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상세투자분석 계산로직 수정

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This commit is contained in:
Macbook
2026-06-07 15:12:42 +09:00
parent c4365283cf
commit e1cf2ea46d
14 changed files with 366 additions and 58 deletions
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backend/src/main/java/com/goldenchart/dto/BacktestAnalysisDto.java
+10
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@@ -11,6 +11,16 @@ public class BacktestAnalysisDto {
// ── 기본 자본 ─────────────────────────────────────────────────────────────
double initialCapital;
double finalEquity;
/** 적용된 투자분석 방식 */
String analysisMethod;
/** 기말 예수금 */
double cashBalance;
/** 기말 보유주식 평가액 */
double holdingsValue;
/** 실현 손익 (청산 완료) */
double realizedPnl;
/** 평가 손익 (미청산 보유분) */
double unrealizedPnl;
// ── 수익성 지표 ──────────────────────────────────────────────────────────
/** 총 수익률 (소수, e.g. 0.152 = +15.2%) */
backend/src/main/java/com/goldenchart/dto/BacktestSettingsDto.java
+8
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@@ -99,4 +99,12 @@ public class BacktestSettingsDto {
/** 분할 청산 비율 (%) */
@Builder.Default
private BigDecimal partialExitPct = new BigDecimal("50.000");
// ── 투자분석 방식 ──────────────────────────────────────────────────────────
/**
* MARK_TO_MARKET: 예수금 + 보유주식 시가평가 (표준 HTS 방식, 기본값)
* REALIZED_ONLY: 청산 완료 실현손익만 반영
*/
@Builder.Default
private String analysisMethod = "MARK_TO_MARKET";
}
backend/src/main/java/com/goldenchart/entity/GcBacktestSettings.java
+5
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@@ -119,6 +119,11 @@ public class GcBacktestSettings {
@Builder.Default
private BigDecimal partialExitPct = new BigDecimal("50.000");
/** MARK_TO_MARKET | REALIZED_ONLY */
@Column(name = "analysis_method", nullable = false, length = 32)
@Builder.Default
private String analysisMethod = "MARK_TO_MARKET";
@Column(name = "created_at", nullable = false, updatable = false)
private LocalDateTime createdAt;
backend/src/main/java/com/goldenchart/service/BacktestSettingsService.java
+5
View File
@@ -50,6 +50,10 @@ public class BacktestSettingsService {
entity.setPartialExitPct(dto.getPartialExitPct());
entity.setPositionMode(
"SIGNAL_ONLY".equals(dto.getPositionMode()) ? "SIGNAL_ONLY" : "LONG_ONLY");
entity.setAnalysisMethod(
PortfolioLedger.REALIZED_ONLY.equals(dto.getAnalysisMethod())
? PortfolioLedger.REALIZED_ONLY
: PortfolioLedger.MARK_TO_MARKET);
return toDto(repo.save(entity));
}
@@ -79,6 +83,7 @@ public class BacktestSettingsService {
.partialExitEnabled(e.getPartialExitEnabled())
.partialExitPct(e.getPartialExitPct())
.positionMode(e.getPositionMode() != null ? e.getPositionMode() : "LONG_ONLY")
.analysisMethod(e.getAnalysisMethod() != null ? e.getAnalysisMethod() : PortfolioLedger.MARK_TO_MARKET)
.build();
}
}
backend/src/main/java/com/goldenchart/service/BacktestingService.java
+116 -54
View File
@@ -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;
backend/src/main/java/com/goldenchart/service/PortfolioLedger.java
+125
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@@ -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;
}
}
backend/src/main/resources/db/migration/V63__backtest_analysis_method.sql
+4
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@@ -0,0 +1,4 @@
-- 투자분석 방식 설정 (평가손익 포함 / 실현손익만)
ALTER TABLE gc_backtest_settings
ADD COLUMN analysis_method VARCHAR(32) NOT NULL DEFAULT 'MARK_TO_MARKET'
COMMENT '투자분석 방식 (MARK_TO_MARKET | REALIZED_ONLY)';
frontend/src/components/BacktestResultModal.tsx
+18
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@@ -20,6 +20,7 @@ import {
WinRateCircle,
CompareBar,
} from './shared/analysisDashboardUi';
import { analysisMethodLabel } from '../utils/analysisMethodLabels';
const fmtDate = (ts: number) => {
const d = new Date(ts * 1000);
@@ -104,6 +105,11 @@ export function BacktestDashboard({
<span className="brd-dash-badge">{timeframe}</span>
<span className="brd-dash-badge">{periodStr}</span>
{createdAt && <span className="brd-dash-badge brd-dash-badge--time">실행 {fmtDateStr(createdAt)}</span>}
{a.analysisMethod && (
<span className="brd-dash-badge brd-dash-badge--method">
{analysisMethodLabel(a.analysisMethod)}
</span>
)}
</div>
</div>
<div className={`brd-dash-header-kpi${reportMode ? ' brd-dash-header-kpi--report' : ''}`}>
@@ -141,6 +147,18 @@ export function BacktestDashboard({
<div className="brd-card-body">
<MetricRow label="총 수익률" value={pct(a.totalReturnPct)} cls={colorCls(a.totalReturnPct)}/>
<MetricRow label="총 손익 (금액)" value={wonFmt(a.totalProfitLoss)} cls={colorCls(a.totalProfitLoss)}/>
{a.realizedPnl != null && (
<MetricRow label="실현 손익" value={wonFmt(a.realizedPnl)} cls={colorCls(a.realizedPnl)} />
)}
{a.unrealizedPnl != null && a.unrealizedPnl !== 0 && (
<MetricRow label="평가 손익" value={wonFmt(a.unrealizedPnl)} cls={colorCls(a.unrealizedPnl)} />
)}
{a.cashBalance != null && a.cashBalance > 0 && (
<MetricRow label="기말 예수금" value={wonFmt(a.cashBalance)} />
)}
{a.holdingsValue != null && a.holdingsValue > 0 && (
<MetricRow label="보유 평가액" value={wonFmt(a.holdingsValue)} />
)}
<MetricRow label="총 이익" value={wonFmt(a.grossProfit)} cls="brd-pos"/>
<MetricRow label="총 손실" value={wonFmt(a.grossLoss)} cls="brd-neg"/>
<MetricRow label="평균 수익률/거래" value={pct(a.avgReturnPct)} cls={colorCls(a.avgReturnPct)}/>
frontend/src/components/BacktestSettingsModal.tsx
+17
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@@ -15,6 +15,11 @@ interface FieldMeta {
}
const FIELD_META: Partial<Record<keyof BacktestSettingsDto, FieldMeta>> = {
analysisMethod: {
label: '투자분석 방식',
description:
'수익률·손익 산정 방식을 선택합니다.\n• 평가손익 포함(표준): 예수금 + 보유주식 시가평가. HTS 평가금액과 동일합니다.\n• 실현손익만: 청산 완료 거래의 실현손익만 반영합니다.',
},
initialCapital: {
label: '초기 자본',
description:
@@ -129,6 +134,18 @@ interface SettingSection {
}
const SECTIONS: SettingSection[] = [
{
title: '📊 투자분석 방식',
fields: [
{
key: 'analysisMethod', type: 'select',
opts: [
{ value: 'MARK_TO_MARKET', label: '평가손익 포함 (표준)' },
{ value: 'REALIZED_ONLY', label: '실현손익만' },
],
},
],
},
{
title: '💰 자본 설정',
fields: [
frontend/src/components/BacktestSettingsPanel.tsx
+21
View File
@@ -8,6 +8,7 @@ import {
loadBacktestSettings,
saveBacktestSettings,
} from '../utils/backendApi';
import { ANALYSIS_METHOD_OPTIONS } from '../utils/analysisMethodLabels';
// ── 백테스팅 전용 UI 컴포넌트 ───────────────────────────────────────────────
@@ -106,6 +107,26 @@ export const BacktestSettingsPanel: React.FC<BacktestSettingsPanelProps> = ({
</BtGrid>
</BtSection>
<BtSection title="투자분석 방식">
<BtGrid>
<BtField
label="수익률 · 손익 산정"
desc="백테스팅, 알림 레포트, 분석레포트 등 모든 투자분석 결과에 동일하게 적용됩니다."
full
>
<select
className="stg-select stg-select--wide"
value={cfg.analysisMethod ?? 'MARK_TO_MARKET'}
onChange={e => field('analysisMethod', e.target.value as 'MARK_TO_MARKET' | 'REALIZED_ONLY')}
>
{ANALYSIS_METHOD_OPTIONS.map(o => (
<option key={o.value} value={o.value}>{o.label}</option>
))}
</select>
</BtField>
</BtGrid>
</BtSection>
<BtSection title="자본 · 거래 규모">
<BtGrid>
<BtField
frontend/src/components/TradeNotificationListPage.tsx
+3 -2
View File
@@ -6,7 +6,7 @@ import type { Theme, TradeOrderFillRequest } from '../types';
import type { TickerData } from '../hooks/useMarketTicker';
import { useTradeNotification, type TradeNotificationItem } from '../contexts/TradeNotificationContext';
import {
DEFAULT_BACKTEST_SETTINGS,
loadBacktestSettings,
loadPaperSummary,
loadStrategy,
runBacktest,
@@ -271,6 +271,7 @@ export const TradeNotificationListPage: React.FC<Props> = ({
}
const strategyName = strategy.name || item.strategyName || '전략';
const btSettings = await loadBacktestSettings();
const res = await runBacktest({
strategyId: item.strategyId,
bars: bars.map(b => ({
@@ -284,7 +285,7 @@ export const TradeNotificationListPage: React.FC<Props> = ({
timeframe,
symbol: market,
strategyName,
settings: DEFAULT_BACKTEST_SETTINGS,
settings: btSettings,
indicatorParams: Object.fromEntries(
REPORT_INDICATOR_TYPES.map(t => [t, getParams(t) as Record<string, unknown>]),
),
frontend/src/components/paper/PaperAnalysisChart.tsx
+3 -2
View File
@@ -1,7 +1,7 @@
import React, { useCallback, useEffect, useMemo, useRef, useState } from 'react';
import BacktestAnalysisChart from '../backtest/BacktestAnalysisChart';
import {
DEFAULT_BACKTEST_SETTINGS,
loadBacktestSettings,
loadStrategy,
runBacktest,
type BacktestSignal,
@@ -82,6 +82,7 @@ const PaperAnalysisChart: React.FC<Props> = ({ market, strategyId, theme = 'dark
setRunning(true);
setError(null);
try {
const btSettings = await loadBacktestSettings();
const res = await runBacktest({
strategyId: sid,
bars: bars.map(b => ({
@@ -95,7 +96,7 @@ const PaperAnalysisChart: React.FC<Props> = ({ market, strategyId, theme = 'dark
timeframe: tf,
symbol: sym,
strategyName: strat.name,
settings: DEFAULT_BACKTEST_SETTINGS,
settings: btSettings,
indicatorParams: Object.fromEntries(
['RSI', 'MACD', 'CCI', 'SMA', 'EMA', 'IchimokuCloud', 'Stochastic', 'ADX', 'MFI', 'NewPsychological'].map(t => [
t,
frontend/src/utils/analysisMethodLabels.ts
+23
View File
@@ -0,0 +1,23 @@
export type AnalysisMethod = 'MARK_TO_MARKET' | 'REALIZED_ONLY';
export const ANALYSIS_METHOD_OPTIONS: { value: AnalysisMethod; label: string; desc: string }[] = [
{
value: 'MARK_TO_MARKET',
label: '평가손익 포함 (표준)',
desc: '예수금 + 보유주식 시가평가. HTS·MTS 평가금액과 동일한 방식으로 수익률을 계산합니다.',
},
{
value: 'REALIZED_ONLY',
label: '실현손익만',
desc: '청산 완료된 거래의 실현손익만 반영합니다. 기말 미청산 포지션은 수익률에 포함하지 않습니다.',
},
];
export function normalizeAnalysisMethod(raw?: string | null): AnalysisMethod {
return raw === 'REALIZED_ONLY' ? 'REALIZED_ONLY' : 'MARK_TO_MARKET';
}
export function analysisMethodLabel(method?: string | null): string {
const m = normalizeAnalysisMethod(method);
return ANALYSIS_METHOD_OPTIONS.find(o => o.value === m)?.label ?? '평가손익 포함 (표준)';
}
frontend/src/utils/backendApi.ts
+8
View File
@@ -1151,6 +1151,11 @@ export interface BacktestStats {
export interface BacktestAnalysis {
initialCapital: number;
finalEquity: number;
analysisMethod?: 'MARK_TO_MARKET' | 'REALIZED_ONLY';
cashBalance?: number;
holdingsValue?: number;
realizedPnl?: number;
unrealizedPnl?: number;
totalReturnPct: number;
totalProfitLoss: number;
grossProfit: number;
@@ -1230,6 +1235,8 @@ export interface BacktestSettingsDto {
partialExitPct: number;
/** "LONG_ONLY" | "SIGNAL_ONLY" — 매도 시그널 포지션 종속성 모드 */
positionMode?: 'LONG_ONLY' | 'SIGNAL_ONLY';
/** MARK_TO_MARKET | REALIZED_ONLY — 투자분석 방식 */
analysisMethod?: 'MARK_TO_MARKET' | 'REALIZED_ONLY';
}
export const DEFAULT_BACKTEST_SETTINGS: BacktestSettingsDto = {
@@ -1253,6 +1260,7 @@ export const DEFAULT_BACKTEST_SETTINGS: BacktestSettingsDto = {
partialExitEnabled: false,
partialExitPct: 50,
positionMode: 'LONG_ONLY',
analysisMethod: 'MARK_TO_MARKET',
};
/** 백테스팅 설정 로드 */