분석레포트 화면 추가

2026-06-03 15:57:02 +09:00
parent 3e17d6cfb8
commit a2ede568e0
48 changed files with 2593 additions and 94 deletions
@@ -0,0 +1,144 @@
+import type {
+  BacktestAnalysis,
+  BacktestResultRecord,
+  BacktestSignal,
+  PaperTradeDto,
+} from './backendApi';
+import type { LiveExecutionItem } from './liveExecutionGroups';
+import type { EquityPoint, TradeHistoryRow } from './backtestEquity';
+import { buildEquityFromSignals } from './backtestEquity';
+import { paperTradesToSignals } from './liveExecutionGroups';
+import { repairUtf8Mojibake } from './textEncoding';
+
+export type AnalysisSourceTab = 'backtest' | 'live';
+
+export interface AnalysisReportContext {
+  sourceTab: AnalysisSourceTab;
+  strategyName: string;
+  symbol: string;
+  timeframe: string;
+  barCount: number;
+  createdAt?: string;
+  analysis: BacktestAnalysis | null;
+  signals: BacktestSignal[];
+  trades: TradeHistoryRow[];
+  equityCurve: EquityPoint[];
+  paperTrades: PaperTradeDto[];
+  backtestRecord?: BacktestResultRecord;
+  liveItem?: LiveExecutionItem;
+  compareBacktest?: BacktestResultRecord | null;
+}
+
+function parseBacktestRecord(r: BacktestResultRecord) {
+  let analysis: BacktestAnalysis | null = null;
+  let signals: BacktestSignal[] = [];
+  try {
+    if (r.analysisJson) analysis = JSON.parse(r.analysisJson);
+    if (r.signalsJson) signals = JSON.parse(r.signalsJson);
+  } catch { /* ignore */ }
+  const cap = analysis?.initialCapital ?? 10_000_000;
+  const eq = buildEquityFromSignals(signals, cap, r.symbol);
+  return {
+    analysis,
+    signals,
+    trades: eq.trades,
+    equityCurve: eq.curve,
+  };
+}
+
+export function buildContextFromBacktest(
+  r: BacktestResultRecord,
+  compare?: BacktestResultRecord | null,
+): AnalysisReportContext {
+  const parsed = parseBacktestRecord(r);
+  return {
+    sourceTab: 'backtest',
+    strategyName: repairUtf8Mojibake(r.strategyName || '전략 없음'),
+    symbol: r.symbol,
+    timeframe: r.timeframe,
+    barCount: r.barCount || 300,
+    createdAt: r.createdAt,
+    analysis: parsed.analysis,
+    signals: parsed.signals,
+    trades: parsed.trades,
+    equityCurve: parsed.equityCurve,
+    paperTrades: [],
+    backtestRecord: r,
+    compareBacktest: compare ?? null,
+  };
+}
+
+export function buildContextFromLive(item: LiveExecutionItem): AnalysisReportContext {
+  const signals = paperTradesToSignals(item.trades);
+  const cap = 10_000_000;
+  const eq = buildEquityFromSignals(signals, cap, item.symbol);
+  const finalEquity = cap * (1 + item.totalReturnPct);
+  const analysis: BacktestAnalysis = {
+    initialCapital: cap,
+    finalEquity,
+    totalReturnPct: item.totalReturnPct,
+    totalProfitLoss: finalEquity - cap,
+    grossProfit: 0,
+    grossLoss: 0,
+    avgReturnPct: item.tradeCount > 0 ? item.totalReturnPct / item.tradeCount : 0,
+    profitLossRatio: item.profitFactor,
+    numberOfPositions: item.tradeCount,
+    numberOfWinning: Math.round(item.tradeCount * item.winRatePct),
+    numberOfLosing: Math.max(0, item.tradeCount - Math.round(item.tradeCount * item.winRatePct)),
+    numberOfBreakEven: 0,
+    winRate: item.winRatePct,
+    maxDrawdownPct: item.mddPct,
+    maxRunupPct: 0,
+    sharpeRatio: item.sharpeRatio,
+    sortinoRatio: 0,
+    calmarRatio: 0,
+    valueAtRisk95: 0,
+    expectedShortfall: 0,
+    buyAndHoldReturnPct: 0,
+    vsBuyAndHold: 0,
+  };
+  return {
+    sourceTab: 'live',
+    strategyName: repairUtf8Mojibake(item.strategyLabel),
+    symbol: item.symbol,
+    timeframe: '1h',
+    barCount: 300,
+    createdAt: item.createdAt,
+    analysis,
+    signals,
+    trades: eq.trades,
+    equityCurve: eq.curve,
+    paperTrades: item.trades,
+    liveItem: item,
+    compareBacktest: null,
+  };
+}
+
+/** 월별 수익률 히트맵 셀 (0~1 비율) */
+export function buildMonthlyHeatmap(
+  trades: TradeHistoryRow[],
+  initialCapital: number,
+): { year: number; month: number; returnPct: number }[] {
+  const byKey = new Map<string, number>();
+  for (const t of trades) {
+    if (t.pnlPct == null) continue;
+    const d = new Date(t.time * 1000);
+    const key = `${d.getFullYear()}-${d.getMonth()}`;
+    byKey.set(key, (byKey.get(key) ?? 0) + t.pnlPct);
+  }
+  const out: { year: number; month: number; returnPct: number }[] = [];
+  for (const [key, v] of byKey) {
+    const [y, m] = key.split('-').map(Number);
+    out.push({ year: y, month: m, returnPct: v });
+  }
+  return out.sort((a, b) => a.year - b.year || a.month - b.month);
+}
+
+export function drawdownSeries(curve: EquityPoint[]): { time: number; ddPct: number }[] {
+  let peak = curve[0]?.equity ?? 0;
+  return curve.map(p => {
+    if (p.equity > peak) peak = p.equity;
+    const dd = peak > 0 ? (p.equity - peak) / peak : 0;
+    return { time: p.time, ddPct: dd };
+  });
+}
@@ -0,0 +1,156 @@
+import type { BacktestSignal } from './backendApi';
+import type { TradeHistoryRow, EquityPoint } from './backtestEquity';
+
+/** CAGR 추정 */
+export function estimateCagr(totalReturnPct: number, signals: BacktestSignal[]): number {
+  if (signals.length < 2 || !isFinite(totalReturnPct)) return totalReturnPct;
+  const t0 = signals[0].time;
+  const t1 = signals[signals.length - 1].time;
+  const years = (t1 - t0) / (365.25 * 86400);
+  if (years <= 0.01) return totalReturnPct;
+  const mult = 1 + totalReturnPct;
+  if (mult <= 0) return totalReturnPct;
+  return Math.pow(mult, 1 / years) - 1;
+}
+
+/** 월별×연도 수익률 행렬 (히트맵 + Temporal 탭) */
+export function buildMonthlyMatrix(
+  trades: TradeHistoryRow[],
+): { year: number; month: number; returnPct: number }[] {
+  const byKey = new Map<string, number>();
+  for (const t of trades) {
+    if (t.pnlPct == null) continue;
+    const d = new Date(t.time * 1000);
+    const key = `${d.getFullYear()}-${d.getMonth()}`;
+    byKey.set(key, (byKey.get(key) ?? 0) + t.pnlPct);
+  }
+  const out: { year: number; month: number; returnPct: number }[] = [];
+  for (const [key, v] of byKey) {
+    const [y, m] = key.split('-').map(Number);
+    out.push({ year: y, month: m, returnPct: v });
+  }
+  return out.sort((a, b) => a.year - b.year || a.month - b.month);
+}
+
+/** YTD(연도별 합산) */
+export function buildYtdByYear(monthly: { year: number; month: number; returnPct: number }[]): Map<number, number> {
+  const m = new Map<number, number>();
+  for (const r of monthly) {
+    m.set(r.year, (m.get(r.year) ?? 0) + r.returnPct);
+  }
+  return m;
+}
+
+/** 수익률 분포 버킷 (Stats 탭 히스토그램) */
+export function buildReturnDistribution(
+  trades: TradeHistoryRow[],
+): { bucket: string; from: number; to: number; count: number }[] {
+  const withPnl = trades.filter(t => t.pnlPct != null).map(t => (t.pnlPct ?? 0) * 100);
+  if (withPnl.length === 0) return [];
+
+  const buckets: { label: string; min: number; max: number }[] = [
+    { label: '< -10%', min: -Infinity, max: -10 },
+    { label: '-10~-5%', min: -10, max: -5 },
+    { label: '-5~0%', min: -5, max: 0 },
+    { label: '0~2%', min: 0, max: 2 },
+    { label: '2~4%', min: 2, max: 4 },
+    { label: '4~6%', min: 4, max: 6 },
+    { label: '6~10%', min: 6, max: 10 },
+    { label: '10~50%', min: 10, max: 50 },
+    { label: '50~100%', min: 50, max: 100 },
+    { label: '100~500%', min: 100, max: 500 },
+    { label: '500%+', min: 500, max: Infinity },
+  ];
+
+  return buckets.map(b => ({
+    bucket: b.label,
+    from: b.min,
+    to: b.max,
+    count: withPnl.filter(v => v >= b.min && v < b.max).length,
+  })).filter(b => b.count > 0 || (b.from >= -10 && b.to <= 10));
+}
+
+/** 보유시간(분/시간) 계산 — BUY 신호 후 SELL 신호까지 */
+export interface HoldingPoint {
+  durationMin: number;
+  pnlPct: number;
+  symbol: string;
+}
+
+export function buildHoldingPoints(
+  signals: BacktestSignal[],
+  symbol: string,
+): HoldingPoint[] {
+  const sorted = [...signals].sort((a, b) => a.time - b.time);
+  const pts: HoldingPoint[] = [];
+  const buys: BacktestSignal[] = [];
+
+  for (const s of sorted) {
+    if (s.type === 'BUY') {
+      buys.push(s);
+    } else if ((s.type === 'SELL' || s.type === 'SHORT_EXIT' || s.type === 'PARTIAL_SELL') && buys.length > 0) {
+      const buy = buys.pop()!;
+      const durSec = s.time - buy.time;
+      const pnl = buy.price > 0 ? (s.price - buy.price) / buy.price : 0;
+      pts.push({ durationMin: durSec / 60, pnlPct: pnl * 100, symbol });
+    }
+  }
+  return pts;
+}
+
+/** 자본 배분 슬라이스 (Allocation 탭) */
+export interface AllocationSlice {
+  symbol: string;
+  pct: number;
+  capitalKrw: number;
+  color: string;
+}
+
+const SLICE_COLORS = ['#00e5ff', '#00e676', '#ffd700', '#ab47bc', '#ff7043', '#42a5f5'];
+
+export function buildAllocationSlices(
+  trades: TradeHistoryRow[],
+  initialCapital: number,
+): AllocationSlice[] {
+  const bySymbol = new Map<string, number>();
+  for (const t of trades) {
+    bySymbol.set(t.symbol, (bySymbol.get(t.symbol) ?? 0) + 1);
+  }
+  const total = [...bySymbol.values()].reduce((a, b) => a + b, 0) || 1;
+  return [...bySymbol.entries()]
+    .map(([sym, cnt], i) => ({
+      symbol: sym,
+      pct: cnt / total,
+      capitalKrw: initialCapital * (cnt / total),
+      color: SLICE_COLORS[i % SLICE_COLORS.length],
+    }))
+    .sort((a, b) => b.pct - a.pct);
+}
+
+/** 변동성 시리즈 (롤링 20봉 표준편차) */
+export function buildVolatilitySeries(curve: EquityPoint[], window = 20): { time: number; vol: number }[] {
+  if (curve.length < 2) return [];
+  const returns: number[] = [];
+  for (let i = 1; i < curve.length; i++) {
+    const r = curve[i - 1].equity > 0 ? (curve[i].equity - curve[i - 1].equity) / curve[i - 1].equity : 0;
+    returns.push(r);
+  }
+  const out: { time: number; vol: number }[] = [];
+  for (let i = window - 1; i < returns.length; i++) {
+    const slice = returns.slice(i - window + 1, i + 1);
+    const mean = slice.reduce((a, b) => a + b, 0) / window;
+    const variance = slice.reduce((a, b) => a + (b - mean) ** 2, 0) / window;
+    out.push({ time: curve[i + 1].time, vol: Math.sqrt(variance) * 100 });
+  }
+  return out;
+}
+
+/** 드로다운 시리즈 */
+export function drawdownSeries(curve: EquityPoint[]): { time: number; ddPct: number }[] {
+  let peak = curve[0]?.equity ?? 0;
+  return curve.map(p => {
+    if (p.equity > peak) peak = p.equity;
+    const dd = peak > 0 ? (p.equity - peak) / peak : 0;
+    return { time: p.time, ddPct: dd };
+  });
+}
@@ -0,0 +1,39 @@
+/**
+ * TRADING_REPORT_UI_DESIGN.pdf — The Quant Command Center 10 Dimensions
+ */
+
+export type AnalysisReportTypeId =
+  | 'standard'
+  | 'risk'
+  | 'efficiency'
+  | 'temporal'
+  | 'logs'
+  | 'allocation'
+  | 'stats'
+  | 'ai-feedback'
+  | 'comparative'
+  | 'timing';
+
+export interface AnalysisReportTypeDef {
+  id: AnalysisReportTypeId;
+  tabLabel: string;
+  title: string;
+  subtitle: string;
+}
+
+export const ANALYSIS_REPORT_TYPES: AnalysisReportTypeDef[] = [
+  { id: 'standard',    tabLabel: '01 Standard',    title: 'Standard',    subtitle: 'Assets & P&L Summary' },
+  { id: 'risk',        tabLabel: '02 Risk',         title: 'Risk',        subtitle: 'Stress-Testing Capital Preservation' },
+  { id: 'efficiency',  tabLabel: '03 Efficiency',   title: 'Efficiency',  subtitle: 'Execution Quality & Profit Extraction' },
+  { id: 'temporal',    tabLabel: '04 Temporal',     title: 'Temporal',    subtitle: 'Seasonality & Time-Based Consistency' },
+  { id: 'logs',        tabLabel: '05 Logs',         title: 'Logs',        subtitle: 'Granular Transparency for Every Execution' },
+  { id: 'allocation',  tabLabel: '06 Allocation',   title: 'Allocation',  subtitle: 'Capital Distribution & Asset Weights' },
+  { id: 'stats',       tabLabel: '07 Stats',        title: 'Stats',       subtitle: 'Shape of Returns: Statistical Distribution' },
+  { id: 'ai-feedback', tabLabel: '08 AI Feedback',  title: 'AI Feedback', subtitle: 'Qualitative Insights via Local LLM' },
+  { id: 'comparative', tabLabel: '09 Comparative',  title: 'Comparative', subtitle: 'Strategy vs. Benchmark: Alpha Generation' },
+  { id: 'timing',      tabLabel: '10 Timing',       title: 'Timing',      subtitle: 'Holding Periods & Entry Precision' },
+];
+
+export function getReportType(id: AnalysisReportTypeId): AnalysisReportTypeDef {
+  return ANALYSIS_REPORT_TYPES.find(t => t.id === id) ?? ANALYSIS_REPORT_TYPES[0];
+}
@@ -27,6 +27,7 @@ export const APP_NAVIGATION_PATHS: AppNavigationPathEntry[] = [
  P('메뉴-검증게시판', 'verification', 'QA', '이슈', '검증'),
  P('메뉴-전략편집기', 'strategy-editor', '전략', '편집'),
  P('메뉴-백테스팅', 'backtest', '백테스트', '히스토리'),
+  P('메뉴-분석레포트', 'analysis-report', '레포트', '분석', '투자분석'),
  P('메뉴-설정', 'settings', '환경설정'),

  // ── 실시간 차트 · 툴바 ──
@@ -12,7 +12,7 @@ export type SettingsCategoryId =
  | 'paper' | 'virtual' | 'live' | 'trend-search' | 'alert' | 'network' | 'admin';

 export const TOP_MENU_IDS: TopMenuId[] = [
-  'dashboard', 'chart', 'paper', 'virtual', 'trend-search', 'strategy-editor', 'backtest', 'notifications', 'settings', 'verification-board',
+  'dashboard', 'chart', 'paper', 'virtual', 'trend-search', 'strategy-editor', 'backtest', 'analysis-report', 'notifications', 'settings', 'verification-board',
 ];

 export const SETTINGS_MENU_IDS: SettingsCategoryId[] = [
@@ -21,7 +21,7 @@ export const SETTINGS_MENU_IDS: SettingsCategoryId[] = [
 ];

 export const ALL_MENU_IDS = [
-  'dashboard', 'chart', 'paper', 'virtual', 'trend-search', 'verification-board', 'strategy', 'strategy-editor', 'backtest', 'notifications', 'settings',
+  'dashboard', 'chart', 'paper', 'virtual', 'trend-search', 'verification-board', 'strategy', 'strategy-editor', 'backtest', 'analysis-report', 'notifications', 'settings',
  ...SETTINGS_MENU_IDS.map(id => `settings_${id}` as const),
 ] as const;

@@ -37,6 +37,7 @@ export const MENU_LABELS: Record<string, string> = {
  strategy: '투자전략',
  'strategy-editor': '전략편집기',
  backtest: '백테스팅',
+  'analysis-report': '분석레포트',
  notifications: '알림목록',
  settings: '설정',
  settings_general: '설정 · 일반',