상세투자분석 계산로직 수정

2026-06-07 15:12:42 +09:00
parent c4365283cf
commit e1cf2ea46d
14 changed files with 366 additions and 58 deletions
@@ -145,6 +145,8 @@ public class BacktestingService {
        double  partialPct    = cfg.getPartialExitPct()  != null ? cfg.getPartialExitPct().doubleValue() / 100.0 : 0.5;
        boolean partialDone   = false;

+        boolean useLedger = "LONG".equals(direction);
+        PortfolioLedger ledger = useLedger ? new PortfolioLedger(initCap, cfg) : null;
        double equity = initCap;
        final double[] simGrossProfit = {0.0};
        final double[] simGrossLoss   = {0.0};
@@ -168,12 +170,15 @@ public class BacktestingService {
                            .time(time).type(sigType).price(effEntry).barIndex(i).build());
                    // 실제 포지션 추적은 LONG_ONLY 모드와 동일하게 유지 (수익 계산용)
                    if (!inPosition) {
-                        double shares = (equity * tradeSizePct) / effEntry;
-                        record.enter(i, series.numFactory().numOf(effEntry), series.numFactory().numOf(shares));
-                        entryPrice  = effEntry;
-                        entryBarIdx = i;
-                        inPosition  = true;
-                        partialDone = false;
+                        double shares = enterPosition(ledger, useLedger, equity, tradeSizePct,
+                                effEntry, closePrice, record, i, series);
+                        if (shares > 0) {
+                            entryPrice  = effEntry;
+                            entryBarIdx = i;
+                            inPosition  = true;
+                            partialDone = false;
+                            if (useLedger) equity = ledger.portfolioValue(closePrice);
+                        }
                    }
                } else if (exitOk) {
                    double effExit = applySlippage(exitPrice, cfg, false);
@@ -182,13 +187,9 @@ public class BacktestingService {
                            .time(time).type(sigType).price(effExit).barIndex(i).build());
                    // 수익 계산: 실제 포지션이 있을 때만
                    if (inPosition) {
-                        double commission = calcCommissionRate(cfg) * 2;
-                        double rawReturn  = "SHORT".equals(direction)
-                                ? (entryPrice - effExit) / entryPrice
-                                : (effExit - entryPrice) / entryPrice;
                        double size = partialDone ? (1.0 - partialPct) : 1.0;
-                        equity = applyEquityPnl(equity, tradeSizePct, size, rawReturn - commission,
-                                simGrossProfit, simGrossLoss);
+                        equity = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
+                                size, direction, cfg, simGrossProfit, simGrossLoss);
                        Num numExitPrice = series.numFactory().numOf(effExit);
                        Num numShares    = record.getCurrentPosition().getEntry().getAmount();
                        record.exit(i, numExitPrice, numShares);
@@ -210,33 +211,25 @@ public class BacktestingService {

                if (doEnter) {
                    double effEntry = applySlippage(closePrice, cfg, true);
-                    double shares   = (equity * tradeSizePct) / effEntry;
-
-                    Num numPrice  = series.numFactory().numOf(effEntry);
-                    Num numShares = series.numFactory().numOf(shares);
-                    record.enter(i, numPrice, numShares);
-
-                    String sigType = "SHORT".equals(direction) ? "SHORT_ENTRY" : "BUY";
-                    signals.add(Signal.builder()
-                            .time(time).type(sigType).price(effEntry).barIndex(i).build());
-
-                    entryPrice  = effEntry;
-                    entryBarIdx = i;
-                    inPosition  = true;
-                    partialDone = false;
+                    double shares = enterPosition(ledger, useLedger, equity, tradeSizePct,
+                            effEntry, closePrice, record, i, series);
+                    if (shares > 0) {
+                        String sigType = "SHORT".equals(direction) ? "SHORT_ENTRY" : "BUY";
+                        signals.add(Signal.builder()
+                                .time(time).type(sigType).price(effEntry).barIndex(i).build());
+                        entryPrice  = effEntry;
+                        entryBarIdx = i;
+                        inPosition  = true;
+                        partialDone = false;
+                        if (useLedger) equity = ledger.portfolioValue(closePrice);
+                    }
                }
            } else {
                // 분할 청산: exit 조건 처음 충족 시 일부만 청산
                if (partialExit && !partialDone && exitRule.isSatisfied(i, record)) {
-                    double effExit     = applySlippage(exitPrice, cfg, false);
-                    double partShares  = record.getCurrentPosition().getEntry().getAmount().doubleValue() * partialPct;
-                    double partReturn  = "SHORT".equals(direction)
-                            ? (entryPrice - effExit) / entryPrice
-                            : (effExit - entryPrice) / entryPrice;
-                    double commission  = calcCommissionRate(cfg) * 2;
-                    equity = applyEquityPnl(equity, tradeSizePct, partialPct, partReturn - commission,
-                            simGrossProfit, simGrossLoss);
-
+                    double effExit = applySlippage(exitPrice, cfg, false);
+                    equity = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
+                            partialPct, direction, cfg, simGrossProfit, simGrossLoss);
                    signals.add(Signal.builder()
                            .time(time).type("PARTIAL_SELL").price(effExit).barIndex(i).build());
                    partialDone = true;
@@ -244,16 +237,10 @@ public class BacktestingService {
                }

                if (exitRule.isSatisfied(i, record)) {
-                    double effExit    = applySlippage(exitPrice, cfg, false);
-                    double commission = calcCommissionRate(cfg) * 2;
-                    double rawReturn  = "SHORT".equals(direction)
-                            ? (entryPrice - effExit) / entryPrice
-                            : (effExit - entryPrice) / entryPrice;
-                    double netReturn  = rawReturn - commission;
-
+                    double effExit = applySlippage(exitPrice, cfg, false);
                    double size = partialDone ? (1.0 - partialPct) : 1.0;
-                    equity = applyEquityPnl(equity, tradeSizePct, size, netReturn,
-                            simGrossProfit, simGrossLoss);
+                    equity = applyExit(ledger, useLedger, equity, tradeSizePct, entryPrice, effExit,
+                            size, direction, cfg, simGrossProfit, simGrossLoss);

                    Num numExitPrice  = series.numFactory().numOf(effExit);
                    Num numShares     = record.getCurrentPosition().getEntry().getAmount();
@@ -270,9 +257,15 @@ public class BacktestingService {
            }
        }

+        double lastMarkPrice = barCount > 0
+                ? series.getBar(barCount - 1).getClosePrice().doubleValue() : 0.0;
+        double finalEquity = resolveFinalEquity(ledger, useLedger, cfg, initCap, equity, inPosition,
+                entryPrice, lastMarkPrice, tradeSizePct, partialDone, partialPct, direction,
+                simGrossProfit, simGrossLoss);
+
        // ── AnalysisCriterion 전체 계산 ───────────────────────────────────────
-        BacktestAnalysisDto analysis = calcAnalysis(series, record, cfg, initCap, equity,
-                simGrossProfit[0], simGrossLoss[0]);
+        BacktestAnalysisDto analysis = calcAnalysis(series, record, cfg, initCap, finalEquity,
+                ledger, lastMarkPrice, simGrossProfit[0], simGrossLoss[0]);

        // ── Stats (하위 호환) ─────────────────────────────────────────────────
        Stats stats = toStats(analysis, signals);
@@ -292,15 +285,28 @@ public class BacktestingService {

    private BacktestAnalysisDto calcAnalysis(BarSeries series, TradingRecord record,
                                              BacktestSettingsDto cfg, double initCap, double finalEquity,
+                                              PortfolioLedger ledger, double lastMarkPrice,
                                              double simGrossProfit, double simGrossLoss) {
+        String analysisMethod = ledger != null
+                ? ledger.analysisMethod
+                : PortfolioLedger.normalizeMethod(cfg.getAnalysisMethod());
+        double cashBalance = ledger != null ? ledger.cash : 0.0;
+        double holdingsValue = ledger != null ? ledger.shares * lastMarkPrice : 0.0;
+        double realizedPnl = ledger != null ? ledger.realizedPnl : (simGrossProfit + simGrossLoss);
+        double unrealizedPnl = ledger != null ? ledger.unrealizedPnl(lastMarkPrice) : 0.0;
+        double grossProfit = ledger != null ? ledger.grossProfit : simGrossProfit;
+        double grossLoss   = ledger != null ? ledger.grossLoss : simGrossLoss;
+
        BacktestAnalysisDto.BacktestAnalysisDtoBuilder b = BacktestAnalysisDto.builder()
                .initialCapital(initCap)
-                .finalEquity(finalEquity);
+                .finalEquity(finalEquity)
+                .analysisMethod(analysisMethod)
+                .cashBalance(cashBalance)
+                .holdingsValue(holdingsValue)
+                .realizedPnl(realizedPnl)
+                .unrealizedPnl(unrealizedPnl);

-        // equity 시뮬레이션 기준 총 수익률 — Ta4j criterion/fallback 은 개별 거래 수익률 합산으로 부정확
        double totalReturnPct = initCap > 0 ? (finalEquity - initCap) / initCap : 0.0;
-        double grossProfit    = simGrossProfit;
-        double grossLoss      = simGrossLoss;
        double avgReturnPct   = 0.0;
        double profitLossRatio = 0.0;

@@ -372,10 +378,66 @@ public class BacktestingService {

    // ── 개별 Criterion 계산 헬퍼 ─────────────────────────────────────────────

-    /**
-     * equity 시뮬레이션에 체결 손익을 반영하고, 총 이익/총 손실 누적값을 갱신한다.
-     * @return 갱신된 equity
-     */
+    private double enterPosition(PortfolioLedger ledger, boolean useLedger,
+                                 double equity, double tradeSizePct, double effEntry, double markPrice,
+                                 BaseTradingRecord record, int barIndex, BarSeries series) {
+        if (useLedger) {
+            double before = ledger.shares;
+            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));
+            return bought;
+        }
+        double shares = (equity * tradeSizePct) / effEntry;
+        if (shares <= 1e-12) return 0.0;
+        record.enter(barIndex, series.numFactory().numOf(effEntry),
+                series.numFactory().numOf(shares));
+        return shares;
+    }
+
+    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) {
+        if (useLedger) {
+            ledger.executeSell(effExit, sellFraction);
+            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,
+                grossProfitAcc, grossLossAcc);
+    }
+
+    private double resolveFinalEquity(PortfolioLedger ledger, boolean useLedger, BacktestSettingsDto cfg,
+                                      double initCap, double equity, boolean inPosition, double entryPrice,
+                                      double lastMarkPrice, double tradeSizePct, boolean partialDone,
+                                      double partialPct, String direction,
+                                      double[] grossProfitAcc, double[] grossLossAcc) {
+        if (useLedger && ledger != null) {
+            return ledger.resolveFinalEquity(lastMarkPrice);
+        }
+        String method = PortfolioLedger.normalizeMethod(cfg.getAnalysisMethod());
+        if (inPosition && lastMarkPrice > 0 && entryPrice > 0
+                && PortfolioLedger.MARK_TO_MARKET.equals(method)) {
+            double commission = calcCommissionRate(cfg) * 2;
+            double rawReturn  = "SHORT".equals(direction)
+                    ? (entryPrice - lastMarkPrice) / entryPrice
+                    : (lastMarkPrice - entryPrice) / entryPrice;
+            double size = partialDone ? (1.0 - partialPct) : 1.0;
+            return applyEquityPnl(equity, tradeSizePct, size, rawReturn - commission,
+                    grossProfitAcc, grossLossAcc);
+        }
+        if (PortfolioLedger.REALIZED_ONLY.equals(method)) {
+            return initCap + grossProfitAcc[0] + grossLossAcc[0];
+        }
+        return equity;
+    }
+
+    /** SHORT/레거시: 비율 기반 equity 갱신 */
    private double applyEquityPnl(double equity, double tradeSizePct, double size, double netReturn,
                                  double[] grossProfitAcc, double[] grossLossAcc) {
        double eqBefore = equity;