분석레포트 수익률, 승률 계산오류 수정

backend/src/main/java/com/goldenchart/service/BacktestingService.java

@@ -146,6 +146,8 @@ public class BacktestingService {
         boolean partialDone   = false;
 
         double equity = initCap;
+        final double[] simGrossProfit = {0.0};
+        final double[] simGrossLoss   = {0.0};
 
         int barCount = series.getBarCount();
 
@@ -185,7 +187,8 @@ public class BacktestingService {
                                 ? (entryPrice - effExit) / entryPrice
                                 : (effExit - entryPrice) / entryPrice;
                         double size = partialDone ? (1.0 - partialPct) : 1.0;
-                        equity += equity * tradeSizePct * size * (rawReturn - commission);
+                        equity = applyEquityPnl(equity, tradeSizePct, size, rawReturn - commission,
+                                simGrossProfit, simGrossLoss);
                         Num numExitPrice = series.numFactory().numOf(effExit);
                         Num numShares    = record.getCurrentPosition().getEntry().getAmount();
                         record.exit(i, numExitPrice, numShares);
@@ -231,7 +234,8 @@ public class BacktestingService {
                             ? (entryPrice - effExit) / entryPrice
                             : (effExit - entryPrice) / entryPrice;
                     double commission  = calcCommissionRate(cfg) * 2;
-                    equity += equity * tradeSizePct * partialPct * (partReturn - commission);
+                    equity = applyEquityPnl(equity, tradeSizePct, partialPct, partReturn - commission,
+                            simGrossProfit, simGrossLoss);
 
                     signals.add(Signal.builder()
                             .time(time).type("PARTIAL_SELL").price(effExit).barIndex(i).build());
@@ -248,7 +252,8 @@ public class BacktestingService {
                     double netReturn  = rawReturn - commission;
 
                     double size = partialDone ? (1.0 - partialPct) : 1.0;
-                    equity += equity * tradeSizePct * size * netReturn;
+                    equity = applyEquityPnl(equity, tradeSizePct, size, netReturn,
+                            simGrossProfit, simGrossLoss);
 
                     Num numExitPrice  = series.numFactory().numOf(effExit);
                     Num numShares     = record.getCurrentPosition().getEntry().getAmount();
@@ -266,7 +271,8 @@ public class BacktestingService {
         }
 
         // ── AnalysisCriterion 전체 계산 ───────────────────────────────────────
-        BacktestAnalysisDto analysis = calcAnalysis(series, record, cfg, initCap, equity);
+        BacktestAnalysisDto analysis = calcAnalysis(series, record, cfg, initCap, equity,
+                simGrossProfit[0], simGrossLoss[0]);
 
         // ── Stats (하위 호환) ─────────────────────────────────────────────────
         Stats stats = toStats(analysis, signals);
@@ -285,16 +291,18 @@ public class BacktestingService {
     // ── Ta4j AnalysisCriterion 전체 계산 ─────────────────────────────────────
 
     private BacktestAnalysisDto calcAnalysis(BarSeries series, TradingRecord record,
-                                              BacktestSettingsDto cfg, double initCap, double finalEquity) {
+                                              BacktestSettingsDto cfg, double initCap, double finalEquity,
+                                              double simGrossProfit, double simGrossLoss) {
         BacktestAnalysisDto.BacktestAnalysisDtoBuilder b = BacktestAnalysisDto.builder()
                 .initialCapital(initCap)
                 .finalEquity(finalEquity);
 
-        double totalReturnPct   = safeCalc(() -> calcTotalReturnPct(series, record));
+        // equity 시뮬레이션 기준 총 수익률 — Ta4j criterion/fallback 은 개별 거래 수익률 합산으로 부정확
-        double grossProfit      = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.pnl.GrossProfitCriterion", series, record));
+        double totalReturnPct = initCap > 0 ? (finalEquity - initCap) / initCap : 0.0;
-        double grossLoss        = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.pnl.GrossLossCriterion", series, record));
+        double grossProfit    = simGrossProfit;
-        double avgReturnPct     = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.pnl.AverageProfitLossCriterion", series, record));
+        double grossLoss      = simGrossLoss;
-        double profitLossRatio  = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.pnl.ProfitLossRatioCriterion", series, record));
+        double avgReturnPct   = 0.0;
+        double profitLossRatio = 0.0;
 
         int positions   = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfPositionsCriterion", series, record));
         int winning     = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfWinningPositionsCriterion", series, record));
@@ -325,6 +333,19 @@ public class BacktestingService {
         }
         if (winRate == 0 && positions > 0) winRate = (double) winning / positions;
 
+        if (positions > 0) {
+            avgReturnPct = totalReturnPct / positions;
+        } else {
+            avgReturnPct = safeCalc(() -> calcCriterion(
+                    "org.ta4j.core.criteria.pnl.AverageProfitLossCriterion", series, record));
+        }
+        if (grossLoss != 0) {
+            profitLossRatio = grossProfit / Math.abs(grossLoss);
+        } else if (grossProfit > 0) {
+            profitLossRatio = safeCalc(() -> calcCriterion(
+                    "org.ta4j.core.criteria.pnl.ProfitLossRatioCriterion", series, record));
+        }
+
         return b
                 .totalReturnPct(totalReturnPct)
                 .totalProfitLoss(totalPnl)
@@ -351,24 +372,18 @@ public class BacktestingService {
 
     // ── 개별 Criterion 계산 헬퍼 ─────────────────────────────────────────────
 
-    private double calcTotalReturnPct(BarSeries series, TradingRecord record) throws Exception {
+    /**
-        // 총 수익률 = (finalEquity - initialCapital) / initialCapital
+     * equity 시뮬레이션에 체결 손익을 반영하고, 총 이익/총 손실 누적값을 갱신한다.
-        // TotalProfitLossPercentageCriterion 또는 ReturnCriterion 시도
+     * @return 갱신된 equity
-        try {
+     */
-            Class<?> cls = Class.forName("org.ta4j.core.criteria.pnl.TotalProfitLossPercentageCriterion");
+    private double applyEquityPnl(double equity, double tradeSizePct, double size, double netReturn,
-            AnalysisCriterion criterion = (AnalysisCriterion) cls.getDeclaredConstructor().newInstance();
+                                  double[] grossProfitAcc, double[] grossLossAcc) {
-            return criterion.calculate(series, record).doubleValue();
+        double eqBefore = equity;
-        } catch (Exception ignored) {}
+        double next = eqBefore + eqBefore * tradeSizePct * size * netReturn;
-        try {
+        double delta = next - eqBefore;
-            Class<?> cls = Class.forName("org.ta4j.core.criteria.ReturnCriterion");
+        if (delta >= 0) grossProfitAcc[0] += delta;
-            AnalysisCriterion criterion = (AnalysisCriterion) cls.getDeclaredConstructor().newInstance();
+        else grossLossAcc[0] += delta;
-            return criterion.calculate(series, record).doubleValue() - 1.0;
+        return next;
-        } catch (Exception ignored) {}
-        // fallback: 거래 수익 직접 계산
-        return record.getPositions().stream()
-                .filter(Position::isClosed)
-                .mapToDouble(p -> p.getProfit().doubleValue() / p.getEntry().getNetPrice().doubleValue())
-                .sum();
     }
 
     private double calcMaxDrawdown(BarSeries series, TradingRecord record) throws Exception {