상세투자분석 계산로직 수정

2026-06-07 15:12:42 +09:00
parent c4365283cf
commit e1cf2ea46d
14 changed files with 366 additions and 58 deletions
@@ -0,0 +1,125 @@
+package com.goldenchart.service;
+
+import com.goldenchart.dto.BacktestSettingsDto;
+
+/**
+ * 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>
+ */
+final class PortfolioLedger {
+
+    static final String MARK_TO_MARKET = "MARK_TO_MARKET";
+    static final String REALIZED_ONLY  = "REALIZED_ONLY";
+
+    final double initialCapital;
+    final String analysisMethod;
+    final BacktestSettingsDto cfg;
+
+    double cash;
+    double shares;
+    /** 현재 보유분 취득원가(수수료 포함) */
+    double costBasis;
+    double realizedPnl;
+    double grossProfit;
+    double grossLoss;
+
+    PortfolioLedger(double initialCapital, BacktestSettingsDto cfg) {
+        this.initialCapital = initialCapital;
+        this.cfg = cfg;
+        this.analysisMethod = normalizeMethod(cfg.getAnalysisMethod());
+        this.cash = initialCapital;
+    }
+
+    static String normalizeMethod(String raw) {
+        return REALIZED_ONLY.equalsIgnoreCase(raw) ? REALIZED_ONLY : MARK_TO_MARKET;
+    }
+
+    boolean hasPosition() {
+        return shares > 1e-12;
+    }
+
+    /** 평가금액 = 예수금 + 보유주식 평가액 */
+    double portfolioValue(double markPrice) {
+        return cash + shares * markPrice;
+    }
+
+    double unrealizedPnl(double markPrice) {
+        if (shares <= 1e-12) return 0.0;
+        return shares * markPrice - costBasis;
+    }
+
+    double resolveFinalEquity(double lastMarkPrice) {
+        if (REALIZED_ONLY.equals(analysisMethod)) {
+            return initialCapital + realizedPnl;
+        }
+        return cash + shares * lastMarkPrice;
+    }
+
+    /** LONG 매수 체결 */
+    void executeBuy(double effEntry, double markPriceForSizing) {
+        if (effEntry <= 0 || cash <= 0) return;
+        double commRate = commissionRate();
+        double orderAmount = computeOrderAmount(markPriceForSizing);
+        if (orderAmount <= 0) return;
+
+        double maxSpend = cash;
+        orderAmount = Math.min(orderAmount, maxSpend / (1 + commRate));
+        if (orderAmount <= 0) return;
+
+        double sharesToBuy = orderAmount / effEntry;
+        double totalCost = sharesToBuy * effEntry * (1 + commRate);
+        if (totalCost > cash + 1e-6) {
+            sharesToBuy = cash / (effEntry * (1 + commRate));
+            totalCost = sharesToBuy * effEntry * (1 + commRate);
+        }
+        if (sharesToBuy <= 1e-12) return;
+
+        cash -= totalCost;
+        shares += sharesToBuy;
+        costBasis += totalCost;
+    }
+
+    /** LONG 매도 체결 — sellFraction: 0~1 (전량=1) */
+    void executeSell(double effExit, double sellFraction) {
+        if (effExit <= 0 || shares <= 1e-12) return;
+        double fraction = Math.max(0.0, Math.min(1.0, sellFraction));
+        double sharesToSell = shares * fraction;
+        if (sharesToSell <= 1e-12) return;
+
+        double commRate = commissionRate();
+        double proceeds = sharesToSell * effExit * (1 - commRate);
+        double costPortion = costBasis * (sharesToSell / shares);
+        double pnl = proceeds - costPortion;
+
+        cash += proceeds;
+        realizedPnl += pnl;
+        if (pnl >= 0) grossProfit += pnl;
+        else grossLoss += pnl;
+
+        shares -= sharesToSell;
+        costBasis -= costPortion;
+        if (shares <= 1e-12) {
+            shares = 0;
+            costBasis = 0;
+        }
+    }
+
+    private double computeOrderAmount(double markPrice) {
+        double tradeSizePct = cfg.getTradeSizeValue() != null
+                ? cfg.getTradeSizeValue().doubleValue() / 100.0 : 1.0;
+        if ("FIXED_AMOUNT".equals(cfg.getTradeSizeType())) {
+            double fixed = cfg.getTradeSizeValue() != null ? cfg.getTradeSizeValue().doubleValue() : 0;
+            return Math.min(fixed, cash);
+        }
+        double equity = portfolioValue(markPrice);
+        return equity * tradeSizePct;
+    }
+
+    private double commissionRate() {
+        if ("ZERO".equals(cfg.getCommissionType())) return 0.0;
+        return cfg.getCommissionRate() != null ? cfg.getCommissionRate().doubleValue() : 0.0015;
+    }
+}