수익률 평기 기준 통일

frontend/src/utils/strategyBulkEvaluation.ts

@@ -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

@@ -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

@@ -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),
+  };
+}