분석레포트 승률 로직 수정

2026-06-08 09:29:42 +09:00
parent d4f0105b5a
commit 7c9e1843ea
2 changed files with 121 additions and 12 deletions
@@ -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);
+    }
+}