Macbook
126 lines
4.1 KiB
Java
126 lines
4.1 KiB
Java
package com.goldenchart.service;
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import com.goldenchart.dto.BacktestSettingsDto;
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/**
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* 표준 주식 프로그램 방식의 포트폴리오 회계.
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* <ul>
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* <li>MARK_TO_MARKET: 예수금 + 보유주식 시가평가 (평가손익 포함)</li>
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* <li>REALIZED_ONLY: 청산 완료 실현손익만 반영 (기말 미청산 평가 제외)</li>
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* </ul>
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*/
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final class PortfolioLedger {
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static final String MARK_TO_MARKET = "MARK_TO_MARKET";
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static final String REALIZED_ONLY = "REALIZED_ONLY";
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final double initialCapital;
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final String analysisMethod;
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final BacktestSettingsDto cfg;
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double cash;
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double shares;
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/** 현재 보유분 취득원가(수수료 포함) */
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double costBasis;
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double realizedPnl;
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double grossProfit;
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double grossLoss;
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PortfolioLedger(double initialCapital, BacktestSettingsDto cfg) {
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this.initialCapital = initialCapital;
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this.cfg = cfg;
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this.analysisMethod = normalizeMethod(cfg.getAnalysisMethod());
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this.cash = initialCapital;
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}
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static String normalizeMethod(String raw) {
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return REALIZED_ONLY.equalsIgnoreCase(raw) ? REALIZED_ONLY : MARK_TO_MARKET;
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}
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boolean hasPosition() {
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return shares > 1e-12;
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}
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/** 평가금액 = 예수금 + 보유주식 평가액 */
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double portfolioValue(double markPrice) {
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return cash + shares * markPrice;
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}
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double unrealizedPnl(double markPrice) {
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if (shares <= 1e-12) return 0.0;
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return shares * markPrice - costBasis;
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}
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double resolveFinalEquity(double lastMarkPrice) {
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if (REALIZED_ONLY.equals(analysisMethod)) {
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return initialCapital + realizedPnl;
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}
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return cash + shares * lastMarkPrice;
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}
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/** LONG 매수 체결 */
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void executeBuy(double effEntry, double markPriceForSizing) {
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if (effEntry <= 0 || cash <= 0) return;
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double commRate = commissionRate();
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double orderAmount = computeOrderAmount(markPriceForSizing);
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if (orderAmount <= 0) return;
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double maxSpend = cash;
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orderAmount = Math.min(orderAmount, maxSpend / (1 + commRate));
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if (orderAmount <= 0) return;
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double sharesToBuy = orderAmount / effEntry;
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double totalCost = sharesToBuy * effEntry * (1 + commRate);
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if (totalCost > cash + 1e-6) {
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sharesToBuy = cash / (effEntry * (1 + commRate));
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totalCost = sharesToBuy * effEntry * (1 + commRate);
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}
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if (sharesToBuy <= 1e-12) return;
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cash -= totalCost;
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shares += sharesToBuy;
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costBasis += totalCost;
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}
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/** LONG 매도 체결 — sellFraction: 0~1 (전량=1) */
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void executeSell(double effExit, double sellFraction) {
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if (effExit <= 0 || shares <= 1e-12) return;
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double fraction = Math.max(0.0, Math.min(1.0, sellFraction));
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double sharesToSell = shares * fraction;
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if (sharesToSell <= 1e-12) return;
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double commRate = commissionRate();
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double proceeds = sharesToSell * effExit * (1 - commRate);
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double costPortion = costBasis * (sharesToSell / shares);
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double pnl = proceeds - costPortion;
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cash += proceeds;
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realizedPnl += pnl;
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if (pnl >= 0) grossProfit += pnl;
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else grossLoss += pnl;
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shares -= sharesToSell;
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costBasis -= costPortion;
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if (shares <= 1e-12) {
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shares = 0;
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costBasis = 0;
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}
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}
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private double computeOrderAmount(double markPrice) {
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double tradeSizePct = cfg.getTradeSizeValue() != null
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? cfg.getTradeSizeValue().doubleValue() / 100.0 : 1.0;
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if ("FIXED_AMOUNT".equals(cfg.getTradeSizeType())) {
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double fixed = cfg.getTradeSizeValue() != null ? cfg.getTradeSizeValue().doubleValue() : 0;
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return Math.min(fixed, cash);
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}
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double equity = portfolioValue(markPrice);
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return equity * tradeSizePct;
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}
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private double commissionRate() {
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if ("ZERO".equals(cfg.getCommissionType())) return 0.0;
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return cfg.getCommissionRate() != null ? cfg.getCommissionRate().doubleValue() : 0.0015;
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}
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}
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