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수익률 평기 기준 통일

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Macbook
2026-06-20 09:47:35 +09:00
parent 6a5ac71344
commit fd63c101e5
6 changed files with 151 additions and 80 deletions
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frontend/src/components/StrategyEvaluationPage.tsx
+27 -36
View File
@@ -14,7 +14,7 @@ import {
loadStrategies,
loadStrategy,
loadBacktestSettings,
runBacktest,
type BacktestSettingsDto,
type BacktestSignal,
type StrategyDto,
} from '../utils/backendApi';
@@ -55,6 +55,7 @@ import {
formatEvaluationReturnPct,
padEvaluationSignalCount,
} from '../utils/strategyEvaluationReport';
import { resolveEvaluationCommissionRate } from '../utils/strategyEvaluationSignals';
import { BACKTEST_DISPLAY_BAR_COUNT, resolveEvaluationBarSlice } from '../utils/backtestWarmup';
import type { StrategyEvaluationWindowMeta } from './strategyEvaluation/StrategyEvaluationChart';
import StrategyEvaluationAiVerifyPanel from './strategyEvaluation/StrategyEvaluationAiVerifyPanel';
@@ -152,6 +153,7 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
const [backtestSignals, setBacktestSignals] = useState<BacktestSignal[]>([]);
const [signalScanRunning, setSignalScanRunning] = useState(false);
const [initialCapital, setInitialCapital] = useState(10_000_000);
const [backtestSettings, setBacktestSettings] = useState<BacktestSettingsDto | null>(null);
const [editorModalOpen, setEditorModalOpen] = useState(false);
const [reportOpen, setReportOpen] = useState(false);
const [reportModel, setReportModel] = useState<BacktestAnalysisReportModel | null>(null);
@@ -440,17 +442,24 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
useEffect(() => {
void loadBacktestSettings().then(s => {
setBacktestSettings(s);
if (s?.initialCapital) setInitialCapital(s.initialCapital);
});
}, []);
const evaluationCommissionRate = useMemo(
() => (backtestSettings ? resolveEvaluationCommissionRate(backtestSettings) : 0.0015),
[backtestSettings],
);
const analysisSummary = useMemo(() => {
if (!selectedStrategy) return null;
return buildStrategyEvaluationToolbarSummary(backtestSignals, {
initialCapital,
symbol: market.replace(/^KRW-/, ''),
commissionRate: evaluationCommissionRate,
});
}, [selectedStrategy, backtestSignals, initialCapital, market]);
}, [selectedStrategy, backtestSignals, initialCapital, market, evaluationCommissionRate]);
const bulkEval = useStrategyBulkEvaluation({
strategies,
@@ -622,10 +631,14 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
if (!selectedStrategyId || bars.length < 10) return null;
const lastBarTime = bars[bars.length - 1]?.time ?? 0;
const windowKey = evalWindowMeta.windowEndTimeSec ?? 'latest';
return `${selectedStrategyId}|${market}|${chartTimeframe}|${paramsRevision}|${bars.length}|${lastBarTime}|${windowKey}`;
}, [selectedStrategyId, market, chartTimeframe, paramsRevision, bars, evalWindowMeta.windowEndTimeSec]);
const lastSig = backtestSignals[backtestSignals.length - 1];
const sigKey = backtestSignals.length > 0
? `${backtestSignals.length}:${lastSig?.time}:${lastSig?.price}`
: '0';
return `${selectedStrategyId}|${market}|${chartTimeframe}|${paramsRevision}|${bars.length}|${lastBarTime}|${windowKey}|${sigKey}`;
}, [selectedStrategyId, market, chartTimeframe, paramsRevision, bars, evalWindowMeta.windowEndTimeSec, backtestSignals]);
const reportDisabled = !selectedStrategyId || !selectedStrategy || bars.length < 10 || chartLoading;
const reportDisabled = !selectedStrategyId || !selectedStrategy || bars.length < 10 || chartLoading || signalScanRunning;
const aiVerifyDisabled = reportDisabled
|| evalLoading
@@ -724,36 +737,10 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
const gen = ++reportGenRef.current;
setReportLoading(true);
try {
const [btSettings] = await Promise.all([loadBacktestSettings()]);
const indicatorParams = buildEvalParamsFromStrategy(selectedStrategy, getEvalParams);
const evaluationBarCount = evalWindowMeta.evaluationBarCount;
const { evalBars } = resolveEvaluationBarSlice(bars, evaluationBarCount);
const res = await runBacktest({
strategyId: selectedStrategyId,
bars: bars.map(b => ({
time: b.time,
open: b.open,
high: b.high,
low: b.low,
close: b.close,
volume: b.volume,
})),
timeframe: chartTimeframe,
symbol: market,
strategyName: selectedStrategy.name,
settings: { ...btSettings, positionMode: 'SIGNAL_ONLY' },
indicatorParams,
evaluationBarCount,
});
if (gen !== reportGenRef.current) return;
if (!res) {
window.alert('분석 레포트 생성에 실패했습니다.');
return;
}
const initialCapital = btSettings.initialCapital ?? res.analysis?.initialCapital ?? 10_000_000;
const model = buildStrategyEvaluationReportModel({
signals: res.signals,
signals: backtestSignals,
initialCapital,
strategyName: selectedStrategy.name ?? strategyLabel,
symbol: market.replace(/^KRW-/, ''),
@@ -761,7 +748,9 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
barCount: evaluationBarCount,
firstBarClose: evalBars[0]?.close,
lastBarClose: evalBars[evalBars.length - 1]?.close,
commissionRate: evaluationCommissionRate,
});
if (gen !== reportGenRef.current) return;
if (!model) {
window.alert('분석 데이터를 생성할 수 없습니다.');
return;
@@ -782,12 +771,14 @@ function StrategyEvaluationPageInner({ theme = 'dark' }: Props) {
selectedStrategy,
reportCacheKey,
reportModel,
getEvalParams,
bars,
chartTimeframe,
market,
backtestSignals,
initialCapital,
strategyLabel,
market,
chartTimeframe,
bars,
evalWindowMeta.evaluationBarCount,
evaluationCommissionRate,
]);
return (
frontend/src/components/strategyEvaluation/StrategyEvaluationChart.tsx
+10 -16
View File
@@ -15,7 +15,7 @@ import { getIndicatorDef } from '../../utils/indicatorRegistry';
import { DEFAULT_DISPLAY_TIMEZONE } from '../../utils/timezone';
import { getKoreanName } from '../../utils/marketNameCache';
import type { BacktestSignal, StrategyDto } from '../../utils/backendApi';
import { fetchLiveConditionScanSignals } from '../../utils/backendApi';
import { fetchStrategyEvaluationSignals } from '../../utils/strategyEvaluationSignals';
import type { MarketInfo, TickerData } from '../../hooks/useMarketTicker';
import {
BACKTEST_DISPLAY_BAR_COUNT,
@@ -394,23 +394,17 @@ const StrategyEvaluationChart: React.FC<Props> = ({
setBacktestRunning(true);
setBacktestError(null);
try {
const res = await fetchLiveConditionScanSignals(
const { signals: nextSignals } = await fetchStrategyEvaluationSignals({
strategyId: strategy.id,
strategy,
market,
strategy.id,
barData.map(b => ({
time: b.time,
open: b.open,
high: b.high,
low: b.low,
close: b.close,
volume: b.volume,
})),
timeframe,
indicatorParams,
evaluationBarCountRef.current,
);
bars: barData,
evaluationBarCount: evaluationBarCountRef.current,
getParams,
});
if (gen !== backtestGenRef.current) return;
setSignals(res);
setSignals(nextSignals);
applyMarkers();
} catch (e) {
if (gen !== backtestGenRef.current) return;
@@ -420,7 +414,7 @@ const StrategyEvaluationChart: React.FC<Props> = ({
} finally {
if (gen === backtestGenRef.current) setBacktestRunning(false);
}
}, [strategy, market, timeframe, indicatorParams, applyMarkers]);
}, [strategy, market, timeframe, getParams, applyMarkers]);
useEffect(() => {
if (!strategy?.id || loading || bars.length < 10) {
frontend/src/utils/strategyBulkEvaluation.ts
+11 -18
View File
@@ -1,7 +1,6 @@
import type { OHLCVBar } from '../types';
import type { StrategyDto } from './backendApi';
import { fetchLiveConditionScanSignals } from './backendApi';
import { buildEvalParamsFromStrategy } from './strategyEvaluationParams';
import { fetchStrategyEvaluationSignals } from './strategyEvaluationSignals';
import { buildStrategyEvaluationToolbarSummary } from './strategyEvaluationReport';
export interface StrategyBulkEvalResult {
@@ -49,26 +48,20 @@ export async function evaluateStrategyBulkReturns(opts: {
throw new Error('평가 데이터 부족');
}
const indicatorParams = buildEvalParamsFromStrategy(opts.strategy, opts.getParams);
const signals = await fetchLiveConditionScanSignals(
opts.market,
const { signals, initialCapital, commissionRate } = await fetchStrategyEvaluationSignals({
strategyId,
opts.bars.map(b => ({
time: b.time,
open: b.open,
high: b.high,
low: b.low,
close: b.close,
volume: b.volume,
})),
opts.timeframe,
indicatorParams,
opts.evaluationBarCount,
);
strategy: opts.strategy,
market: opts.market,
timeframe: opts.timeframe,
bars: opts.bars,
evaluationBarCount: opts.evaluationBarCount,
getParams: opts.getParams,
});
const summary = buildStrategyEvaluationToolbarSummary(signals, {
initialCapital: opts.initialCapital,
initialCapital: initialCapital ?? opts.initialCapital,
symbol: opts.market.replace(/^KRW-/, ''),
commissionRate,
});
return {
frontend/src/utils/strategyEvaluationReport.ts
+21 -9
View File
@@ -66,6 +66,7 @@ export function simulateEvaluationPortfolio(
initialCapital: number,
symbol: string,
mode: BuyAllocationMode,
commissionRate = 0,
): EvaluationSimulationResult {
const sorted = sortSignals(signals);
const curve: EquityPoint[] = [];
@@ -107,9 +108,10 @@ export function simulateEvaluationPortfolio(
const frac = buyCashFraction(buyIndexInCycle, mode);
if (frac != null && cash > 0) {
const spend = cash * frac;
if (spend > 0 && s.price > 0) {
const commission = spend * commissionRate;
if (spend > 0 && s.price > 0 && cash >= spend + commission) {
const buyQty = spend / s.price;
cash -= spend;
cash -= spend + commission;
totalCost += spend;
qty += buyQty;
tradeId += 1;
@@ -126,10 +128,12 @@ export function simulateEvaluationPortfolio(
markEquity(s.time, s.price);
} else if (SELL_TYPES.has(s.type) && qty > 0) {
const proceeds = qty * s.price;
const pnl = proceeds - totalCost;
const commission = proceeds * commissionRate;
const netProceeds = proceeds - commission;
const pnl = netProceeds - totalCost;
const avgEntry = totalCost / qty;
const pnlPct = avgEntry > 0 ? (s.price - avgEntry) / avgEntry : 0;
cash += proceeds;
const pnlPct = avgEntry > 0 ? (netProceeds / qty - avgEntry) / avgEntry : 0;
cash += netProceeds;
tradeId += 1;
trades.push({
id: tradeId,
@@ -309,6 +313,7 @@ export function buildStrategyEvaluationToolbarSummary(
opts?: {
initialCapital?: number;
symbol?: string;
commissionRate?: number;
},
): StrategyEvaluationToolbarSummary {
const filtered = filterSignalsForEvaluationReport(signals);
@@ -324,10 +329,11 @@ export function buildStrategyEvaluationToolbarSummary(
const capital = opts?.initialCapital ?? 10_000_000;
const symbol = opts?.symbol ?? '';
const commissionRate = opts?.commissionRate ?? 0;
const stillHolding = isStillHolding(filtered);
const fullSim = simulateEvaluationPortfolio(filtered, capital, symbol, 'full');
const splitSim = simulateEvaluationPortfolio(filtered, capital, symbol, 'split');
const fullSim = simulateEvaluationPortfolio(filtered, capital, symbol, 'full', commissionRate);
const splitSim = simulateEvaluationPortfolio(filtered, capital, symbol, 'split', commissionRate);
const fullAnalysis = buildAnalysisFromSimulation(fullSim, capital, 0, stillHolding);
const splitAnalysis = buildAnalysisFromSimulation(splitSim, capital, 0, stillHolding);
@@ -350,9 +356,11 @@ export function buildStrategyEvaluationReportModel(opts: {
createdAt?: string;
firstBarClose?: number;
lastBarClose?: number;
commissionRate?: number;
}): BacktestAnalysisReportModel | null {
const filtered = filterSignalsForEvaluationReport(opts.signals);
const stillHolding = isStillHolding(filtered);
const commissionRate = opts.commissionRate ?? 0;
const firstClose = opts.firstBarClose ?? filtered[0]?.price ?? 0;
const lastClose = opts.lastBarClose ?? filtered[filtered.length - 1]?.price ?? 0;
@@ -360,7 +368,9 @@ export function buildStrategyEvaluationReportModel(opts: {
const modes: BuyAllocationMode[] = ['full', 'split'];
const evaluationAllocations: EvaluationAllocationReport[] = modes.map(mode => {
const sim = simulateEvaluationPortfolio(filtered, opts.initialCapital, opts.symbol, mode);
const sim = simulateEvaluationPortfolio(
filtered, opts.initialCapital, opts.symbol, mode, commissionRate,
);
return {
mode,
label: ALLOCATION_LABELS[mode],
@@ -384,6 +394,8 @@ export function buildStrategyEvaluationReportModel(opts: {
reportKind: 'backtest',
evaluationAllocations,
reportSignalFilterNote:
'분석 기간 전체 캔들 기준으로, 최초 매수 이전 매도·최종 매도 이후 매수 시그널은 제외했습니다. 매도는 보유 물량 전량 매도로 가정합니다.',
'분석 기간 전체 캔들 기준으로, 최초 매수 이전 매도·최종 매도 이후 매수 시그널은 제외했습니다. '
+ '매도는 보유 물량 전량 매도로 가정합니다. '
+ '체결가·청산 Rule은 백테스트 설정(슬리피지·손절/익절·진입/청산가)과 동일합니다.',
};
}
frontend/src/utils/strategyEvaluationSignals.ts
+72
View File
@@ -0,0 +1,72 @@
/**
* 전략평가 — 차트·상단 요약·분석 레포트·일괄평가 공통 시그널 소스
*
* runBacktest(SIGNAL_ONLY) + 백테스트 설정(슬리피지·손절/익절·진입/청산가) 기준.
* scan-signals(종가·이상적 체결)와 달리 실제 백테스트 엔진과 동일한 Rule·체결가를 사용한다.
*/
import type { OHLCVBar } from '../types';
import {
loadBacktestSettings,
runBacktest,
type BacktestSettingsDto,
type BacktestSignal,
type StrategyDto,
} from './backendApi';
import { buildEvalParamsFromStrategy } from './strategyEvaluationParams';
export interface StrategyEvaluationSignalsResult {
signals: BacktestSignal[];
initialCapital: number;
settings: BacktestSettingsDto;
commissionRate: number;
}
export function resolveEvaluationCommissionRate(settings: BacktestSettingsDto): number {
if (settings.commissionType === 'ZERO') return 0;
return settings.commissionRate ?? 0.0015;
}
export async function fetchStrategyEvaluationSignals(opts: {
strategyId: number;
strategy: StrategyDto;
market: string;
timeframe: string;
bars: OHLCVBar[];
evaluationBarCount: number;
getParams: (type: string) => Record<string, number | string | boolean>;
backtestSettings?: BacktestSettingsDto | null;
}): Promise<StrategyEvaluationSignalsResult> {
const btSettings = opts.backtestSettings ?? await loadBacktestSettings();
const settings: BacktestSettingsDto = { ...btSettings, positionMode: 'SIGNAL_ONLY' };
const indicatorParams = buildEvalParamsFromStrategy(opts.strategy, opts.getParams);
const res = await runBacktest({
strategyId: opts.strategyId,
bars: opts.bars.map(b => ({
time: b.time,
open: b.open,
high: b.high,
low: b.low,
close: b.close,
volume: b.volume,
})),
timeframe: opts.timeframe,
symbol: opts.market,
strategyName: opts.strategy.name,
settings,
indicatorParams,
evaluationBarCount: opts.evaluationBarCount,
});
if (!res?.signals) {
throw new Error('시그널 계산 실패');
}
const initialCapital = btSettings.initialCapital ?? res.analysis?.initialCapital ?? 10_000_000;
return {
signals: res.signals,
initialCapital,
settings,
commissionRate: resolveEvaluationCommissionRate(settings),
};
}