning: wins,
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numberOfLosing: Math.max(0, total - wins - breakEven),
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numberOfBreakEven: breakEven,
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winRate: total > 0 ? wins / total : 0,
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maxDrawdownPct: mdd,
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maxRunupPct: maxRunupFraction(curveValues),
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sharpeRatio: sharpe,
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sortinoRatio: 0,
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calmarRatio: mdd > 0 ? totalReturnPct / mdd : 0,
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valueAtRisk95: 0,
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expectedShortfall: 0,
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buyAndHoldReturnPct,
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vsBuyAndHold: buyAndHoldReturnPct !== 0 ? totalReturnPct / buyAndHoldReturnPct : 0,
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};
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}
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function isStillHolding(signals: BacktestSignal[]): boolean {
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let holding = false;
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for (const s of sortSignals(signals)) {
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if (BUY_TYPES.has(s.type)) holding = true;
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else if (SELL_TYPES.has(s.type)) holding = false;
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}
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return holding;
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}
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const ALLOCATION_LABELS: Record<BuyAllocationMode, string> = {
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full: '일괄매수 (최초 매수 시 전액)',
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split: '분할매수 (1차 40% · 2차 30% · 3차 잔여 전액)',
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};
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/** 전략평가 화면 — 필터·시뮬레이션 기반 분석 레포트 모델 */
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export function buildStrategyEvaluationReportModel(opts: {
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signals: BacktestSignal[];
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initialCapital: number;
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strategyName: string;
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symbol: string;
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timeframe: string;
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barCount: number;
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createdAt?: string;
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firstBarClose?: number;
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lastBarClose?: number;
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}): BacktestAnalysisReportModel | null {
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const filtered = filterSignalsForEvaluationReport(opts.signals);
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const stillHolding = isStillHolding(filtered);
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const firstClose = opts.firstBarClose ?? filtered[0]?.price ?? 0;
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const lastClose = opts.lastBarClose ?? filtered[filtered.length - 1]?.price ?? 0;
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const buyAndHoldReturnPct = firstClose > 0 ? (lastClose - firstClose) / firstClose : 0;
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const modes: BuyAllocationMode[] = ['full', 'split'];
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const evaluationAllocations: EvaluationAllocationReport[] = modes.map(mode => {
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const sim = simulateEvaluationPortfolio(filtered, opts.initialCapital, opts.symbol, mode);
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return {
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mode,
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label: ALLOCATION_LABELS[mode],
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analysis: buildAnalysisFromSimulation(sim, opts.initialCapital, buyAndHoldReturnPct, stillHolding),
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};
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});
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const primary = evaluationAllocations.find(a => a.mode === 'split') ?? evaluationAllocations[0];
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if (!primary) return null;
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const market = toUpbitMarket(opts.symbol);
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return {
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analysis: primary.analysis,
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signals: filtered,
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strategyName: repairUtf8Mojibake(opts.strategyName || '전략'),
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symbol: opts.symbol,
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symbolKo: repairUtf8Mojibake(getKoreanName(market)),
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timeframe: opts.timeframe,
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barCount: opts.barCount || 300,
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createdAt: opts.createdAt,
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reportKind: 'backtest',
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evaluationAllocations,
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reportSignalFilterNote:
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'분석 기간 전체 캔들 기준으로, 최초 매수 이전 매도·최종 매도 이후 매수 시그널은 제외했습니다. 매도는 보유 물량 전량 매도로 가정합니다.',
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};
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}
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