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분석레포트 승률 로직 수정

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Macbook
2026-06-08 09:29:42 +09:00
parent d4f0105b5a
commit 7c9e1843ea
2 changed files with 121 additions and 12 deletions
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backend/src/main/java/com/goldenchart/service/BacktestingService.java
+49 -12
View File
@@ -277,9 +277,19 @@ public class BacktestingService {
entryPrice, lastMarkPrice, tradeSizePct, partialDone, partialPct, direction,
simGrossProfit, simGrossLoss);
// 체결(ledger) 기준 거래 통계 — Ta4j TradingRecord와 분리
PortfolioLedger.TradeStats executedStats = ledger != null ? ledger.tradeStats() : null;
if (executedStats != null && executedStats.closedCount > 0) {
int ta4jWins = countTa4jWinningPositions(record);
if (ta4jWins != executedStats.winning) {
log.debug("[Backtest] 승률: ledger 순손익 {}승 (Ta4j 가격기준 {}승) — ledger 기준 적용",
executedStats.winning, ta4jWins);
}
}
// ── AnalysisCriterion 전체 계산 ───────────────────────────────────────
BacktestAnalysisDto analysis = calcAnalysis(series, record, cfg, initCap, finalEquity,
ledger, lastMarkPrice, simGrossProfit[0], simGrossLoss[0]);
ledger, executedStats, lastMarkPrice, simGrossProfit[0], simGrossLoss[0]);
// ── Stats (하위 호환) ─────────────────────────────────────────────────
Stats stats = toStats(analysis, signals);
@@ -299,7 +309,8 @@ public class BacktestingService {
private BacktestAnalysisDto calcAnalysis(BarSeries series, TradingRecord record,
BacktestSettingsDto cfg, double initCap, double finalEquity,
PortfolioLedger ledger, double lastMarkPrice,
PortfolioLedger ledger, PortfolioLedger.TradeStats executedStats,
double lastMarkPrice,
double simGrossProfit, double simGrossLoss) {
String analysisMethod = ledger != null
? ledger.analysisMethod
@@ -335,26 +346,38 @@ public class BacktestingService {
double sortino;
double calmar;
if (ledger != null) {
PortfolioLedger.TradeStats ts = ledger.tradeStats();
positions = ts.closedCount;
winning = ts.winning;
losing = ts.losing;
breakEven = ts.breakEven;
winRate = ts.winRate;
avgReturnPct = ts.avgReturnPct;
maxDrawdown = ledger.maxDrawdownPct();
if (executedStats != null && executedStats.closedCount > 0) {
// LONG PortfolioLedger: 수수료·슬리피지 반영 실현손익 기준 (실매매와 동일)
positions = executedStats.closedCount;
winning = executedStats.winning;
losing = executedStats.losing;
breakEven = executedStats.breakEven;
winRate = executedStats.winRate;
avgReturnPct = executedStats.avgReturnPct;
maxDrawdown = normalizeDrawdownPct(ledger.maxDrawdownPct());
sharpe = ledger.sharpeFromEquityCurve();
sortino = safeCalc(() -> calcCriterion(
"org.ta4j.core.criteria.SortinoRatioCriterion", series, record));
calmar = (maxDrawdown != 0) ? totalReturnPct / Math.abs(maxDrawdown) : 0.0;
} else if (ledger != null) {
// ledger 있으나 청산 0건 — Ta4j 승률 사용하지 않음
positions = 0;
winning = 0;
losing = 0;
breakEven = 0;
winRate = 0.0;
avgReturnPct = 0.0;
maxDrawdown = normalizeDrawdownPct(ledger.maxDrawdownPct());
sharpe = ledger.sharpeFromEquityCurve();
sortino = 0.0;
calmar = 0.0;
} else {
positions = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfPositionsCriterion", series, record));
winning = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfWinningPositionsCriterion", series, record));
losing = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfLosingPositionsCriterion", series, record));
breakEven = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfBreakEvenPositionsCriterion", series, record));
winRate = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.WinningPositionsRatioCriterion", series, record));
maxDrawdown = safeCalc(() -> calcMaxDrawdown(series, record));
maxDrawdown = normalizeDrawdownPct(safeCalc(() -> calcMaxDrawdown(series, record)));
sharpe = safeCalc(() -> calcSharpeRatio(series, record));
sortino = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.SortinoRatioCriterion", series, record));
calmar = (maxDrawdown != 0) ? totalReturnPct / Math.abs(maxDrawdown) : 0.0;
@@ -415,6 +438,20 @@ public class BacktestingService {
.build();
}
/** MDD는 음수(낙폭)로 통일 */
private static double normalizeDrawdownPct(double dd) {
if (dd == 0.0) return 0.0;
return dd > 0 ? -dd : dd;
}
/** Ta4j 가격 기준 승수 (디버그·비교용, 레포트에는 미사용) */
private static int countTa4jWinningPositions(TradingRecord record) {
if (record == null) return 0;
return (int) record.getPositions().stream()
.filter(p -> p.isClosed() && p.getProfit().isPositive())
.count();
}
private static Signal buildFillSignal(long time, String type, double price, int barIndex, double quantity) {
return Signal.builder()
.time(time)
backend/src/test/java/com/goldenchart/service/PortfolioLedgerTradeStatsTest.java
+72
View File
@@ -0,0 +1,72 @@
package com.goldenchart.service;
import com.goldenchart.dto.BacktestSettingsDto;
import org.junit.jupiter.api.Test;
import java.math.BigDecimal;
import static org.junit.jupiter.api.Assertions.assertEquals;
/**
* 체결(ledger) 순손익 기준 승률·승패 집계 검증.
* 분석레포트_수정.pdf 28시그널 / 14라운드트립 시나리오.
*/
class PortfolioLedgerTradeStatsTest {
private static final double INIT = 10_000_000.0;
private PortfolioLedger newLedger() {
BacktestSettingsDto cfg = BacktestSettingsDto.builder()
.initialCapital(BigDecimal.valueOf(INIT))
.commissionType("LINEAR")
.commissionRate(new BigDecimal("0.00150"))
.slippageRate(new BigDecimal("0.00050"))
.tradeSizeType("CAPITAL_PCT")
.tradeSizeValue(new BigDecimal("100"))
.analysisMethod("MARK_TO_MARKET")
.build();
return new PortfolioLedger(INIT, cfg);
}
@Test
void pdfScenario_netPnlWinLoss_afterFees() {
double[][] pairs = {
{93254604, 92806574},
{92876415, 92203875},
{91648802, 92324815},
{92723339, 93019467},
{92258106, 92293830},
{92507231, 92150902},
{92463209, 91909023},
{92117036, 92075939},
{92298126, 92062946},
{92253104, 92280837},
{92306130, 92359797},
{93446700, 93045454},
{93458706, 93657148},
{94142048, 93835059},
};
PortfolioLedger ledger = newLedger();
long t = 1_700_000_000L;
int bar = 0;
for (double[] pair : pairs) {
// PDF 시그널 가격 = 슬리피지 반영 체결가
ledger.executeBuy(pair[0], pair[0], t + bar, bar);
bar += 8;
ledger.executeSell(pair[1], 1.0, t + bar, bar);
bar += 8;
}
PortfolioLedger.TradeStats ts = ledger.tradeStats();
assertEquals(14, ts.closedCount);
assertEquals(2, ts.winning, "수수료 반영 순손익 기준 2승");
assertEquals(12, ts.losing, "수수료 반영 순손익 기준 12패");
assertEquals(0, ts.breakEven);
assertEquals(2.0 / 14.0, ts.winRate, 1e-9);
double finalEq = ledger.resolveFinalEquity(pairs[pairs.length - 1][1]);
assertEquals(-0.0588, (finalEq - INIT) / INIT, 0.002);
assertEquals(ledger.grossProfit + ledger.grossLoss, ledger.realizedPnl, 1.0);
}
}