분석레포트 로직 수정

2026-06-08 10:08:39 +09:00
parent e11e1a46fa
commit c20c806c19
22 changed files with 254 additions and 108 deletions
@@ -8,6 +8,7 @@ import type { LiveExecutionItem } from './liveExecutionGroups';
 import type { EquityPoint, TradeHistoryRow } from './backtestEquity';
 import { buildEquityFromSignals } from './backtestEquity';
 import { paperTradesToSignals } from './liveExecutionGroups';
+import { buildAnalysisFromPaperTrades } from './paperMetrics';
 import { repairUtf8Mojibake } from './textEncoding';

 export type AnalysisSourceTab = 'backtest' | 'live';
@@ -72,37 +73,14 @@ export function buildContextFromLive(item: LiveExecutionItem): AnalysisReportCon
  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,
-  };
+  const analysis = buildAnalysisFromPaperTrades(item.trades, cap);
+  const timeframe = item.timeframe !== 'unknown' ? item.timeframe : '—';
  return {
    sourceTab: 'live',
    strategyName: repairUtf8Mojibake(item.strategyLabel),
    symbol: item.symbol,
-    timeframe: '1h',
-    barCount: 300,
+    timeframe,
+    barCount: item.trades.length,
    createdAt: item.createdAt,
    analysis,
    signals,
@@ -702,6 +702,9 @@ export interface PaperTradeDto {
  orderKind:    string;
  source:       string;
  strategyId?:  number | null;
+  candleType?:  string | null;
+  strategyName?: string | null;
+  executionType?: string | null;
  price:        number;
  quantity:     number;
  grossAmount:  number;
@@ -1208,6 +1211,7 @@ export interface BacktestResultRecord {
  fromTime:     number;
  toTime:       number;
  settingsJson: string;
+  executionSnapshotJson?: string;
  signalsJson:  string;
  analysisJson: string;
  totalReturn:  number;
@@ -6,41 +6,17 @@ import type {
 } from './backendApi';
 import type { BacktestAnalysisReportModel } from '../components/backtest/BacktestAnalysisReportModal';
 import type { LiveExecutionItem } from './liveExecutionGroups';
+import { buildAnalysisFromPaperTrades } from './paperMetrics';
 import { fmtListTimestamp, toUpbitMarket } from './backtestUiUtils';
 import { getKoreanName } from './marketNameCache';
 import { repairUtf8Mojibake } from './textEncoding';

-/** 실시간 매매 탭 — KPI만 있는 경우 최소 분석 객체 */
+/** 실시간 매매 탭 — 체결 이력 기반 분석 */
 export function buildAnalysisFromLive(
  item: LiveExecutionItem,
  initialCapital = 10_000_000,
 ): BacktestAnalysis {
-  const finalEquity = initialCapital * (1 + item.totalReturnPct);
-  const winCount = Math.round(item.tradeCount * item.winRatePct);
-  return {
-    initialCapital,
-    finalEquity,
-    totalReturnPct: item.totalReturnPct,
-    totalProfitLoss: finalEquity - initialCapital,
-    grossProfit: 0,
-    grossLoss: 0,
-    avgReturnPct: item.tradeCount > 0 ? item.totalReturnPct / item.tradeCount : 0,
-    profitLossRatio: item.profitFactor,
-    numberOfPositions: item.tradeCount,
-    numberOfWinning: winCount,
-    numberOfLosing: Math.max(0, item.tradeCount - winCount),
-    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 buildAnalysisFromPaperTrades(item.trades, initialCapital);
 }

 function buildAnalysisFromStats(s: BacktestStats): BacktestAnalysis {
@@ -101,14 +77,11 @@ export function buildBacktestReportModel(
  record: BacktestResultRecord,
  analysis: BacktestAnalysis,
  signals: BacktestSignal[],
-  strategyNamesById: Record<number, string> = {},
+  _strategyNamesById: Record<number, string> = {},
 ): BacktestAnalysisReportModel {
  const market = toUpbitMarket(record.symbol);
-  const freshName = record.strategyId != null
-    ? strategyNamesById[record.strategyId]
-    : undefined;
  const strategyName = repairUtf8Mojibake(
-    freshName || record.strategyName || '전략 없음',
+    record.strategyName || '전략 없음',
  );
  return {
    analysis,
@@ -126,10 +99,10 @@ export function buildBacktestReportModel(
 export function buildLiveReportModel(
  item: LiveExecutionItem,
  signals: BacktestSignal[],
-  timeframe: string,
  initialCapital = 10_000_000,
 ): BacktestAnalysisReportModel {
  const market = toUpbitMarket(item.symbol);
+  const timeframe = item.timeframe !== 'unknown' ? item.timeframe : '—';
  return {
    analysis: buildAnalysisFromLive(item, initialCapital),
    signals,
@@ -137,7 +110,7 @@ export function buildLiveReportModel(
    symbol: item.symbol,
    symbolKo: getKoreanName(market),
    timeframe,
-    barCount: 300,
+    barCount: item.trades.length,
    createdAt: item.createdAt ? fmtListTimestamp(item.createdAt) : undefined,
    reportKind: 'live',
  };
@@ -1,16 +1,21 @@
 import type { PaperSummaryDto, PaperTradeDto } from './backendApi';
-import { computePaperMetrics } from './paperMetrics';
+import { buildAnalysisFromPaperTrades, computePaperMetrics } from './paperMetrics';

 export interface LiveExecutionItem {
  id: string;
  symbol: string;
  strategyLabel: string;
  sourceLabel: string;
+  /** 체결 시점 평가 시간봉 */
+  timeframe: string;
+  executionType?: string;
+  strategyId?: number | null;
  trades: PaperTradeDto[];
  createdAt: string;
  totalReturnPct: number;
  winRatePct: number;
  tradeCount: number;
+  roundTripCount: number;
  mddPct: number;
  sharpeRatio: number;
  profitFactor: number;
@@ -26,6 +31,27 @@ function sourceLabel(source: string): string {
  return '수동';
 }

+function resolveStrategyLabel(
+  t: PaperTradeDto,
+  strategyNames: Record<number, string>,
+): string {
+  if (t.strategyName) return t.strategyName;
+  if (t.strategyId != null) {
+    return strategyNames[t.strategyId] ?? `전략 #${t.strategyId}`;
+  }
+  return '수동 매매';
+}
+
+/** 자동매매: 종목·전략·시간봉·실행방식 기준 / 수동: 종목·일자 기준 */
+function groupKey(t: PaperTradeDto): string {
+  if (t.source === 'STRATEGY') {
+    const tf = t.candleType ?? 'unknown';
+    const exec = t.executionType ?? '';
+    return `${t.symbol}|${t.strategyId ?? 0}|${tf}|${exec}|STRATEGY`;
+  }
+  return `${t.symbol}|manual|${dayKey(t.createdAt)}|MANUAL`;
+}
+
 /** 가상투자·모의투자 체결 이력을 실행 단위 목록으로 그룹 */
 export function buildLiveExecutionItems(
  trades: PaperTradeDto[],
@@ -36,7 +62,7 @@ export function buildLiveExecutionItems(

  const groups = new Map<string, PaperTradeDto[]>();
  for (const t of trades) {
-    const key = `${t.symbol}|${t.strategyId ?? 0}|${dayKey(t.createdAt)}|${t.source}`;
+    const key = groupKey(t);
    const list = groups.get(key) ?? [];
    list.push(t);
    groups.set(key, list);
@@ -51,26 +77,25 @@ export function buildLiveExecutionItems(
      );
      const first = sorted[0];
      const last = sorted[sorted.length - 1];
+      const analysis = buildAnalysisFromPaperTrades(sorted, initial);
      const metrics = computePaperMetrics(sorted, summary);
-      const buyVol = sorted.filter(t => t.side === 'BUY').reduce((s, t) => s + t.netAmount, 0);
-      const sellVol = sorted.filter(t => t.side === 'SELL').reduce((s, t) => s + t.netAmount, 0);
-      const pnl = sellVol - buyVol;
-      const totalReturnPct = initial > 0 ? pnl / initial : 0;

      return {
        id: key,
        symbol: first.symbol,
-        strategyLabel: first.strategyId != null
-          ? (strategyNames[first.strategyId] ?? `전략 #${first.strategyId}`)
-          : '수동 매매',
+        strategyLabel: resolveStrategyLabel(first, strategyNames),
        sourceLabel: sourceLabel(first.source),
+        timeframe: first.candleType ?? 'unknown',
+        executionType: first.executionType ?? undefined,
+        strategyId: first.strategyId,
        trades: sorted,
        createdAt: last.createdAt ?? first.createdAt ?? new Date().toISOString(),
-        totalReturnPct,
-        winRatePct: metrics.winRatePct / 100,
+        totalReturnPct: analysis.totalReturnPct,
+        winRatePct: analysis.winRate,
        tradeCount: sorted.length,
-        mddPct: metrics.mddPct / 100,
-        sharpeRatio: metrics.sharpeRatio,
+        roundTripCount: analysis.numberOfPositions,
+        mddPct: analysis.maxDrawdownPct,
+        sharpeRatio: analysis.sharpeRatio,
        profitFactor: metrics.profitFactor,
      };
    })
@@ -84,6 +109,7 @@ export function paperTradesToSignals(trades: PaperTradeDto[]) {
      time: Math.floor(new Date(t.createdAt!).getTime() / 1000),
      type: t.side as 'BUY' | 'SELL',
      price: t.price,
+      quantity: t.quantity,
      barIndex: 0,
    }));
 }
@@ -1,4 +1,4 @@
-import type { PaperSummaryDto, PaperTradeDto } from './backendApi';
+import type { PaperSummaryDto, PaperTradeDto, BacktestAnalysis } from './backendApi';

 export interface PaperPerformanceMetrics {
  mddPct: number;
@@ -126,3 +126,43 @@ export function computePaperMetrics(
    profitFactor: Math.min(profitFactor, 99),
  };
 }
+
+/** 실시간 매매 체결 이력 → 백테스트 분석 DTO (ledger·라운드트립 기준) */
+export function buildAnalysisFromPaperTrades(
+  trades: PaperTradeDto[],
+  initialCapital = 10_000_000,
+): BacktestAnalysis {
+  const sorted = [...trades].sort((a, b) =>
+    (a.createdAt ?? '').localeCompare(b.createdAt ?? ''),
+  );
+  const metrics = computePaperMetrics(sorted, { initialCapital } as PaperSummaryDto);
+  const curve = buildEquityCurve(sorted, initialCapital);
+  const finalEquity = curve.length > 0 ? curve[curve.length - 1] : initialCapital;
+  const { wins, total, grossProfit, grossLoss } = roundTripStats(sorted);
+  const profitLossRatio = grossLoss > 0 ? grossProfit / grossLoss : grossProfit > 0 ? 99 : 0;
+
+  return {
+    initialCapital,
+    finalEquity,
+    totalReturnPct: initialCapital > 0 ? (finalEquity - initialCapital) / initialCapital : 0,
+    totalProfitLoss: finalEquity - initialCapital,
+    grossProfit,
+    grossLoss,
+    avgReturnPct: total > 0 ? (finalEquity - initialCapital) / initialCapital / total : 0,
+    profitLossRatio: Math.min(profitLossRatio, 99),
+    numberOfPositions: total,
+    numberOfWinning: wins,
+    numberOfLosing: Math.max(0, total - wins),
+    numberOfBreakEven: 0,
+    winRate: total > 0 ? wins / total : 0,
+    maxDrawdownPct: metrics.mddPct / 100,
+    maxRunupPct: 0,
+    sharpeRatio: metrics.sharpeRatio,
+    sortinoRatio: 0,
+    calmarRatio: 0,
+    valueAtRisk95: 0,
+    expectedShortfall: 0,
+    buyAndHoldReturnPct: 0,
+    vsBuyAndHold: 0,
+  };
+}