분석레포트 승률 로직 수정

backend/src/main/java/com/goldenchart/service/BacktestingService.java

@@ -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) {
+        if (executedStats != null && executedStats.closedCount > 0) {
-            PortfolioLedger.TradeStats ts = ledger.tradeStats();
+            // LONG PortfolioLedger: 수수료·슬리피지 반영 실현손익 기준 (실매매와 동일)
-            positions   = ts.closedCount;
+            positions   = executedStats.closedCount;
-            winning     = ts.winning;
+            winning     = executedStats.winning;
-            losing      = ts.losing;
+            losing      = executedStats.losing;
-            breakEven   = ts.breakEven;
+            breakEven   = executedStats.breakEven;
-            winRate     = ts.winRate;
+            winRate     = executedStats.winRate;
-            avgReturnPct = ts.avgReturnPct;
+            avgReturnPct = executedStats.avgReturnPct;
-            maxDrawdown = ledger.maxDrawdownPct();
+            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

@@ -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);
+    }
+}