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매매실행 방식 설정 추가

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Macbook
2026-06-20 09:59:18 +09:00
parent fd63c101e5
commit 8bf157137a
12 changed files with 195 additions and 21 deletions
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backend/src/main/java/com/goldenchart/dto/BacktestSettingsDto.java
+7
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@@ -107,4 +107,11 @@ public class BacktestSettingsDto {
*/
@Builder.Default
private String analysisMethod = "MARK_TO_MARKET";
/**
* SCAN_SIGNALS — 조건 스캔(봉 종가·DSL 충족, 차트 마커와 동일)
* BACKTEST_ENGINE — 슬리피지·손절/익절·진입/청산가 등 백테스트 설정 반영 (기본)
*/
@Builder.Default
private String tradeExecutionMode = "BACKTEST_ENGINE";
}
backend/src/main/java/com/goldenchart/entity/GcBacktestSettings.java
+5
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@@ -124,6 +124,11 @@ public class GcBacktestSettings {
@Builder.Default
private String analysisMethod = "MARK_TO_MARKET";
/** SCAN_SIGNALS | BACKTEST_ENGINE */
@Column(name = "trade_execution_mode", nullable = false, length = 32)
@Builder.Default
private String tradeExecutionMode = "BACKTEST_ENGINE";
@Column(name = "created_at", nullable = false, updatable = false)
private LocalDateTime createdAt;
backend/src/main/java/com/goldenchart/service/BacktestSettingsService.java
+8
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@@ -54,6 +54,10 @@ public class BacktestSettingsService {
PortfolioLedger.REALIZED_ONLY.equals(dto.getAnalysisMethod())
? PortfolioLedger.REALIZED_ONLY
: PortfolioLedger.MARK_TO_MARKET);
entity.setTradeExecutionMode(
"SCAN_SIGNALS".equals(dto.getTradeExecutionMode())
? "SCAN_SIGNALS"
: "BACKTEST_ENGINE");
return toDto(repo.save(entity));
}
@@ -84,6 +88,10 @@ public class BacktestSettingsService {
.partialExitPct(e.getPartialExitPct())
.positionMode(e.getPositionMode() != null ? e.getPositionMode() : "LONG_ONLY")
.analysisMethod(e.getAnalysisMethod() != null ? e.getAnalysisMethod() : PortfolioLedger.MARK_TO_MARKET)
.tradeExecutionMode(
"SCAN_SIGNALS".equals(e.getTradeExecutionMode())
? "SCAN_SIGNALS"
: "BACKTEST_ENGINE")
.build();
}
}
backend/src/main/java/com/goldenchart/service/BacktestingService.java
+21 -3
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@@ -50,6 +50,15 @@ public class BacktestingService {
private static final BacktestSettingsDto DEFAULT_SETTINGS = new BacktestSettingsDto();
/** 조건 스캔 — 종가·DSL 충족 (슬리피지·손절/익절 Rule 미적용) */
public static final String TRADE_EXEC_SCAN_SIGNALS = "SCAN_SIGNALS";
/** 백테스트 엔진 — 슬리피지·리스크 Rule·진입/청산가 반영 */
public static final String TRADE_EXEC_BACKTEST_ENGINE = "BACKTEST_ENGINE";
private static boolean isScanSignalsExecution(BacktestSettingsDto cfg) {
return cfg != null && TRADE_EXEC_SCAN_SIGNALS.equals(cfg.getTradeExecutionMode());
}
// ── Public API ────────────────────────────────────────────────────────────
public BacktestResponse run(BacktestRequest req) {
@@ -152,6 +161,9 @@ public class BacktestingService {
// ── 청산 규칙 합성 ────────────────────────────────────────────────────────
private Rule buildExitRule(Rule baseExit, BarSeries series, BacktestSettingsDto cfg) {
if (isScanSignalsExecution(cfg)) {
return baseExit;
}
Rule result = baseExit;
ClosePriceIndicator close = new ClosePriceIndicator(series);
@@ -196,7 +208,8 @@ public class BacktestingService {
double initCap = cfg.getInitialCapital() != null ? cfg.getInitialCapital().doubleValue() : 10_000_000.0;
double tradeSizePct = cfg.getTradeSizeValue() != null ? cfg.getTradeSizeValue().doubleValue() / 100.0 : 1.0;
boolean partialExit = Boolean.TRUE.equals(cfg.getPartialExitEnabled());
final boolean scanExec = isScanSignalsExecution(cfg);
boolean partialExit = !scanExec && Boolean.TRUE.equals(cfg.getPartialExitEnabled());
double partialPct = cfg.getPartialExitPct() != null ? cfg.getPartialExitPct().doubleValue() / 100.0 : 0.5;
boolean partialDone = false;
@@ -208,10 +221,12 @@ public class BacktestingService {
int barCount = series.getBarCount();
int loopStart = Math.max(0, Math.min(evalStartIndex, barCount));
final String entryPriceType = scanExec ? "CLOSE" : cfg.getEntryPriceType();
final String exitPriceType = scanExec ? "CLOSE" : cfg.getExitPriceType();
for (int i = loopStart; i < barCount; i++) {
double closePrice = getPrice(series, req.getBars(), i, cfg.getEntryPriceType());
double exitPrice = getPrice(series, req.getBars(), i, cfg.getExitPriceType());
double closePrice = getPrice(series, req.getBars(), i, entryPriceType);
double exitPrice = getPrice(series, req.getBars(), i, exitPriceType);
long time = barStartEpoch(series, i);
// ── SIGNAL_ONLY: 조건 충족 봉마다 시그널 (live-conditions 충족과 동일 기준) ──
@@ -727,6 +742,9 @@ public class BacktestingService {
}
private double applySlippage(double price, BacktestSettingsDto cfg, boolean isBuy) {
if (isScanSignalsExecution(cfg)) {
return price;
}
double slip = cfg.getSlippageRate() != null ? cfg.getSlippageRate().doubleValue() : 0.0005;
return isBuy ? price * (1 + slip) : price * (1 - slip);
}
backend/src/main/resources/db/migration/V68__backtest_trade_execution_mode.sql
+5
View File
@@ -0,0 +1,5 @@
-- 매매 체결 방식: SCAN_SIGNALS(조건 스캔·종가) | BACKTEST_ENGINE(슬리피지·리스크 Rule)
ALTER TABLE gc_backtest_settings
ADD COLUMN trade_execution_mode VARCHAR(32) NOT NULL DEFAULT 'BACKTEST_ENGINE'
COMMENT 'SCAN_SIGNALS | BACKTEST_ENGINE'
AFTER analysis_method;
frontend/src/components/BacktestSettingsModal.tsx
+17
View File
@@ -15,6 +15,11 @@ interface FieldMeta {
}
const FIELD_META: Partial<Record<keyof BacktestSettingsDto, FieldMeta>> = {
tradeExecutionMode: {
label: '매매 체결 방식',
description:
'시그널·체결가 산출 방식입니다.\n• 백테스트 엔진: 슬리피지, 손절/익절, 진입/청산가 반영. 실제 수익률 분석에 가깝습니다.\n• 조건 스캔: 봉 종가·DSL 충족 기준. 차트 마커·조건 패널과 동일합니다.',
},
positionMode: {
label: '시그널 생성 방식',
description:
@@ -139,6 +144,18 @@ interface SettingSection {
}
const SECTIONS: SettingSection[] = [
{
title: '⚡ 매매 체결 방식',
fields: [
{
key: 'tradeExecutionMode', type: 'select',
opts: [
{ value: 'BACKTEST_ENGINE', label: '백테스트 엔진 (슬리피지·리스크 반영)' },
{ value: 'SCAN_SIGNALS', label: '조건 스캔 (봉 종가·DSL 충족)' },
],
},
],
},
{
title: '🎯 시그널 생성 방식',
fields: [
frontend/src/components/BacktestSettingsPanel.tsx
+31
View File
@@ -9,6 +9,7 @@ import {
saveBacktestSettings,
} from '../utils/backendApi';
import { ANALYSIS_METHOD_OPTIONS } from '../utils/analysisMethodLabels';
import { TRADE_EXECUTION_MODE_OPTIONS } from '../utils/tradeExecutionMode';
// ── 백테스팅 전용 UI 컴포넌트 ───────────────────────────────────────────────
@@ -107,6 +108,36 @@ export const BacktestSettingsPanel: React.FC<BacktestSettingsPanelProps> = ({
</BtGrid>
</BtSection>
<BtSection title="매매 체결 방식">
<BtGrid>
<BtField
label="시그널 · 체결가 산출"
desc="전략평가·백테스팅·분석 레포트에 공통 적용됩니다."
full
>
<select
className="stg-select stg-select--wide"
value={cfg.tradeExecutionMode ?? 'BACKTEST_ENGINE'}
onChange={e => field('tradeExecutionMode', e.target.value as 'SCAN_SIGNALS' | 'BACKTEST_ENGINE')}
>
{TRADE_EXECUTION_MODE_OPTIONS.map(o => (
<option key={o.value} value={o.value}>{o.label}</option>
))}
</select>
</BtField>
</BtGrid>
<p className="stg-bt-hint">
{(cfg.tradeExecutionMode ?? 'BACKTEST_ENGINE') === 'SCAN_SIGNALS'
? TRADE_EXECUTION_MODE_OPTIONS[1].desc
: TRADE_EXECUTION_MODE_OPTIONS[0].desc}
</p>
{(cfg.tradeExecutionMode ?? 'BACKTEST_ENGINE') === 'SCAN_SIGNALS' && (
<p className="stg-bt-hint stg-bt-hint--warn">
조건 스캔 모드: 슬리피지·손절/익절·트레일링스탑·진입/청산가(NEXT_OPEN) 설정은 시그널 생성에 적용되지 않습니다. 수수료만 시뮬레이션에 반영됩니다.
</p>
)}
</BtSection>
<BtSection title="투자분석 방식">
<BtGrid>
<BtField
frontend/src/components/StrategyEvaluationPage.tsx
+9 -1
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@@ -56,6 +56,7 @@ import {
padEvaluationSignalCount,
} from '../utils/strategyEvaluationReport';
import { resolveEvaluationCommissionRate } from '../utils/strategyEvaluationSignals';
import { normalizeTradeExecutionMode, tradeExecutionModeLabel } from '../utils/tradeExecutionMode';
import { BACKTEST_DISPLAY_BAR_COUNT, resolveEvaluationBarSlice } from '../utils/backtestWarmup';
import type { StrategyEvaluationWindowMeta } from './strategyEvaluation/StrategyEvaluationChart';
import StrategyEvaluationAiVerifyPanel from './strategyEvaluation/StrategyEvaluationAiVerifyPanel';
@@ -452,6 +453,11 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
[backtestSettings],
);
const tradeExecutionMode = useMemo(
() => normalizeTradeExecutionMode(backtestSettings?.tradeExecutionMode),
[backtestSettings],
);
const analysisSummary = useMemo(() => {
if (!selectedStrategy) return null;
return buildStrategyEvaluationToolbarSummary(backtestSignals, {
@@ -749,6 +755,7 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
firstBarClose: evalBars[0]?.close,
lastBarClose: evalBars[evalBars.length - 1]?.close,
commissionRate: evaluationCommissionRate,
tradeExecutionMode,
});
if (gen !== reportGenRef.current) return;
if (!model) {
@@ -779,6 +786,7 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
bars,
evalWindowMeta.evaluationBarCount,
evaluationCommissionRate,
tradeExecutionMode,
]);
return (
@@ -819,7 +827,7 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
{selectedStrategy && analysisSummary && !signalScanRunning && (
<span
className="seval-analysis-summary"
title="일괄매수(최초 전액) · 분할매수(40/30/잔여) · 레포트와 동일 필터 기준"
title={`${tradeExecutionModeLabel(tradeExecutionMode)} · 일괄매수(최초 전액) · 분할매수(40/30/잔여) · 레포트와 동일 필터 기준`}
>
<span className="seval-analysis-item">
매수:<strong>{padEvaluationSignalCount(analysisSummary.buyCount)}</strong>건
frontend/src/utils/backendApi.ts
+3
View File
@@ -1436,6 +1436,8 @@ export interface BacktestSettingsDto {
positionMode?: 'LONG_ONLY' | 'SIGNAL_ONLY';
/** MARK_TO_MARKET | REALIZED_ONLY — 투자분석 방식 */
analysisMethod?: 'MARK_TO_MARKET' | 'REALIZED_ONLY';
/** SCAN_SIGNALS | BACKTEST_ENGINE — 매매 체결·시그널 생성 방식 */
tradeExecutionMode?: 'SCAN_SIGNALS' | 'BACKTEST_ENGINE';
}
export const DEFAULT_BACKTEST_SETTINGS: BacktestSettingsDto = {
@@ -1460,6 +1462,7 @@ export const DEFAULT_BACKTEST_SETTINGS: BacktestSettingsDto = {
partialExitPct: 50,
positionMode: 'LONG_ONLY',
analysisMethod: 'MARK_TO_MARKET',
tradeExecutionMode: 'BACKTEST_ENGINE',
};
/** 백테스팅 설정 로드 */
frontend/src/utils/strategyEvaluationReport.ts
+5 -1
View File
@@ -7,6 +7,7 @@ import type { EquityPoint, TradeHistoryRow } from './backtestEquity';
import { repairUtf8Mojibake } from './textEncoding';
import { getKoreanName } from './marketNameCache';
import { toUpbitMarket } from './backtestUiUtils';
import type { TradeExecutionMode } from './tradeExecutionMode';
export type BuyAllocationMode = 'full' | 'split';
@@ -357,6 +358,7 @@ export function buildStrategyEvaluationReportModel(opts: {
firstBarClose?: number;
lastBarClose?: number;
commissionRate?: number;
tradeExecutionMode?: TradeExecutionMode;
}): BacktestAnalysisReportModel | null {
const filtered = filterSignalsForEvaluationReport(opts.signals);
const stillHolding = isStillHolding(filtered);
@@ -396,6 +398,8 @@ export function buildStrategyEvaluationReportModel(opts: {
reportSignalFilterNote:
'분석 기간 전체 캔들 기준으로, 최초 매수 이전 매도·최종 매도 이후 매수 시그널은 제외했습니다. '
+ '매도는 보유 물량 전량 매도로 가정합니다. '
+ '체결가·청산 Rule은 백테스트 설정(슬리피지·손절/익절·진입/청산가)과 동일합니다.',
+ (opts.tradeExecutionMode === 'SCAN_SIGNALS'
? '체결가: 조건 스캔(봉 종가·DSL 충족).'
: '체결가: 백테스트 설정(슬리피지·손절/익절·진입/청산가) 반영.'),
};
}
frontend/src/utils/strategyEvaluationSignals.ts
+46 -16
View File
@@ -1,11 +1,9 @@
/**
* 전략평가 — 차트·상단 요약·분석 레포트·일괄평가 공통 시그널 소스
*
* runBacktest(SIGNAL_ONLY) + 백테스트 설정(슬리피지·손절/익절·진입/청산가) 기준.
* scan-signals(종가·이상적 체결)와 달리 실제 백테스트 엔진과 동일한 Rule·체결가를 사용한다.
* 전략평가·일괄평가 — 백테스트 설정의 매매 체결 방식에 따라 시그널 조회
*/
import type { OHLCVBar } from '../types';
import {
fetchLiveConditionScanSignals,
loadBacktestSettings,
runBacktest,
type BacktestSettingsDto,
@@ -13,12 +11,14 @@ import {
type StrategyDto,
} from './backendApi';
import { buildEvalParamsFromStrategy } from './strategyEvaluationParams';
import { isScanSignalsExecutionMode, normalizeTradeExecutionMode } from './tradeExecutionMode';
export interface StrategyEvaluationSignalsResult {
signals: BacktestSignal[];
initialCapital: number;
settings: BacktestSettingsDto;
commissionRate: number;
tradeExecutionMode: ReturnType<typeof normalizeTradeExecutionMode>;
}
export function resolveEvaluationCommissionRate(settings: BacktestSettingsDto): number {
@@ -26,6 +26,17 @@ export function resolveEvaluationCommissionRate(settings: BacktestSettingsDto):
return settings.commissionRate ?? 0.0015;
}
function mapBarsForRequest(bars: OHLCVBar[]) {
return bars.map(b => ({
time: b.time,
open: b.open,
high: b.high,
low: b.low,
close: b.close,
volume: b.volume,
}));
}
export async function fetchStrategyEvaluationSignals(opts: {
strategyId: number;
strategy: StrategyDto;
@@ -37,19 +48,38 @@ export async function fetchStrategyEvaluationSignals(opts: {
backtestSettings?: BacktestSettingsDto | null;
}): Promise<StrategyEvaluationSignalsResult> {
const btSettings = opts.backtestSettings ?? await loadBacktestSettings();
const settings: BacktestSettingsDto = { ...btSettings, positionMode: 'SIGNAL_ONLY' };
const tradeExecutionMode = normalizeTradeExecutionMode(btSettings.tradeExecutionMode);
const indicatorParams = buildEvalParamsFromStrategy(opts.strategy, opts.getParams);
const initialCapital = btSettings.initialCapital ?? 10_000_000;
const commissionRate = resolveEvaluationCommissionRate(btSettings);
if (isScanSignalsExecutionMode(btSettings)) {
const signals = await fetchLiveConditionScanSignals(
opts.market,
opts.strategyId,
mapBarsForRequest(opts.bars),
opts.timeframe,
indicatorParams,
opts.evaluationBarCount,
);
return {
signals,
initialCapital,
settings: { ...btSettings, positionMode: 'SIGNAL_ONLY', tradeExecutionMode },
commissionRate,
tradeExecutionMode,
};
}
const settings: BacktestSettingsDto = {
...btSettings,
positionMode: 'SIGNAL_ONLY',
tradeExecutionMode: 'BACKTEST_ENGINE',
};
const res = await runBacktest({
strategyId: opts.strategyId,
bars: opts.bars.map(b => ({
time: b.time,
open: b.open,
high: b.high,
low: b.low,
close: b.close,
volume: b.volume,
})),
bars: mapBarsForRequest(opts.bars),
timeframe: opts.timeframe,
symbol: opts.market,
strategyName: opts.strategy.name,
@@ -62,11 +92,11 @@ export async function fetchStrategyEvaluationSignals(opts: {
throw new Error('시그널 계산 실패');
}
const initialCapital = btSettings.initialCapital ?? res.analysis?.initialCapital ?? 10_000_000;
return {
signals: res.signals,
initialCapital,
initialCapital: btSettings.initialCapital ?? res.analysis?.initialCapital ?? initialCapital,
settings,
commissionRate: resolveEvaluationCommissionRate(settings),
commissionRate,
tradeExecutionMode: 'BACKTEST_ENGINE',
};
}
frontend/src/utils/tradeExecutionMode.ts
+38
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@@ -0,0 +1,38 @@
import type { BacktestSettingsDto } from './backendApi';
export type TradeExecutionMode = 'SCAN_SIGNALS' | 'BACKTEST_ENGINE';
export const TRADE_EXECUTION_MODE_OPTIONS: {
value: TradeExecutionMode;
label: string;
desc: string;
}[] = [
{
value: 'BACKTEST_ENGINE',
label: '백테스트 엔진 (슬리피지·리스크 반영)',
desc: '슬리피지, 손절/익절, 진입/청산가 기준. 실제 수익률 분석에 가깝습니다.',
},
{
value: 'SCAN_SIGNALS',
label: '조건 스캔 (봉 종가·DSL 충족)',
desc: '차트 마커·조건 패널과 동일. 봉 종가 기준 이상적 체결.',
},
];
export function normalizeTradeExecutionMode(
value?: string | null,
): TradeExecutionMode {
return value === 'SCAN_SIGNALS' ? 'SCAN_SIGNALS' : 'BACKTEST_ENGINE';
}
export function isScanSignalsExecutionMode(
settings?: Pick<BacktestSettingsDto, 'tradeExecutionMode'> | null,
): boolean {
return normalizeTradeExecutionMode(settings?.tradeExecutionMode) === 'SCAN_SIGNALS';
}
export function tradeExecutionModeLabel(mode?: string | null): string {
const normalized = normalizeTradeExecutionMode(mode);
return TRADE_EXECUTION_MODE_OPTIONS.find(o => o.value === normalized)?.label
?? TRADE_EXECUTION_MODE_OPTIONS[0].label;
}