Macbook
123 lines
3.8 KiB
TypeScript
123 lines
3.8 KiB
TypeScript
import type {
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BacktestAnalysis,
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BacktestResultRecord,
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BacktestSignal,
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PaperTradeDto,
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} from './backendApi';
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import type { LiveExecutionItem } from './liveExecutionGroups';
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import type { EquityPoint, TradeHistoryRow } from './backtestEquity';
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import { buildEquityFromSignals } from './backtestEquity';
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import { paperTradesToSignals } from './liveExecutionGroups';
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import { buildAnalysisFromPaperTrades } from './paperMetrics';
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import { repairUtf8Mojibake } from './textEncoding';
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export type AnalysisSourceTab = 'backtest' | 'live';
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export interface AnalysisReportContext {
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sourceTab: AnalysisSourceTab;
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strategyName: string;
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symbol: string;
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timeframe: string;
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barCount: number;
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createdAt?: string;
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analysis: BacktestAnalysis | null;
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signals: BacktestSignal[];
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trades: TradeHistoryRow[];
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equityCurve: EquityPoint[];
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paperTrades: PaperTradeDto[];
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backtestRecord?: BacktestResultRecord;
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liveItem?: LiveExecutionItem;
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compareBacktest?: BacktestResultRecord | null;
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}
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function parseBacktestRecord(r: BacktestResultRecord) {
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let analysis: BacktestAnalysis | null = null;
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let signals: BacktestSignal[] = [];
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try {
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if (r.analysisJson) analysis = JSON.parse(r.analysisJson);
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if (r.signalsJson) signals = JSON.parse(r.signalsJson);
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} catch { /* ignore */ }
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const cap = analysis?.initialCapital ?? 10_000_000;
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const eq = buildEquityFromSignals(signals, cap, r.symbol);
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return {
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analysis,
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signals,
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trades: eq.trades,
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equityCurve: eq.curve,
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};
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}
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export function buildContextFromBacktest(
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r: BacktestResultRecord,
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compare?: BacktestResultRecord | null,
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): AnalysisReportContext {
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const parsed = parseBacktestRecord(r);
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return {
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sourceTab: 'backtest',
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strategyName: repairUtf8Mojibake(r.strategyName || '전략 없음'),
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symbol: r.symbol,
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timeframe: r.timeframe,
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barCount: r.barCount || 300,
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createdAt: r.createdAt,
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analysis: parsed.analysis,
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signals: parsed.signals,
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trades: parsed.trades,
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equityCurve: parsed.equityCurve,
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paperTrades: [],
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backtestRecord: r,
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compareBacktest: compare ?? null,
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};
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}
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export function buildContextFromLive(item: LiveExecutionItem): AnalysisReportContext {
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const signals = paperTradesToSignals(item.trades);
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const cap = 10_000_000;
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const eq = buildEquityFromSignals(signals, cap, item.symbol);
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const analysis = buildAnalysisFromPaperTrades(item.trades, cap);
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const timeframe = item.timeframe !== 'unknown' ? item.timeframe : '—';
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return {
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sourceTab: 'live',
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strategyName: repairUtf8Mojibake(item.strategyLabel),
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symbol: item.symbol,
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timeframe,
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barCount: item.trades.length,
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createdAt: item.createdAt,
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analysis,
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signals,
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trades: eq.trades,
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equityCurve: eq.curve,
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paperTrades: item.trades,
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liveItem: item,
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compareBacktest: null,
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};
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}
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/** 월별 수익률 히트맵 셀 (0~1 비율) */
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export function buildMonthlyHeatmap(
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trades: TradeHistoryRow[],
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initialCapital: number,
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): { year: number; month: number; returnPct: number }[] {
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const byKey = new Map<string, number>();
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for (const t of trades) {
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if (t.pnlPct == null) continue;
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const d = new Date(t.time * 1000);
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const key = `${d.getFullYear()}-${d.getMonth()}`;
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byKey.set(key, (byKey.get(key) ?? 0) + t.pnlPct);
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}
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const out: { year: number; month: number; returnPct: number }[] = [];
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for (const [key, v] of byKey) {
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const [y, m] = key.split('-').map(Number);
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out.push({ year: y, month: m, returnPct: v });
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}
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return out.sort((a, b) => a.year - b.year || a.month - b.month);
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}
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export function drawdownSeries(curve: EquityPoint[]): { time: number; ddPct: number }[] {
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let peak = curve[0]?.equity ?? 0;
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return curve.map(p => {
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if (p.equity > peak) peak = p.equity;
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const dd = peak > 0 ? (p.equity - peak) / peak : 0;
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return { time: p.time, ddPct: dd };
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});
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}
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