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복합지표 전략 추가

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Macbook
2026-06-12 13:26:53 +09:00
parent 9208418c33
commit 52137cf1db
27 changed files with 2712 additions and 55 deletions
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backend/src/main/java/com/goldenchart/dto/BacktestSettingsDto.java
+1 -1
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@@ -90,7 +90,7 @@ public class BacktestSettingsDto {
// ── 포지션 종속성 모드 ─────────────────────────────────────────────────────
/** "LONG_ONLY" | "SIGNAL_ONLY" — 매도 시그널 포지션 종속성 제어 */
@Builder.Default
private String positionMode = "SIGNAL_ONLY";
private String positionMode = "LONG_ONLY";
// ── 분할 청산 ──────────────────────────────────────────────────────────────
@Builder.Default
backend/src/main/java/com/goldenchart/service/BacktestingService.java
+7 -5
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@@ -199,21 +199,23 @@ public class BacktestingService {
double exitPrice = getPrice(series, req.getBars(), i, cfg.getExitPriceType());
long time = barStartEpoch(series, i);
// ── SIGNAL_ONLY 모드: 포지션·자금 상태 무관, 조건 충족 시마다 전체 시그널 생성 ──
// ── SIGNAL_ONLY: 조건 충족 '시작' 봉만 시그널 (GTE 유지형 연속 중복 방지) ──
if (signalOnly) {
boolean entrySatisfied = entryRule.isSatisfied(i);
boolean exitSatisfied = exitRule.isSatisfied(i);
if (entrySatisfied) {
boolean entryEdge = entrySatisfied && (i <= loopStart || !entryRule.isSatisfied(i - 1));
boolean exitEdge = exitSatisfied && (i <= loopStart || !exitRule.isSatisfied(i - 1));
if (entryEdge) {
double effEntry = applySlippage(closePrice, cfg, true);
String buyType = "SHORT".equals(direction) ? "SHORT_ENTRY" : "BUY";
signals.add(buildFillSignal(time, buyType, effEntry, i, 1.0));
log.debug("[Backtest:SIGNAL_ONLY] BUY @ bar={} price={}", i, effEntry);
log.debug("[Backtest:SIGNAL_ONLY] BUY(edge) @ bar={} price={}", i, effEntry);
}
if (exitSatisfied) {
if (exitEdge) {
double effExit = applySlippage(exitPrice, cfg, false);
String sellType = "SHORT".equals(direction) ? "SHORT_EXIT" : "SELL";
signals.add(buildFillSignal(time, sellType, effExit, i, 1.0));
log.debug("[Backtest:SIGNAL_ONLY] SELL @ bar={} price={}", i, effExit);
log.debug("[Backtest:SIGNAL_ONLY] SELL(edge) @ bar={} price={}", i, effExit);
}
continue;
}
backend/src/main/java/com/goldenchart/service/StrategyDslToTa4jAdapter.java
+8
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@@ -930,6 +930,14 @@ public class StrategyDslToTa4jAdapter {
};
}
// MA (SMA)
if (field.startsWith("CLOSE_MAX_")) {
int period = parseTrailingInt(field, "CLOSE_MAX_", 33);
return new HighestValueIndicator(close, period);
}
if (field.startsWith("CLOSE_MIN_")) {
int period = parseTrailingInt(field, "CLOSE_MIN_", 33);
return new LowestValueIndicator(close, period);
}
if (field.startsWith("MA") && !field.startsWith("MACD")) {
try { return new SMAIndicator(close, Integer.parseInt(field.substring(2))); }
catch (NumberFormatException ignored) { /* fall */ }
backend/src/main/java/com/goldenchart/service/StrategySignalDeterminer.java
+11 -4
View File
@@ -57,8 +57,8 @@ public class StrategySignalDeterminer {
int index, String positionMode) {
try {
if ("SIGNAL_ONLY".equals(positionMode)) {
boolean enterOk = entryRule != null && entryRule.isSatisfied(index);
boolean exitOk = exitRule != null && exitRule.isSatisfied(index);
boolean enterOk = entryRule != null && isRisingEdge(entryRule, index);
boolean exitOk = exitRule != null && isRisingEdge(exitRule, index);
if (enterOk) return "BUY";
if (exitOk) return "SELL";
return "NONE";
@@ -84,8 +84,15 @@ public class StrategySignalDeterminer {
}
private String determineSignalOnly(Strategy strategy, int index) {
if (strategy.getEntryRule().isSatisfied(index)) return "BUY";
if (strategy.getExitRule().isSatisfied(index)) return "SELL";
if (isRisingEdge(strategy.getEntryRule(), index)) return "BUY";
if (isRisingEdge(strategy.getExitRule(), index)) return "SELL";
return "NONE";
}
/** GTE 등 유지형 조건 — 충족 시작 봉만 true (연속 시그널 방지) */
private boolean isRisingEdge(Rule rule, int index) {
if (rule == null || !rule.isSatisfied(index)) return false;
if (index <= 0) return true;
return !rule.isSatisfied(index - 1);
}
}