투자분석 레포트 로직 수정

backend/src/main/java/com/goldenchart/dto/BacktestResponse.java

@@ -31,12 +31,14 @@ public class BacktestResponse {
     public static class Signal {
         /** Unix timestamp (초) */
         private long   time;
-        /** BUY | SELL */
+        /** BUY | SELL | SHORT_ENTRY | SHORT_EXIT | PARTIAL_SELL */
         private String type;
-        /** 해당 봉 종가 */
+        /** 체결 가격 (슬리피지 반영) */
         private double price;
         /** 진입/청산 인덱스 (0-based) */
         private int    barIndex;
+        /** 체결 수량 (코인/주식 단위, 미체결 시그널 없음) */
+        private double quantity;
     }
 
     @Data @Builder @NoArgsConstructor @AllArgsConstructor

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

@@ -158,21 +158,20 @@ public class BacktestingService {
             double exitPrice  = getPrice(series, req.getBars(), i, cfg.getExitPriceType());
             long   time       = series.getBar(i).getEndTime().getEpochSecond();
 
-            // ── SIGNAL_ONLY 모드: 포지션 상태와 무관하게 순수 지표 규칙 충족 여부만 판정 ──
+            // ── SIGNAL_ONLY 모드: 지표 시그널은 포지션 무관, 체결·레포트는 LONG_ONLY와 동일 ──
             if (signalOnly) {
-                boolean enterOk = entryRule.isSatisfied(i);
-                boolean exitOk  = exitRule.isSatisfied(i);
-
-                if (enterOk) {
-                    double effEntry = applySlippage(closePrice, cfg, true);
-                    String sigType  = "SHORT".equals(direction) ? "SHORT_ENTRY" : "BUY";
-                    signals.add(Signal.builder()
-                            .time(time).type(sigType).price(effEntry).barIndex(i).build());
-                    // 실제 포지션 추적은 LONG_ONLY 모드와 동일하게 유지 (수익 계산용)
                 if (!inPosition) {
-                        double shares = enterPosition(ledger, useLedger, equity, tradeSizePct,
+                    if (i - lastExitBar <= reentryWait && lastExitBar >= 0) {
-                                effEntry, closePrice, record, i, series);
+                        if (useLedger) ledger.markToMarket(closePrice);
-                        if (shares > 0) {
+                        continue;
+                    }
+                    if (entryRule.isSatisfied(i)) {
+                        double effEntry = applySlippage(closePrice, cfg, true);
+                        double qty = enterPosition(ledger, useLedger, equity, tradeSizePct,
+                                effEntry, closePrice, record, i, series, time);
+                        if (qty > 0) {
+                            String sigType = "SHORT".equals(direction) ? "SHORT_ENTRY" : "BUY";
+                            signals.add(buildFillSignal(time, sigType, effEntry, i, qty));
                             entryPrice  = effEntry;
                             entryBarIdx = i;
                             inPosition  = true;
@@ -180,25 +179,36 @@ public class BacktestingService {
                             if (useLedger) equity = ledger.portfolioValue(closePrice);
                         }
                     }
-                } else if (exitOk) {
+                } else {
+                    if (partialExit && !partialDone && exitRule.isSatisfied(i)) {
+                        double effExit = applySlippage(exitPrice, cfg, false);
+                        double qty = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice,
+                                effExit, partialPct, direction, cfg, simGrossProfit, simGrossLoss, time, i);
+                        if (qty > 0) {
+                            signals.add(buildFillSignal(time, "PARTIAL_SELL", effExit, i, qty));
+                            partialDone = true;
+                            if (useLedger) equity = ledger.portfolioValue(closePrice);
+                        }
+                    } else if (exitRule.isSatisfied(i)) {
                         double effExit = applySlippage(exitPrice, cfg, false);
-                    String sigType = "SHORT".equals(direction) ? "SHORT_EXIT" : "SELL";
-                    signals.add(Signal.builder()
-                            .time(time).type(sigType).price(effExit).barIndex(i).build());
-                    // 수익 계산: 실제 포지션이 있을 때만
-                    if (inPosition) {
                         double size = partialDone ? (1.0 - partialPct) : 1.0;
-                        equity = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
+                        double qty = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
-                                size, direction, cfg, simGrossProfit, simGrossLoss);
+                                size, direction, cfg, simGrossProfit, simGrossLoss, time, i);
+                        if (qty > 0) {
                             Num numExitPrice = series.numFactory().numOf(effExit);
                             Num numShares    = record.getCurrentPosition().getEntry().getAmount();
                             record.exit(i, numExitPrice, numShares);
+                            String sigType = "SHORT".equals(direction) ? "SHORT_EXIT" : "SELL";
+                            signals.add(buildFillSignal(time, sigType, effExit, i, qty));
                             inPosition  = false;
                             lastExitBar = i;
                             partialDone = false;
+                            if (useLedger) equity = ledger.portfolioValue(closePrice);
                         }
                     }
-                continue; // SIGNAL_ONLY 처리 완료, 다음 봉으로
+                }
+                if (useLedger) ledger.markToMarket(closePrice);
+                continue;
             }
 
             // ── LONG_ONLY 모드: 표준 포지션 제약 로직 ────────────────────────────
@@ -211,12 +221,11 @@ public class BacktestingService {
 
                 if (doEnter) {
                     double effEntry = applySlippage(closePrice, cfg, true);
-                    double shares = enterPosition(ledger, useLedger, equity, tradeSizePct,
+                    double qty = enterPosition(ledger, useLedger, equity, tradeSizePct,
-                            effEntry, closePrice, record, i, series);
+                            effEntry, closePrice, record, i, series, time);
-                    if (shares > 0) {
+                    if (qty > 0) {
                         String sigType = "SHORT".equals(direction) ? "SHORT_ENTRY" : "BUY";
-                        signals.add(Signal.builder()
+                        signals.add(buildFillSignal(time, sigType, effEntry, i, qty));
-                                .time(time).type(sigType).price(effEntry).barIndex(i).build());
                         entryPrice  = effEntry;
                         entryBarIdx = i;
                         inPosition  = true;
@@ -228,34 +237,39 @@ public class BacktestingService {
                 // 분할 청산: exit 조건 처음 충족 시 일부만 청산
                 if (partialExit && !partialDone && exitRule.isSatisfied(i, record)) {
                     double effExit = applySlippage(exitPrice, cfg, false);
-                    equity = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
+                    double qty = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
-                            partialPct, direction, cfg, simGrossProfit, simGrossLoss);
+                            partialPct, direction, cfg, simGrossProfit, simGrossLoss, time, i);
-                    signals.add(Signal.builder()
+                    if (qty > 0) {
-                            .time(time).type("PARTIAL_SELL").price(effExit).barIndex(i).build());
+                        signals.add(buildFillSignal(time, "PARTIAL_SELL", effExit, i, qty));
                         partialDone = true;
+                        if (useLedger) equity = ledger.portfolioValue(closePrice);
+                    }
+                    if (useLedger) ledger.markToMarket(closePrice);
                     continue;
                 }
 
                 if (exitRule.isSatisfied(i, record)) {
                     double effExit = applySlippage(exitPrice, cfg, false);
                     double size = partialDone ? (1.0 - partialPct) : 1.0;
-                    equity = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
+                    double qty = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
-                            size, direction, cfg, simGrossProfit, simGrossLoss);
+                            size, direction, cfg, simGrossProfit, simGrossLoss, time, i);
-
+                    if (qty > 0) {
                         Num numExitPrice  = series.numFactory().numOf(effExit);
                         Num numShares     = record.getCurrentPosition().getEntry().getAmount();
                         record.exit(i, numExitPrice, numShares);
 
                         String sigType = "SHORT".equals(direction) ? "SHORT_EXIT" : "SELL";
-                    signals.add(Signal.builder()
+                        signals.add(buildFillSignal(time, sigType, effExit, i, qty));
-                            .time(time).type(sigType).price(effExit).barIndex(i).build());
 
                         inPosition  = false;
                         lastExitBar = i;
                         partialDone = false;
+                        if (useLedger) equity = ledger.portfolioValue(closePrice);
                     }
                 }
             }
+            if (useLedger) ledger.markToMarket(closePrice);
+        }
 
         double lastMarkPrice = barCount > 0
                 ? series.getBar(barCount - 1).getClosePrice().doubleValue() : 0.0;
@@ -307,20 +321,59 @@ public class BacktestingService {
                 .unrealizedPnl(unrealizedPnl);
 
         double totalReturnPct = initCap > 0 ? (finalEquity - initCap) / initCap : 0.0;
-        double avgReturnPct   = 0.0;
         double profitLossRatio = 0.0;
 
-        int positions   = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfPositionsCriterion", series, record));
+        int positions   = 0;
-        int winning     = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfWinningPositionsCriterion", series, record));
+        int winning     = 0;
-        int losing      = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfLosingPositionsCriterion", series, record));
+        int losing      = 0;
-        int breakEven   = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfBreakEvenPositionsCriterion", series, record));
+        int breakEven   = 0;
-        double winRate  = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.WinningPositionsRatioCriterion", series, record));
+        double winRate  = 0.0;
+        double avgReturnPct = 0.0;
+
+        double maxDrawdown;
+        double sharpe;
+        double sortino;
+        double calmar;
+
+        if (ledger != null) {
+            PortfolioLedger.TradeStats ts = ledger.tradeStats();
+            positions   = ts.closedCount;
+            winning     = ts.winning;
+            losing      = ts.losing;
+            breakEven   = ts.breakEven;
+            winRate     = ts.winRate;
+            avgReturnPct = ts.avgReturnPct;
+            maxDrawdown = ledger.maxDrawdownPct();
+            sharpe      = ledger.sharpeFromEquityCurve();
+            sortino     = safeCalc(() -> calcCriterion(
+                    "org.ta4j.core.criteria.SortinoRatioCriterion", series, record));
+            calmar      = (maxDrawdown != 0) ? totalReturnPct / Math.abs(maxDrawdown) : 0.0;
+        } else {
+            positions   = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfPositionsCriterion", series, record));
+            winning     = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfWinningPositionsCriterion", series, record));
+            losing      = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfLosingPositionsCriterion", series, record));
+            breakEven   = safeCalcInt(() -> calcCriterionInt("org.ta4j.core.criteria.NumberOfBreakEvenPositionsCriterion", series, record));
+            winRate     = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.WinningPositionsRatioCriterion", series, record));
+            maxDrawdown = safeCalc(() -> calcMaxDrawdown(series, record));
+            sharpe      = safeCalc(() -> calcSharpeRatio(series, record));
+            sortino     = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.SortinoRatioCriterion", series, record));
+            calmar      = (maxDrawdown != 0) ? totalReturnPct / Math.abs(maxDrawdown) : 0.0;
+            if (positions == 0) positions = record.getPositionCount();
+            if (winning == 0 && positions > 0) {
+                winning   = (int) record.getPositions().stream().filter(p -> p.isClosed() && p.getProfit().isPositive()).count();
+                losing    = (int) record.getPositions().stream().filter(p -> p.isClosed() && p.getProfit().isNegative()).count();
+                breakEven = positions - winning - losing;
+            }
+            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));
+            }
+        }
 
-        double maxDrawdown  = safeCalc(() -> calcMaxDrawdown(series, record));
         double maxRunup     = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.MaximumRunupCriterion", series, record));
-        double sharpe       = safeCalc(() -> calcSharpeRatio(series, record));
-        double sortino      = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.SortinoRatioCriterion", series, record));
-        double calmar       = (maxDrawdown != 0) ? totalReturnPct / Math.abs(maxDrawdown) : 0.0;
         double var95        = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.ValueAtRiskCriterion", series, record));
         double es           = safeCalc(() -> calcCriterion("org.ta4j.core.criteria.ExpectedShortfallCriterion", series, record));
 
@@ -330,21 +383,7 @@ public class BacktestingService {
         // 금액 기준 총 손익 재계산
         double totalPnl = finalEquity - initCap;
 
-        // positions = 0 이면 record에서 직접 추출 시도
+        double profitLossRatio = 0.0;
-        if (positions == 0) positions = record.getPositionCount();
-        if (winning == 0 && positions > 0) {
-            winning   = (int) record.getPositions().stream().filter(p -> p.isClosed() && p.getProfit().isPositive()).count();
-            losing    = (int) record.getPositions().stream().filter(p -> p.isClosed() && p.getProfit().isNegative()).count();
-            breakEven = positions - winning - losing;
-        }
-        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) {
@@ -376,15 +415,23 @@ public class BacktestingService {
                 .build();
     }
 
+    private static Signal buildFillSignal(long time, String type, double price, int barIndex, double quantity) {
+        return Signal.builder()
+                .time(time)
+                .type(type)
+                .price(price)
+                .barIndex(barIndex)
+                .quantity(quantity)
+                .build();
+    }
+
     // ── 개별 Criterion 계산 헬퍼 ─────────────────────────────────────────────
 
     private double enterPosition(PortfolioLedger ledger, boolean useLedger,
                                  double equity, double tradeSizePct, double effEntry, double markPrice,
-                                 BaseTradingRecord record, int barIndex, BarSeries series) {
+                                 BaseTradingRecord record, int barIndex, BarSeries series, long time) {
         if (useLedger) {
-            double before = ledger.shares;
+            double bought = ledger.executeBuy(effEntry, markPrice, time, barIndex);
-            ledger.executeBuy(effEntry, markPrice);
-            double bought = ledger.shares - before;
             if (bought <= 1e-12) return 0.0;
             record.enter(barIndex, series.numFactory().numOf(effEntry),
                     series.numFactory().numOf(bought));
@@ -397,19 +444,22 @@ public class BacktestingService {
         return shares;
     }
 
+    /** @return 체결 수량 (ledger·LONG 경로), 레거시 비율 모델은 환산 수량 */
     private double applyExit(PortfolioLedger ledger, boolean useLedger, double equity, double tradeSizePct,
                              double entryPrice, double effExit, double sellFraction, String direction,
-                             BacktestSettingsDto cfg, double[] grossProfitAcc, double[] grossLossAcc) {
+                             BacktestSettingsDto cfg, double[] grossProfitAcc, double[] grossLossAcc,
+                             long time, int barIndex) {
         if (useLedger) {
-            ledger.executeSell(effExit, sellFraction);
+            return ledger.executeSell(effExit, sellFraction, time, barIndex);
-            return ledger.portfolioValue(effExit);
         }
         double commission = calcCommissionRate(cfg) * 2;
         double rawReturn  = "SHORT".equals(direction)
                 ? (entryPrice - effExit) / entryPrice
                 : (effExit - entryPrice) / entryPrice;
-        return applyEquityPnl(equity, tradeSizePct, sellFraction, rawReturn - commission,
+        applyEquityPnl(equity, tradeSizePct, sellFraction, rawReturn - commission,
                 grossProfitAcc, grossLossAcc);
+        return sellFraction > 0 && entryPrice > 0
+                ? (equity * tradeSizePct * sellFraction) / entryPrice : 0.0;
     }
 
     private double resolveFinalEquity(PortfolioLedger ledger, boolean useLedger, BacktestSettingsDto cfg,

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

@@ -2,18 +2,94 @@ package com.goldenchart.service;
 
 import com.goldenchart.dto.BacktestSettingsDto;
 
+import java.util.ArrayList;
+import java.util.Collections;
+import java.util.List;
+
 /**
  * 표준 주식 프로그램 방식의 포트폴리오 회계.
  * <ul>
  *   <li>MARK_TO_MARKET: 예수금 + 보유주식 시가평가 (평가손익 포함)</li>
  *   <li>REALIZED_ONLY: 청산 완료 실현손익만 반영 (기말 미청산 평가 제외)</li>
  * </ul>
+ * 실제 매매(체결) 단위로 라운드트립·MDD·승률을 추적한다.
  */
 final class PortfolioLedger {
 
     static final String MARK_TO_MARKET = "MARK_TO_MARKET";
     static final String REALIZED_ONLY  = "REALIZED_ONLY";
 
+    /** 체결 1건 (매수/매도) */
+    static final class TradeFill {
+        final long   time;
+        final int    barIndex;
+        final String side;
+        final double price;
+        final double quantity;
+
+        TradeFill(long time, int barIndex, String side, double price, double quantity) {
+            this.time = time;
+            this.barIndex = barIndex;
+            this.side = side;
+            this.price = price;
+            this.quantity = quantity;
+        }
+    }
+
+    /** 청산 완료 라운드트립 1건 */
+    static final class ClosedRoundTrip {
+        final long   entryTime;
+        final long   exitTime;
+        final int    entryBar;
+        final int    exitBar;
+        final double entryPrice;
+        final double exitPrice;
+        final double quantity;
+        final double equityAtEntry;
+        final double pnl;
+        /** 해당 거래의 포트폴리오 대비 수익률 (pnl / equityAtEntry) */
+        final double returnPct;
+
+        ClosedRoundTrip(long entryTime, long exitTime, int entryBar, int exitBar,
+                        double entryPrice, double exitPrice, double quantity,
+                        double equityAtEntry, double pnl) {
+            this.entryTime = entryTime;
+            this.exitTime = exitTime;
+            this.entryBar = entryBar;
+            this.exitBar = exitBar;
+            this.entryPrice = entryPrice;
+            this.exitPrice = exitPrice;
+            this.quantity = quantity;
+            this.equityAtEntry = equityAtEntry;
+            this.pnl = pnl;
+            this.returnPct = equityAtEntry > 0 ? pnl / equityAtEntry : 0.0;
+        }
+    }
+
+    /** 체결 기준 거래 통계 */
+    static final class TradeStats {
+        final int    closedCount;
+        final int    winning;
+        final int    losing;
+        final int    breakEven;
+        final double winRate;
+        final double avgReturnPct;
+
+        TradeStats(int closedCount, int winning, int losing, int breakEven,
+                   double winRate, double avgReturnPct) {
+            this.closedCount = closedCount;
+            this.winning = winning;
+            this.losing = losing;
+            this.breakEven = breakEven;
+            this.winRate = winRate;
+            this.avgReturnPct = avgReturnPct;
+        }
+
+        static TradeStats empty() {
+            return new TradeStats(0, 0, 0, 0, 0.0, 0.0);
+        }
+    }
+
     final double initialCapital;
     final String analysisMethod;
     final BacktestSettingsDto cfg;
@@ -26,11 +102,29 @@ final class PortfolioLedger {
     double grossProfit;
     double grossLoss;
 
+    private final List<TradeFill> fills = new ArrayList<>();
+    private final List<ClosedRoundTrip> closedTrips = new ArrayList<>();
+    private final List<Double> equityCurve = new ArrayList<>();
+
+    /** 미청산 포지션 진입 시점 추적 */
+    private long   openEntryTime;
+    private int    openEntryBar;
+    private double openEntryPrice;
+    private double openEntryEquity;
+    private double openEntryQty;
+    /** 분할 청산 포함 — 라운드트립 누적 실현손익 */
+    private double openRoundTripPnl;
+
+    private double peakEquity;
+    private double maxDrawdownPct;
+
     PortfolioLedger(double initialCapital, BacktestSettingsDto cfg) {
         this.initialCapital = initialCapital;
         this.cfg = cfg;
         this.analysisMethod = normalizeMethod(cfg.getAnalysisMethod());
         this.cash = initialCapital;
+        this.peakEquity = initialCapital;
+        this.equityCurve.add(initialCapital);
     }
 
     static String normalizeMethod(String raw) {
@@ -41,11 +135,43 @@ final class PortfolioLedger {
         return shares > 1e-12;
     }
 
+    List<TradeFill> getFills() {
+        return Collections.unmodifiableList(fills);
+    }
+
+    List<ClosedRoundTrip> getClosedTrips() {
+        return Collections.unmodifiableList(closedTrips);
+    }
+
+    double maxDrawdownPct() {
+        return maxDrawdownPct;
+    }
+
+    TradeStats tradeStats() {
+        if (closedTrips.isEmpty()) return TradeStats.empty();
+        int winning = 0, losing = 0, breakEven = 0;
+        double sumReturnPct = 0.0;
+        for (ClosedRoundTrip t : closedTrips) {
+            if (t.pnl > 1e-6) winning++;
+            else if (t.pnl < -1e-6) losing++;
+            else breakEven++;
+            sumReturnPct += t.returnPct;
+        }
+        int n = closedTrips.size();
+        return new TradeStats(n, winning, losing, breakEven,
+                (double) winning / n, sumReturnPct / n);
+    }
+
     /** 평가금액 = 예수금 + 보유주식 평가액 */
     double portfolioValue(double markPrice) {
         return cash + shares * markPrice;
     }
 
+    /** 봉 종료 시 평가금액으로 MDD·에쿼티 커브 갱신 */
+    void markToMarket(double markPrice) {
+        updateEquityCurve(portfolioValue(markPrice));
+    }
+
     double unrealizedPnl(double markPrice) {
         if (shares <= 1e-12) return 0.0;
         return shares * markPrice - costBasis;
@@ -58,16 +184,19 @@ final class PortfolioLedger {
         return cash + shares * lastMarkPrice;
     }
 
-    /** LONG 매수 체결 */
+    /**
-    void executeBuy(double effEntry, double markPriceForSizing) {
+     * LONG 매수 체결.
-        if (effEntry <= 0 || cash <= 0) return;
+     * @return 체결 수량 (0 = 미체결)
+     */
+    double executeBuy(double effEntry, double markPriceForSizing, long time, int barIndex) {
+        if (effEntry <= 0 || cash <= 0) return 0.0;
         double commRate = commissionRate();
         double orderAmount = computeOrderAmount(markPriceForSizing);
-        if (orderAmount <= 0) return;
+        if (orderAmount <= 0) return 0.0;
 
         double maxSpend = cash;
         orderAmount = Math.min(orderAmount, maxSpend / (1 + commRate));
-        if (orderAmount <= 0) return;
+        if (orderAmount <= 0) return 0.0;
 
         double sharesToBuy = orderAmount / effEntry;
         double totalCost = sharesToBuy * effEntry * (1 + commRate);
@@ -75,19 +204,41 @@ final class PortfolioLedger {
             sharesToBuy = cash / (effEntry * (1 + commRate));
             totalCost = sharesToBuy * effEntry * (1 + commRate);
         }
-        if (sharesToBuy <= 1e-12) return;
+        if (sharesToBuy <= 1e-12) return 0.0;
+
+        boolean wasFlat = !hasPosition();
+        double equityBefore = portfolioValue(markPriceForSizing);
 
         cash -= totalCost;
         shares += sharesToBuy;
         costBasis += totalCost;
+
+        fills.add(new TradeFill(time, barIndex, "BUY", effEntry, sharesToBuy));
+
+        if (wasFlat) {
+            openEntryTime = time;
+            openEntryBar = barIndex;
+            openEntryPrice = effEntry;
+            openEntryEquity = equityBefore;
+            openEntryQty = sharesToBuy;
+            openRoundTripPnl = 0.0;
+        } else {
+            openEntryQty += sharesToBuy;
         }
 
-    /** LONG 매도 체결 — sellFraction: 0~1 (전량=1) */
+        updateEquityCurve(portfolioValue(markPriceForSizing));
-    void executeSell(double effExit, double sellFraction) {
+        return sharesToBuy;
-        if (effExit <= 0 || shares <= 1e-12) return;
+    }
+
+    /**
+     * LONG 매도 체결 — sellFraction: 0~1 (전량=1)
+     * @return 체결 수량 (0 = 미체결)
+     */
+    double executeSell(double effExit, double sellFraction, long time, int barIndex) {
+        if (effExit <= 0 || shares <= 1e-12) return 0.0;
         double fraction = Math.max(0.0, Math.min(1.0, sellFraction));
         double sharesToSell = shares * fraction;
-        if (sharesToSell <= 1e-12) return;
+        if (sharesToSell <= 1e-12) return 0.0;
 
         double commRate = commissionRate();
         double proceeds = sharesToSell * effExit * (1 - commRate);
@@ -98,13 +249,64 @@ final class PortfolioLedger {
         realizedPnl += pnl;
         if (pnl >= 0) grossProfit += pnl;
         else grossLoss += pnl;
+        openRoundTripPnl += pnl;
 
         shares -= sharesToSell;
         costBasis -= costPortion;
-        if (shares <= 1e-12) {
+
+        fills.add(new TradeFill(time, barIndex, "SELL", effExit, sharesToSell));
+
+        boolean fullyClosed = shares <= 1e-12;
+        if (fullyClosed) {
             shares = 0;
             costBasis = 0;
+            closedTrips.add(new ClosedRoundTrip(
+                    openEntryTime, time, openEntryBar, barIndex,
+                    openEntryPrice, effExit, openEntryQty,
+                    openEntryEquity, openRoundTripPnl));
+            openEntryQty = 0;
+            openRoundTripPnl = 0.0;
         }
+
+        updateEquityCurve(portfolioValue(effExit));
+        return sharesToSell;
+    }
+
+    /** 레거시 호환 — barIndex/time 없이 호출 (테스트·SHORT 경로) */
+    void executeBuy(double effEntry, double markPriceForSizing) {
+        executeBuy(effEntry, markPriceForSizing, 0L, 0);
+    }
+
+    void executeSell(double effExit, double sellFraction) {
+        executeSell(effExit, sellFraction, 0L, 0);
+    }
+
+    private void updateEquityCurve(double equity) {
+        equityCurve.add(equity);
+        if (equity > peakEquity) peakEquity = equity;
+        if (peakEquity > 0) {
+            double dd = (equity - peakEquity) / peakEquity;
+            if (dd < maxDrawdownPct) maxDrawdownPct = dd;
+        }
+    }
+
+    /** 에쿼티 커브 기반 샤프 (봉 단위 수익률) */
+    double sharpeFromEquityCurve() {
+        if (equityCurve.size() < 3) return 0.0;
+        List<Double> returns = new ArrayList<>();
+        for (int i = 1; i < equityCurve.size(); i++) {
+            double prev = equityCurve.get(i - 1);
+            double cur = equityCurve.get(i);
+            if (prev > 0) returns.add((cur - prev) / prev);
+        }
+        if (returns.isEmpty()) return 0.0;
+        double mean = returns.stream().mapToDouble(d -> d).average().orElse(0.0);
+        double var = 0.0;
+        for (double r : returns) var += (r - mean) * (r - mean);
+        var /= returns.size();
+        double std = Math.sqrt(var);
+        if (std < 1e-12) return 0.0;
+        return (mean / std) * Math.sqrt(returns.size());
     }
 
     private double computeOrderAmount(double markPrice) {

frontend/src/components/backtest/BacktestSignalTable.tsx

@@ -57,6 +57,7 @@ export default function BacktestSignalTable({ signals, expanded = false, classNa
                   <th>날짜</th>
                   <th>구분</th>
                   <th style={{ textAlign: 'right' }}>가격</th>
+                  <th style={{ textAlign: 'right' }}>수량</th>
                   <th style={{ textAlign: 'center', width: 50 }}>봉#</th>
                 </tr>
               </thead>
@@ -73,6 +74,11 @@ export default function BacktestSignalTable({ signals, expanded = false, classNa
                     <td style={{ textAlign: 'right', fontVariantNumeric: 'tabular-nums', fontWeight: 600 }}>
                       {Math.round(s.price).toLocaleString()}
                     </td>
+                    <td style={{ textAlign: 'right', fontVariantNumeric: 'tabular-nums', color: 'var(--text2)' }}>
+                      {s.quantity != null && s.quantity > 0
+                        ? s.quantity.toFixed(6).replace(/\.?0+$/, '')
+                        : '–'}
+                    </td>
                     <td style={{ textAlign: 'center', color: 'var(--text3)' }}>{s.barIndex}</td>
                   </tr>
                 ))}

frontend/src/utils/backendApi.ts

@@ -1141,6 +1141,8 @@ export interface BacktestSignal {
   type:     'BUY' | 'SELL' | 'SHORT_ENTRY' | 'SHORT_EXIT' | 'PARTIAL_SELL';
   price:    number;
   barIndex: number;
+  /** 체결 수량 (코인/주식 단위) */
+  quantity?: number;
 }
 
 export interface BacktestStats {

frontend/src/utils/backtestEquity.ts

@@ -61,8 +61,9 @@ export function buildEquityFromSignals(
   pushCurve(sorted[0].time, sorted[0].price);
 
   for (const s of sorted) {
+    const qtyHint = s.quantity != null && s.quantity > 0 ? s.quantity : undefined;
     if (BUY_TYPES.has(s.type) && qty === 0 && cash > 0) {
-      qty = cash / s.price;
+      qty = qtyHint ?? cash / s.price;
       entryPrice = s.price;
       cash = 0;
       tradeId += 1;
@@ -78,8 +79,9 @@ export function buildEquityFromSignals(
       markers.push({ time: s.time, equity: eq, type: 'buy', price: s.price });
       pushCurve(s.time, s.price);
     } else if (SELL_TYPES.has(s.type) && qty > 0) {
+      const sellQty = qtyHint ?? qty;
       const pnlPct = entryPrice > 0 ? (s.price - entryPrice) / entryPrice : 0;
-      cash = qty * s.price;
+      cash = sellQty * s.price;
       tradeId += 1;
       trades.push({
         id: tradeId,
@@ -87,7 +89,7 @@ export function buildEquityFromSignals(
         symbol,
         side: 'sell',
         price: s.price,
-        quantity: qty,
+        quantity: sellQty,
         pnlPct,
       });
       markers.push({ time: s.time, equity: cash, type: 'sell', price: s.price, pnlPct });

packages/shared/src/api/backendApi.ts

@@ -991,6 +991,8 @@ export interface BacktestSignal {
   type:     'BUY' | 'SELL' | 'SHORT_ENTRY' | 'SHORT_EXIT' | 'PARTIAL_SELL';
   price:    number;
   barIndex: number;
+  /** 체결 수량 (코인/주식 단위) */
+  quantity?: number;
 }
 
 export interface BacktestStats {