Macbook
73 lines
2.6 KiB
Java
73 lines
2.6 KiB
Java
package com.goldenchart.service;
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import com.goldenchart.dto.BacktestSettingsDto;
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import org.junit.jupiter.api.Test;
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import java.math.BigDecimal;
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import static org.junit.jupiter.api.Assertions.assertEquals;
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/**
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* 체결(ledger) 순손익 기준 승률·승패 집계 검증.
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* 분석레포트_수정.pdf 28시그널 / 14라운드트립 시나리오.
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*/
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class PortfolioLedgerTradeStatsTest {
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private static final double INIT = 10_000_000.0;
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private PortfolioLedger newLedger() {
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BacktestSettingsDto cfg = BacktestSettingsDto.builder()
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.initialCapital(BigDecimal.valueOf(INIT))
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.commissionType("LINEAR")
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.commissionRate(new BigDecimal("0.00150"))
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.slippageRate(new BigDecimal("0.00050"))
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.tradeSizeType("CAPITAL_PCT")
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.tradeSizeValue(new BigDecimal("100"))
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.analysisMethod("MARK_TO_MARKET")
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.build();
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return new PortfolioLedger(INIT, cfg);
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}
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@Test
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void pdfScenario_netPnlWinLoss_afterFees() {
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double[][] pairs = {
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{93254604, 92806574},
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{92876415, 92203875},
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{91648802, 92324815},
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{92723339, 93019467},
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{92258106, 92293830},
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{92507231, 92150902},
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{92463209, 91909023},
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{92117036, 92075939},
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{92298126, 92062946},
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{92253104, 92280837},
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{92306130, 92359797},
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{93446700, 93045454},
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{93458706, 93657148},
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{94142048, 93835059},
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};
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PortfolioLedger ledger = newLedger();
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long t = 1_700_000_000L;
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int bar = 0;
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for (double[] pair : pairs) {
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// PDF 시그널 가격 = 슬리피지 반영 체결가
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ledger.executeBuy(pair[0], pair[0], t + bar, bar);
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bar += 8;
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ledger.executeSell(pair[1], 1.0, t + bar, bar);
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bar += 8;
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}
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PortfolioLedger.TradeStats ts = ledger.tradeStats();
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assertEquals(14, ts.closedCount);
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assertEquals(2, ts.winning, "수수료 반영 순손익 기준 2승");
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assertEquals(12, ts.losing, "수수료 반영 순손익 기준 12패");
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assertEquals(0, ts.breakEven);
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assertEquals(2.0 / 14.0, ts.winRate, 1e-9);
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double finalEq = ledger.resolveFinalEquity(pairs[pairs.length - 1][1]);
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assertEquals(-0.0588, (finalEq - INIT) / INIT, 0.002);
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assertEquals(ledger.grossProfit + ledger.grossLoss, ledger.realizedPnl, 1.0);
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}
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}
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