전략분봉 저장 에러 문제 수정

2026-05-23 21:08:46 +09:00
parent eaf067db1c
commit 70ac67afe7
18 changed files with 2445 additions and 498 deletions
@@ -0,0 +1,129 @@
+import type { BacktestSignal } from './backendApi';
+
+export interface EquityPoint {
+  time: number;
+  equity: number;
+}
+
+export interface TradeMarker {
+  time: number;
+  equity: number;
+  type: 'buy' | 'sell';
+  price: number;
+  pnlPct?: number;
+}
+
+export interface TradeHistoryRow {
+  id: number;
+  time: number;
+  symbol: string;
+  side: 'buy' | 'sell';
+  price: number;
+  quantity: number;
+  pnlPct?: number;
+}
+
+const BUY_TYPES = new Set(['BUY']);
+const SELL_TYPES = new Set(['SELL', 'SHORT_EXIT', 'PARTIAL_SELL']);
+
+export function buildEquityFromSignals(
+  signals: BacktestSignal[],
+  initialCapital: number,
+  symbol: string,
+): { curve: EquityPoint[]; markers: TradeMarker[]; trades: TradeHistoryRow[] } {
+  const sorted = [...signals].sort((a, b) => a.time - b.time);
+  const curve: EquityPoint[] = [];
+  const markers: TradeMarker[] = [];
+  const trades: TradeHistoryRow[] = [];
+
+  if (sorted.length === 0) {
+    const now = Math.floor(Date.now() / 1000);
+    return {
+      curve: [{ time: now, equity: initialCapital }],
+      markers: [],
+      trades: [],
+    };
+  }
+
+  let cash = initialCapital;
+  let qty = 0;
+  let entryPrice = 0;
+  let tradeId = 0;
+
+  const pushCurve = (time: number, price: number) => {
+    const equity = qty > 0 ? qty * price : cash;
+    const last = curve[curve.length - 1];
+    if (!last || last.time !== time || Math.abs(last.equity - equity) > 0.01) {
+      curve.push({ time, equity });
+    }
+  };
+
+  pushCurve(sorted[0].time, sorted[0].price);
+
+  for (const s of sorted) {
+    if (BUY_TYPES.has(s.type) && qty === 0 && cash > 0) {
+      qty = cash / s.price;
+      entryPrice = s.price;
+      cash = 0;
+      tradeId += 1;
+      const eq = qty * s.price;
+      trades.push({
+        id: tradeId,
+        time: s.time,
+        symbol,
+        side: 'buy',
+        price: s.price,
+        quantity: qty,
+      });
+      markers.push({ time: s.time, equity: eq, type: 'buy', price: s.price });
+      pushCurve(s.time, s.price);
+    } else if (SELL_TYPES.has(s.type) && qty > 0) {
+      const pnlPct = entryPrice > 0 ? (s.price - entryPrice) / entryPrice : 0;
+      cash = qty * s.price;
+      tradeId += 1;
+      trades.push({
+        id: tradeId,
+        time: s.time,
+        symbol,
+        side: 'sell',
+        price: s.price,
+        quantity: qty,
+        pnlPct,
+      });
+      markers.push({ time: s.time, equity: cash, type: 'sell', price: s.price, pnlPct });
+      qty = 0;
+      entryPrice = 0;
+      pushCurve(s.time, s.price);
+    } else {
+      pushCurve(s.time, s.price);
+    }
+  }
+
+  if (curve.length === 1 && sorted.length > 0) {
+    const last = sorted[sorted.length - 1];
+    const equity = qty > 0 ? qty * last.price : cash;
+    curve.push({ time: last.time, equity });
+  }
+
+  return { curve, markers, trades };
+}
+
+export function sparklinePath(values: number[], w: number, h: number): string {
+  if (values.length < 2) {
+    const y = h * 0.5;
+    return `M0,${y} L${w},${y}`;
+  }
+  const min = Math.min(...values);
+  const max = Math.max(...values);
+  const range = max - min || 1;
+  return values.map((v, i) => {
+    const x = (i / (values.length - 1)) * w;
+    const y = h - 4 - ((v - min) / range) * (h - 8);
+    return `${i === 0 ? 'M' : 'L'}${x.toFixed(1)},${y.toFixed(1)}`;
+  }).join(' ');
+}
+
+export function equityToSparkline(curve: EquityPoint[]): number[] {
+  if (curve.length <= 1) return [0, 1];
+  return curve.map(p => p.equity);
+}