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분석레포트 로직 수정

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Macbook
2026-06-08 10:08:39 +09:00
parent e11e1a46fa
commit c20c806c19
22 changed files with 254 additions and 108 deletions
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backend/src/main/java/com/goldenchart/dto/PaperTradeDto.java
+3
View File
@@ -12,6 +12,9 @@ public class PaperTradeDto {
private String orderKind;
private String source;
private Long strategyId;
private String candleType;
private String strategyName;
private String executionType;
private Double price;
private Double quantity;
private Double grossAmount;
backend/src/main/java/com/goldenchart/entity/GcBacktestResult.java
+3
View File
@@ -28,6 +28,9 @@ public class GcBacktestResult {
@Column(name = "settings_json", columnDefinition = "JSON")
@JdbcTypeCode(SqlTypes.JSON) private String settingsJson;
@Column(name = "execution_snapshot_json", columnDefinition = "JSON")
@JdbcTypeCode(SqlTypes.JSON) private String executionSnapshotJson;
@Column(name = "signals_json", columnDefinition = "JSON")
@JdbcTypeCode(SqlTypes.JSON) private String signalsJson;
backend/src/main/java/com/goldenchart/entity/GcPaperOrder.java
+9
View File
@@ -61,6 +61,15 @@ public class GcPaperOrder {
@Column(name = "strategy_id")
private Long strategyId;
@Column(name = "candle_type", length = 10)
private String candleType;
@Column(name = "strategy_name", length = 200)
private String strategyName;
@Column(name = "execution_type", length = 30)
private String executionType;
/**
* 분할매매(staged) 주문 여부.
* TRUE 이면 체결(FILLED) 시 allocationService 단계를 자동 진행한다.
backend/src/main/java/com/goldenchart/entity/GcPaperTrade.java
+12
View File
@@ -35,6 +35,18 @@ public class GcPaperTrade {
@Column(name = "strategy_id")
private Long strategyId;
/** 체결 시점 전략 평가 시간봉 (1m, 10m, …) */
@Column(name = "candle_type", length = 10)
private String candleType;
/** 체결 시점 전략명 스냅샷 */
@Column(name = "strategy_name", length = 200)
private String strategyName;
/** CANDLE_CLOSE | REALTIME_TICK */
@Column(name = "execution_type", length = 30)
private String executionType;
@Column(name = "price", precision = 20, scale = 2, nullable = false)
private BigDecimal price;
backend/src/main/java/com/goldenchart/service/BacktestingService.java
+20 -4
View File
@@ -96,7 +96,7 @@ public class BacktestingService {
: new BooleanRule(false);
Rule exitRule = buildExitRule(baseExitRule, series, cfg);
return runBacktest(series, entryRule, exitRule, req, cfg, strategyName);
return runBacktest(series, entryRule, exitRule, req, cfg, strategyName, buyDsl, sellDsl, params);
}
// ── 청산 규칙 합성 ────────────────────────────────────────────────────────
@@ -124,7 +124,9 @@ public class BacktestingService {
private BacktestResponse runBacktest(BarSeries series, Rule entryRule, Rule exitRule,
BacktestRequest req, BacktestSettingsDto cfg,
String strategyName) {
String strategyName,
JsonNode execBuyDsl, JsonNode execSellDsl,
Map<String, Map<String, Object>> execParams) {
BaseTradingRecord record = new BaseTradingRecord();
@@ -295,7 +297,8 @@ public class BacktestingService {
Stats stats = toStats(analysis, signals);
// ── DB 저장 ───────────────────────────────────────────────────────────
Long resultId = saveResult(req, cfg, signals, analysis, series, strategyName);
Long resultId = saveResult(req, cfg, signals, analysis, series, strategyName,
execBuyDsl, execSellDsl, execParams);
return BacktestResponse.builder()
.signals(signals)
@@ -601,12 +604,24 @@ public class BacktestingService {
private Long saveResult(BacktestRequest req, BacktestSettingsDto cfg,
List<Signal> signals, BacktestAnalysisDto analysis,
BarSeries series, String strategyName) {
BarSeries series, String strategyName,
JsonNode execBuyDsl, JsonNode execSellDsl,
Map<String, Map<String, Object>> execParams) {
try {
List<OhlcvBar> bars = req.getBars();
long fromTime = bars.isEmpty() ? 0 : bars.get(0).getTime();
long toTime = bars.isEmpty() ? 0 : bars.get(bars.size() - 1).getTime();
Map<String, Object> snapshot = new LinkedHashMap<>();
snapshot.put("strategyId", req.getStrategyId());
snapshot.put("strategyName", strategyName);
snapshot.put("symbol", req.getSymbol() != null ? req.getSymbol() : "UNKNOWN");
snapshot.put("timeframe", req.getTimeframe());
snapshot.put("barCount", bars.size());
if (execParams != null && !execParams.isEmpty()) snapshot.put("indicatorParams", execParams);
if (execBuyDsl != null && !execBuyDsl.isNull()) snapshot.put("buyCondition", execBuyDsl);
if (execSellDsl != null && !execSellDsl.isNull()) snapshot.put("sellCondition", execSellDsl);
GcBacktestResult entity = GcBacktestResult.builder()
.deviceId(req.getDeviceId())
.strategyId(req.getStrategyId())
@@ -617,6 +632,7 @@ public class BacktestingService {
.fromTime(fromTime)
.toTime(toTime)
.settingsJson(objectMapper.writeValueAsString(cfg))
.executionSnapshotJson(objectMapper.writeValueAsString(snapshot))
.signalsJson(objectMapper.writeValueAsString(signals))
.analysisJson(objectMapper.writeValueAsString(analysis))
.totalReturn(BigDecimal.valueOf(analysis.getTotalReturnPct()))
backend/src/main/java/com/goldenchart/service/BarCloseStrategyEvaluationService.java
+4 -1
View File
@@ -87,10 +87,13 @@ public class BarCloseStrategyEvaluationService {
closeSignal, signalBar.getClosePrice().doubleValue(),
candleTimeEpoch, ct, signalExecType);
if (s.getUserId() != null) {
String strategyName = tradeSignalService.resolveStrategyName(
s.getStrategyId(), null);
orderExecutionQueue.submitSignal(
s.getUserId(), market,
s.getStrategyId(), closeSignal,
signalBar.getClosePrice().doubleValue());
signalBar.getClosePrice().doubleValue(),
ct, strategyName, signalExecType);
}
} catch (Exception e) {
log.warn("[BarCloseEval] 시그널 처리 실패 ({}/{} strategyId={}): {}",
backend/src/main/java/com/goldenchart/service/PaperTradingService.java
+44 -7
View File
@@ -237,7 +237,7 @@ public class PaperTradingService {
// 시장가(MARKET)를 포함한 모든 주문을 현재가 기준 지정가 미체결로 생성한다.
// 체결은 PaperOrderMatcherService 가 다음 시세 틱에서 처리한다.
GcPaperOrder order = createPendingLimitOrder(account, app, req.getMarket(), side, orderKind,
source, req.getStrategyId(), price, qty, false);
source, req.getStrategyId(), price, qty, false, null, null, null);
return PaperPlaceOrderResult.builder().order(toOrderDto(order)).build();
}
@@ -261,6 +261,12 @@ public class PaperTradingService {
public void tryExecuteOnSignal(Long userId, String market,
Long strategyId, String signalType, double price) {
tryExecuteOnSignal(userId, market, strategyId, signalType, price, null, null, null);
}
public void tryExecuteOnSignal(Long userId, String market,
Long strategyId, String signalType, double price,
String candleType, String strategyName, String executionType) {
long uid;
try {
uid = TradingAccess.requireUserId(userId);
@@ -332,7 +338,8 @@ public class PaperTradingService {
if (qty * execPrice < minOrder) return;
// 알림 발생 시점 현재가 기준 미체결 주문 생성 (staged=true → 체결 시 단계 진행)
createPendingLimitOrder(account, app, market, "BUY", "market", "STRATEGY",
strategyId, price, qty, true);
strategyId, price, qty, true,
candleType, strategyName, executionType);
log.info("[Paper] STRATEGY BUY (staged) 미체결 생성 {} qty≈{} @ {}", market, qty, price);
} else {
double budgetPct = pct(app.getPaperAutoTradeBudgetPct(), 95);
@@ -347,7 +354,8 @@ public class PaperTradingService {
if (qty * execPrice < minOrder) return;
// 알림 발생 시점 현재가 기준 미체결 주문 생성
createPendingLimitOrder(account, app, market, "BUY", "market", "STRATEGY",
strategyId, price, qty, false);
strategyId, price, qty, false,
candleType, strategyName, executionType);
log.info("[Paper] STRATEGY BUY 미체결 생성 {} qty≈{} @ {}", market, qty, price);
}
} else {
@@ -364,12 +372,14 @@ public class PaperTradingService {
if (qty * execPrice < minOrder) return;
// 알림 발생 시점 현재가 기준 미체결 주문 생성 (staged=true → 체결 시 단계 진행)
createPendingLimitOrder(account, app, market, "SELL", "market", "STRATEGY",
strategyId, price, qty, true);
strategyId, price, qty, true,
candleType, strategyName, executionType);
log.info("[Paper] STRATEGY SELL (staged) 미체결 생성 {} qty={} @ {}", market, qty, price);
} else {
// 알림 발생 시점 현재가 기준 미체결 주문 생성
createPendingLimitOrder(account, app, market, "SELL", "market", "STRATEGY",
strategyId, price, avail, false);
strategyId, price, avail, false,
candleType, strategyName, executionType);
log.info("[Paper] STRATEGY SELL 미체결 생성 {} qty={} @ {}", market, avail, price);
}
}
@@ -440,7 +450,8 @@ public class PaperTradingService {
double qty = order.getQuantity().doubleValue();
executeTrade(uid, app, order.getSymbol(),
order.getSide(), order.getOrderKind(), order.getSource(), order.getStrategyId(),
limit, qty, null, "STRATEGY".equals(order.getSource()));
limit, qty, null, "STRATEGY".equals(order.getSource()),
order.getCandleType(), order.getStrategyName(), order.getExecutionType());
order.setStatus("FILLED");
order.setFilledQuantity(order.getQuantity());
@@ -532,7 +543,9 @@ public class PaperTradingService {
private GcPaperOrder createPendingLimitOrder(GcPaperAccount account, GcAppSettings app,
String market, String side, String orderKind,
String source, Long strategyId,
double limitPrice, double qty, boolean staged) {
double limitPrice, double qty, boolean staged,
String candleType, String strategyName,
String executionType) {
double feeRate = pct(app.getPaperFeeRatePct(), 0.05);
double slip = pct(app.getPaperSlippagePct(), 0);
double execPrice = "BUY".equals(side)
@@ -559,6 +572,9 @@ public class PaperTradingService {
.orderKind(orderKind)
.source(source)
.strategyId(strategyId)
.candleType(candleType)
.strategyName(strategyName)
.executionType(executionType)
.staged(staged)
.build());
}
@@ -581,6 +597,9 @@ public class PaperTradingService {
.orderKind(orderKind)
.source(source)
.strategyId(strategyId)
.candleType(candleType)
.strategyName(strategyName)
.executionType(executionType)
.staged(staged)
.build());
}
@@ -611,6 +630,15 @@ public class PaperTradingService {
String market, String side, String orderKind, String source,
Long strategyId, double inputPrice, double inputQty,
String koreanName, boolean autoTrade) {
return executeTrade(userId, app, market, side, orderKind, source, strategyId,
inputPrice, inputQty, koreanName, autoTrade, null, null, null);
}
private PaperTradeDto executeTrade(long userId, GcAppSettings app,
String market, String side, String orderKind, String source,
Long strategyId, double inputPrice, double inputQty,
String koreanName, boolean autoTrade,
String candleType, String strategyName, String executionType) {
GcPaperAccount account = getOrCreateAccount(userId, app);
double feeRate = pct(app.getPaperFeeRatePct(), 0.05);
double slip = pct(app.getPaperSlippagePct(), 0);
@@ -646,6 +674,9 @@ public class PaperTradingService {
.orderKind(orderKind)
.source(source)
.strategyId(strategyId)
.candleType(candleType)
.strategyName(strategyName)
.executionType(executionType)
.price(price)
.quantity(qty)
.grossAmount(gross)
@@ -690,6 +721,9 @@ public class PaperTradingService {
.orderKind(orderKind)
.source(source)
.strategyId(strategyId)
.candleType(candleType)
.strategyName(strategyName)
.executionType(executionType)
.price(price)
.quantity(qty)
.grossAmount(gross)
@@ -791,6 +825,9 @@ public class PaperTradingService {
.orderKind(t.getOrderKind())
.source(t.getSource())
.strategyId(t.getStrategyId())
.candleType(t.getCandleType())
.strategyName(t.getStrategyName())
.executionType(t.getExecutionType())
.price(t.getPrice().doubleValue())
.quantity(t.getQuantity().doubleValue())
.grossAmount(t.getGrossAmount().doubleValue())
backend/src/main/java/com/goldenchart/service/TradeSignalService.java
+1 -1
View File
@@ -122,7 +122,7 @@ public class TradeSignalService {
return deviceId.equals(entity.getDeviceId());
}
private String resolveStrategyName(Long strategyId, String strategyName) {
public String resolveStrategyName(Long strategyId, String strategyName) {
if (strategyName != null && !strategyName.isBlank()) return strategyName;
if (strategyId == null) return null;
return strategyRepo.findById(strategyId)
backend/src/main/java/com/goldenchart/trading/TradingExecutionService.java
+9 -1
View File
@@ -24,12 +24,20 @@ public class TradingExecutionService {
public void executeSignal(Long userId, String market,
Long strategyId, String side, double price) {
executeSignal(userId, market, strategyId, side, price, null, null, null);
}
public void executeSignal(Long userId, String market,
Long strategyId, String side, double price,
String candleType, String strategyName, String executionType) {
if (!TradingAccess.isRegisteredUser(userId)) return;
GcAppSettings app = appSettingsService.getEntity(userId, null);
TradingMode mode = TradingMode.fromString(app.getTradingMode());
if (mode.usePaper() && Boolean.TRUE.equals(app.getPaperTradingEnabled())) {
paperTradingService.tryExecuteOnSignal(userId, market, strategyId, side, price);
paperTradingService.tryExecuteOnSignal(
userId, market, strategyId, side, price,
candleType, strategyName, executionType);
}
if (mode.useLive()) {
liveTradingService.tryExecuteOnSignal(
backend/src/main/java/com/goldenchart/trading/pipeline/OrderExecutionQueue.java
+10 -2
View File
@@ -67,9 +67,16 @@ public class OrderExecutionQueue {
public void submitSignal(Long userId, String market,
Long strategyId, String signal, double price) {
submitSignal(userId, market, strategyId, signal, price, null, null, null);
}
public void submitSignal(Long userId, String market,
Long strategyId, String signal, double price,
String candleType, String strategyName, String executionType) {
if (!TradingAccess.isRegisteredUser(userId)) return;
submit(OrderRequest.strategySignal(
TradingAccess.accountDeviceKey(userId), userId, market, strategyId, signal, price));
TradingAccess.accountDeviceKey(userId), userId, market, strategyId, signal, price,
candleType, strategyName, executionType));
}
private void runLoop() {
@@ -97,7 +104,8 @@ public class OrderExecutionQueue {
if (req.kind() == OrderRequest.OrderKind.STRATEGY_SIGNAL) {
tradingExecutionService.executeSignal(
req.userId(), req.market(),
req.strategyId(), req.side(), req.price());
req.strategyId(), req.side(), req.price(),
req.candleType(), req.strategyName(), req.executionType());
} else {
tradingExecutionService.executeRiskExit(req);
}
backend/src/main/java/com/goldenchart/trading/pipeline/OrderRequest.java
+13 -5
View File
@@ -11,7 +11,10 @@ public record OrderRequest(
Long strategyId,
String side,
double price,
String reason
String reason,
String candleType,
String strategyName,
String executionType
) {
public enum OrderKind {
STRATEGY_SIGNAL,
@@ -20,20 +23,25 @@ public record OrderRequest(
}
public static OrderRequest strategySignal(String deviceId, Long userId, String market,
Long strategyId, String side, double price) {
Long strategyId, String side, double price,
String candleType, String strategyName,
String executionType) {
return new OrderRequest(OrderKind.STRATEGY_SIGNAL, deviceId, userId, market,
strategyId, side, price, "STRATEGY");
strategyId, side, price, "STRATEGY",
candleType, strategyName, executionType);
}
public static OrderRequest stopLoss(String deviceId, Long userId, String market,
double price, double lossPct) {
return new OrderRequest(OrderKind.STOP_LOSS, deviceId, userId, market,
null, "SELL", price, "STOP_LOSS_" + lossPct + "%");
null, "SELL", price, "STOP_LOSS_" + lossPct + "%",
null, null, null);
}
public static OrderRequest takeProfit(String deviceId, Long userId, String market,
double price, double profitPct) {
return new OrderRequest(OrderKind.TAKE_PROFIT, deviceId, userId, market,
null, "SELL", price, "TAKE_PROFIT_" + profitPct + "%");
null, "SELL", price, "TAKE_PROFIT_" + profitPct + "%",
null, null, null);
}
}
backend/src/main/java/com/goldenchart/websocket/LiveStrategyScheduler.java
+4 -1
View File
@@ -122,10 +122,13 @@ public class LiveStrategyScheduler {
barStartEpoch, candleType, "REALTIME_TICK"
);
if (s.getUserId() != null) {
String strategyName = tradeSignalService.resolveStrategyName(
s.getStrategyId(), null);
orderExecutionQueue.submitSignal(
s.getUserId(), market,
s.getStrategyId(), signal,
lastBar.getClosePrice().doubleValue());
lastBar.getClosePrice().doubleValue(),
candleType, strategyName, "REALTIME_TICK");
}
} catch (Exception ex) {
log.warn("[LiveStrategyScheduler] 시그널 DB 저장 실패: {}", ex.getMessage());
backend/src/main/resources/db/migration/V64__paper_trade_execution_context.sql
+10
View File
@@ -0,0 +1,10 @@
-- 매매 실행 당시 전략·시간봉 스냅샷 (분석레포트 실시간 매매 탭)
ALTER TABLE gc_paper_trade
ADD COLUMN candle_type VARCHAR(10) NULL COMMENT '체결 시점 평가 시간봉' AFTER strategy_id,
ADD COLUMN strategy_name VARCHAR(200) NULL COMMENT '체결 시점 전략명' AFTER candle_type,
ADD COLUMN execution_type VARCHAR(30) NULL COMMENT 'CANDLE_CLOSE | REALTIME_TICK' AFTER strategy_name;
ALTER TABLE gc_paper_order
ADD COLUMN candle_type VARCHAR(10) NULL AFTER strategy_id,
ADD COLUMN strategy_name VARCHAR(200) NULL AFTER candle_type,
ADD COLUMN execution_type VARCHAR(30) NULL AFTER strategy_name;
backend/src/main/resources/db/migration/V65__backtest_execution_snapshot.sql
+3
View File
@@ -0,0 +1,3 @@
-- 백테스트 실행 당시 전략 DSL·지표 파라미터 스냅샷
ALTER TABLE gc_backtest_result
ADD COLUMN execution_snapshot_json JSON NULL COMMENT '실행 당시 symbol/timeframe/DSL/indicatorParams 스냅샷' AFTER settings_json;
frontend/src/components/BacktestHistoryPage.tsx
+2 -6
View File
@@ -251,14 +251,10 @@ export function BacktestHistoryPage({ theme = 'dark' }: Props) {
);
}
if (tab === 'live' && selectedLive) {
return buildLiveReportModel(
selectedLive,
activeSignals,
chartProps?.timeframe ?? '1h',
);
return buildLiveReportModel(selectedLive, activeSignals);
}
return null;
}, [tab, selectedBacktest, backtestDetail, selectedLive, activeSignals, chartProps?.timeframe, strategyNamesById]);
}, [tab, selectedBacktest, backtestDetail, selectedLive, activeSignals, strategyNamesById]);
const showRightDetail = tab === 'backtest'
? backtestDetail?.analysis != null
frontend/src/components/analysisReport/AnalysisReportPage.tsx
+1 -1
View File
@@ -119,7 +119,7 @@ export function AnalysisReportPage({ theme = 'dark' }: Props) {
);
}
if (sourceTab === 'live' && selectedLive) {
return buildLiveReportModel(selectedLive, ctx?.signals ?? [], '1h');
return buildLiveReportModel(selectedLive, ctx?.signals ?? []);
}
return null;
}, [sourceTab, selectedBacktest, selectedLive, ctx, strategyNamesById]);
frontend/src/components/backtest/BacktestExecutionList.tsx
+10 -4
View File
@@ -110,10 +110,12 @@ export default function BacktestExecutionList({
const code = item.symbol.replace(/^KRW-/i, '').toLowerCase();
const strategy = item.strategyLabel.toLowerCase();
const source = item.sourceLabel.toLowerCase();
const tf = item.timeframe?.toLowerCase() ?? '';
return ko.includes(normalizedQuery)
|| code.includes(normalizedQuery)
|| strategy.includes(normalizedQuery)
|| source.includes(normalizedQuery);
|| source.includes(normalizedQuery)
|| tf.includes(normalizedQuery);
});
}, [liveItems, normalizedQuery]);
@@ -133,7 +135,7 @@ export default function BacktestExecutionList({
<input
type="text"
className="btd-exec-search-input"
placeholder={tab === 'backtest' ? '종목·전략·타임프레임 검색…' : '종목·전략 검색…'}
placeholder={tab === 'backtest' ? '종목·전략·타임프레임 검색…' : '종목·전략·타임프레임 검색…'}
value={query}
onChange={e => setQuery(e.target.value)}
aria-label="목록 검색"
@@ -242,12 +244,16 @@ export default function BacktestExecutionList({
<div className="btd-history-card-row">
<div className="btd-history-card-main">
<span className="btd-history-ko">{ko}</span>
<span className="btd-history-strategy">{item.strategyLabel} · {item.sourceLabel}</span>
<span className="btd-history-strategy">
{item.strategyLabel}
{item.timeframe !== 'unknown' ? ` · ${formatTimeframeKo(item.timeframe)}` : ''}
{item.sourceLabel !== '자동' ? ` · ${item.sourceLabel}` : ''}
</span>
<span className="btd-history-date">{fmtShortTimestamp(item.createdAt)}</span>
</div>
<div className="btd-history-card-side">
<BacktestSparkline curve={parseLiveSpark(item)} positive={positive} width={56} height={22} />
<span className="btd-history-win">체결 {item.tradeCount}건</span>
<span className="btd-history-win">라운드 {item.roundTripCount} · 체결 {item.tradeCount}건</span>
<span className={`btd-history-roi${positive ? ' up' : ' down'}`}>{pct(item.totalReturnPct)}</span>
</div>
</div>
frontend/src/utils/analysisReportContext.ts
+5 -27
View File
@@ -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,
frontend/src/utils/backendApi.ts
+4
View File
@@ -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;
frontend/src/utils/backtestReportModel.ts
+7 -34
View File
@@ -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',
};
frontend/src/utils/liveExecutionGroups.ts
+39 -13
View File
@@ -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,
}));
}
frontend/src/utils/paperMetrics.ts
+41 -1
View File
@@ -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,
};
}