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 +1,156 @@
+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 };
+  });
+}