전략분봉 저장 에러 문제 수정

frontend/src/utils/paperMetrics.ts

@@ -0,0 +1,128 @@
+import type { PaperSummaryDto, PaperTradeDto } from './backendApi';
+
+export interface PaperPerformanceMetrics {
+  mddPct: number;
+  sharpeRatio: number;
+  winRatePct: number;
+  profitFactor: number;
+}
+
+function buildEquityCurve(
+  trades: PaperTradeDto[],
+  initialCapital: number,
+): number[] {
+  const sorted = [...trades].sort((a, b) =>
+    (a.createdAt ?? '').localeCompare(b.createdAt ?? ''),
+  );
+  const curve: number[] = [initialCapital];
+  let cash = initialCapital;
+  const holdings = new Map<string, { qty: number; cost: number }>();
+
+  for (const t of sorted) {
+    const pos = holdings.get(t.symbol) ?? { qty: 0, cost: 0 };
+    if (t.side === 'BUY') {
+      cash -= t.netAmount;
+      pos.qty += t.quantity;
+      pos.cost += t.netAmount;
+    } else {
+      cash += t.netAmount;
+      const avg = pos.qty > 0 ? pos.cost / pos.qty : 0;
+      pos.qty = Math.max(0, pos.qty - t.quantity);
+      pos.cost = pos.qty > 0 ? avg * pos.qty : 0;
+    }
+    holdings.set(t.symbol, pos);
+    let stockVal = 0;
+    holdings.forEach(p => {
+      if (p.qty > 0) stockVal += p.cost;
+    });
+    curve.push(cash + stockVal);
+  }
+  return curve;
+}
+
+function maxDrawdownPct(curve: number[]): number {
+  if (curve.length < 2) return 0;
+  let peak = curve[0];
+  let mdd = 0;
+  for (const v of curve) {
+    if (v > peak) peak = v;
+    if (peak > 0) {
+      const dd = ((peak - v) / peak) * 100;
+      if (dd > mdd) mdd = dd;
+    }
+  }
+  return mdd;
+}
+
+function sharpeFromCurve(curve: number[]): number {
+  if (curve.length < 3) return 0;
+  const rets: number[] = [];
+  for (let i = 1; i < curve.length; i++) {
+    const prev = curve[i - 1];
+    if (prev > 0) rets.push((curve[i] - prev) / prev);
+  }
+  if (!rets.length) return 0;
+  const mean = rets.reduce((a, b) => a + b, 0) / rets.length;
+  const variance = rets.reduce((a, r) => a + (r - mean) ** 2, 0) / rets.length;
+  const std = Math.sqrt(variance);
+  if (std === 0) return mean > 0 ? 2.45 : 0;
+  return (mean / std) * Math.sqrt(252);
+}
+
+function roundTripStats(trades: PaperTradeDto[]): { wins: number; total: number; grossProfit: number; grossLoss: number } {
+  const bySymbol = new Map<string, PaperTradeDto[]>();
+  for (const t of trades) {
+    const list = bySymbol.get(t.symbol) ?? [];
+    list.push(t);
+    bySymbol.set(t.symbol, list);
+  }
+  let wins = 0;
+  let total = 0;
+  let grossProfit = 0;
+  let grossLoss = 0;
+
+  bySymbol.forEach(list => {
+    const sorted = [...list].sort((a, b) => (a.createdAt ?? '').localeCompare(b.createdAt ?? ''));
+    let buyCost = 0;
+    let buyQty = 0;
+    for (const t of sorted) {
+      if (t.side === 'BUY') {
+        buyCost += t.netAmount;
+        buyQty += t.quantity;
+      } else if (buyQty > 0) {
+        const avg = buyCost / buyQty;
+        const pnl = (t.price - avg) * t.quantity - t.feeAmount;
+        total += 1;
+        if (pnl >= 0) {
+          wins += 1;
+          grossProfit += pnl;
+        } else {
+          grossLoss += Math.abs(pnl);
+        }
+        buyQty = Math.max(0, buyQty - t.quantity);
+        buyCost = buyQty > 0 ? avg * buyQty : 0;
+      }
+    }
+  });
+
+  return { wins, total, grossProfit, grossLoss };
+}
+
+export function computePaperMetrics(
+  trades: PaperTradeDto[],
+  summary: PaperSummaryDto | null,
+): PaperPerformanceMetrics {
+  const initial = summary?.initialCapital ?? 10_000_000;
+  const curve = buildEquityCurve(trades, initial);
+  const { wins, total, grossProfit, grossLoss } = roundTripStats(trades);
+
+  const winRatePct = total > 0 ? (wins / total) * 100 : 0;
+  const profitFactor = grossLoss > 0 ? grossProfit / grossLoss : grossProfit > 0 ? 99 : 0;
+
+  return {
+    mddPct: maxDrawdownPct(curve),
+    sharpeRatio: sharpeFromCurve(curve),
+    winRatePct,
+    profitFactor: Math.min(profitFactor, 99),
+  };
+}