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#16 [refactor] : 손절 & 익절 계산 방식 리팩토링
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@bbbang105
bbbang105 committed May 30, 2024
1 parent 5f97e93 commit 44609b7
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Showing 2 changed files with 43 additions and 33 deletions.
15 changes: 15 additions & 0 deletions backend/src/main/java/org/dgu/backend/dto/BackTestingDto.java
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Original file line number Diff line number Diff line change
Expand Up @@ -74,6 +74,10 @@ public static class BackTestingResult {
private Long income;
private Integer tradingPeriod;

public void updateRate(Double rate) {
this.rate = rate;
}

public static BackTestingDto.BackTestingResult of(LocalDateTime date, String action, Double coinPrice, Double coin, Long capital, Double rate, Long income, Integer tradingPeriod) {
return BackTestingDto.BackTestingResult.builder()
.date(date)
Expand Down Expand Up @@ -209,6 +213,17 @@ public static class TradingLog {
private Double coin;
private Long coinPrice;
private Double rate;

public static BackTestingDto.TradingLog of(BackTestingDto.BackTestingResult backTestingResult) {
return BackTestingDto.TradingLog.builder()
.type(!backTestingResult.getAction().equals("BUY") ? "매도" : "매수")
.date(backTestingResult.getDate())
.capital(backTestingResult.getCapital())
.coinPrice(backTestingResult.getCoinPrice().longValue())
.coin(backTestingResult.getCoin())
.rate(backTestingResult.getRate())
.build();
}
}

@Builder
Expand Down
61 changes: 28 additions & 33 deletions backend/src/main/java/org/dgu/backend/service/BackTestingCalculator.java
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Original file line number Diff line number Diff line change
Expand Up @@ -3,6 +3,8 @@
import lombok.RequiredArgsConstructor;
import org.dgu.backend.domain.CandleInfo;
import org.dgu.backend.dto.BackTestingDto;
import org.dgu.backend.exception.BackTestingErrorResult;
import org.dgu.backend.exception.BackTestingException;
import org.dgu.backend.util.NumberUtil;
import org.springframework.stereotype.Component;

Expand Down Expand Up @@ -44,15 +46,15 @@ public List<CandleInfo> removeDuplicatedCandles(List<CandleInfo> candles) {
public List<BackTestingDto.EMAInfo> calculateEMA(List<CandleInfo> candles, int date) {
Double k = 2.0 / (date + 1);
List<Double> emaValues = new ArrayList<>();
for (int i = 0; i < candles.size(); i++) {
Double ema = candles.get(0).getTradePrice();
emaValues.add(ema);

for (int i = 1; i < candles.size(); i++) {
Double price = candles.get(i).getTradePrice();
if (i == 0) {
emaValues.add(price);
} else {
Double ema = k * price + (1 - k) * emaValues.get(i - 1);
emaValues.add(ema);
}
ema = k * price + (1 - k) * ema;
emaValues.add(ema);
}

return IntStream.range(0, emaValues.size())
.mapToObj(i -> BackTestingDto.EMAInfo.builder()
.date(candles.get(i).getDateTime())
Expand Down Expand Up @@ -99,14 +101,14 @@ public List<BackTestingDto.BackTestingResult> run(List<CandleInfo> candles, Back
for (LocalDateTime goldenCrossPoint : goldenCrossPoints) {
int startIndex = findStartIndex(candles, goldenCrossPoint);

executeTrade(candles, startIndex, backTestingResults);
executeTrade(candles, startIndex, stepInfo.getTradingUnit(), backTestingResults);
}

return backTestingResults;
}

// 거래를 실행하는 메서드
private void executeTrade(List<CandleInfo> candles, int startIndex, List<BackTestingDto.BackTestingResult> backTestingResults) {
private void executeTrade(List<CandleInfo> candles, int startIndex, int tradingUnit, List<BackTestingDto.BackTestingResult> backTestingResults) {
// 초기 세팅
coin = 0.0;
executeBuy(candles.get(startIndex).getDateTime(), candles.get(startIndex).getTradePrice(), backTestingResults);
Expand All @@ -116,7 +118,7 @@ private void executeTrade(List<CandleInfo> candles, int startIndex, List<BackTes
Double avgPrice = candles.get(startIndex).getTradePrice();
startDate = null;

for (int i = startIndex; i < candles.size(); i++) {
for (int i = startIndex + 1; i < candles.size(); i++) {
LocalDateTime currentDate = candles.get(i).getDateTime();
Double currentPrice = candles.get(i).getTradePrice();

Expand All @@ -125,23 +127,19 @@ private void executeTrade(List<CandleInfo> candles, int startIndex, List<BackTes
}

// 매수 처리
if (currentPrice < avgPrice * (100 - buyingPoint) / 100) {
if (buyingCnt < tradingUnit && currentPrice < avgPrice * (100 - buyingPoint) / 100) {
executeBuy(currentDate, currentPrice, backTestingResults);
buyingCnt++;
tradePrices.add(currentPrice);
avgPrice = tradePrices.stream().mapToDouble(Double::doubleValue).sum() / buyingCnt;

if (buyingCnt == 10 || capital < currentPrice) {
executeSell(currentDate, currentPrice, backTestingResults);
break;
}
}
// 익절 처리
else if (currentPrice > avgPrice * (100 + sellingPoint) / 100) {
// 전체 자본 대비 수익률을 기준으로 한 익절 처리
else if (((currentPrice * coin + capital) - (tradingUnit * buyingCnt)) / (tradingUnit * buyingCnt) * 100 > sellingPoint) {
executeSell(currentDate, currentPrice, backTestingResults);
break;
}
// 손절 처리
else if (currentPrice < avgPrice * (100 - stopLossPoint) / 100) {
// 전체 자본 대비 수익률을 기준으로 한 손절 처리
else if (((currentPrice * coin + capital) - (tradingUnit * buyingCnt)) / (tradingUnit * buyingCnt) * 100 < -stopLossPoint) {
executeStopLoss(currentDate, currentPrice, backTestingResults);
break;
}
Expand All @@ -153,7 +151,7 @@ private void executeBuy(LocalDateTime currentDate, Double currentPrice, List<Bac
coin += tradingUnit / currentPrice;
capital -= tradingUnit;

backTestingResults.add(BackTestingDto.BackTestingResult.of(currentDate, "BUY", currentPrice, coin, capital, null, null, null));
backTestingResults.add(BackTestingDto.BackTestingResult.of(currentDate, "BUY", currentPrice, coin, capital, 0.0, 0L, null));
}

// 익절 처리 메서드
Expand Down Expand Up @@ -185,7 +183,8 @@ private int findStartIndex(List<CandleInfo> candles, LocalDateTime goldenCrossPo
return i;
}
}
return -1;

throw new BackTestingException(BackTestingErrorResult.NOT_FOUND_START_INDEX);
}

// 백테스팅 결과를 집계하는 메서드
Expand Down Expand Up @@ -267,9 +266,9 @@ private BackTestingDto.Trading createTradingPart(Long capital, Long finalCapital
private BackTestingDto.Performance createPerformancePart(Double initialCapital, Long finalCapital) {
int totalTradeCount = positiveTradeCount + negativeTradeCount;
Double totalRate = numberUtil.round(((finalCapital - initialCapital) / initialCapital) * 100, 2);
Double winRate = numberUtil.round((double) positiveTradeCount / totalTradeCount * 100, 2);
Double lossRate = numberUtil.round((double) negativeTradeCount / totalTradeCount * 100, 2);
Double winLossRatio = numberUtil.round((double) positiveTradeCount / negativeTradeCount * 100, 2);
Double winRate = positiveTradeCount != 0 ? numberUtil.round((double) positiveTradeCount / totalTradeCount * 100, 2) : 0.0;
Double lossRate = negativeTradeCount != 0 ? numberUtil.round((double) negativeTradeCount / totalTradeCount * 100, 2) : 0.0;
Double winLossRatio = negativeTradeCount != 0 ? numberUtil.round((double) positiveTradeCount / negativeTradeCount * 100, 2) : 0.0;

return BackTestingDto.Performance.builder()
.totalRate(totalRate)
Expand All @@ -284,13 +283,9 @@ private BackTestingDto.Performance createPerformancePart(Double initialCapital,

// 거래 로그 생성 메서드
private BackTestingDto.TradingLog createTradingLog(BackTestingDto.BackTestingResult backTestingResult) {
return BackTestingDto.TradingLog.builder()
.type(!backTestingResult.getAction().equals("BUY") ? "매도" : "매수")
.date(backTestingResult.getDate())
.capital(backTestingResult.getCapital())
.coinPrice(backTestingResult.getCoinPrice().longValue())
.coin(backTestingResult.getCoin())
.rate(backTestingResult.getRate() != null && !backTestingResult.getRate().isNaN() ? (numberUtil.round(backTestingResult.getRate(), 2)) : 0.0)
.build();
Double rate = numberUtil.round(backTestingResult.getRate(), 2);
backTestingResult.updateRate(rate);

return BackTestingDto.TradingLog.of(backTestingResult);
}
}

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