penti/backend/app/backtest/portfolio.py

"""Portfolio management for backtesting."""
from dataclasses import dataclass, field
from typing import Dict, List
from decimal import Decimal
from datetime import datetime


@dataclass
class Position:
    """포지션 정보."""

    ticker: str
    quantity: Decimal
    avg_price: Decimal
    current_price: Decimal = Decimal("0")

    @property
    def market_value(self) -> Decimal:
        """현재 시장가치."""
        return self.quantity * self.current_price

    @property
    def pnl(self) -> Decimal:
        """손익."""
        return (self.current_price - self.avg_price) * self.quantity

    @property
    def pnl_pct(self) -> Decimal:
        """수익률 (%)."""
        if self.avg_price == 0:
            return Decimal("0")
        return (self.current_price - self.avg_price) / self.avg_price * Decimal("100")


@dataclass
class Trade:
    """거래 정보."""

    ticker: str
    trade_date: datetime
    action: str  # 'buy' or 'sell'
    quantity: Decimal
    price: Decimal
    commission: Decimal = Decimal("0")

    @property
    def total_amount(self) -> Decimal:
        """총 금액 (수수료 포함)."""
        amount = self.quantity * self.price
        if self.action == 'buy':
            return amount + self.commission
        else:
            return amount - self.commission


@dataclass
class PortfolioSnapshot:
    """포트폴리오 스냅샷."""

    date: datetime
    cash: Decimal
    positions_value: Decimal
    total_value: Decimal
    positions: Dict[str, Position] = field(default_factory=dict)


class BacktestPortfolio:
    """백테스트용 포트폴리오 관리 클래스."""

    def __init__(self, initial_capital: Decimal, commission_rate: Decimal = Decimal("0.0015")):
        """
        초기화.

        Args:
            initial_capital: 초기 자본금
            commission_rate: 수수료율 (기본 0.15%)
        """
        self.initial_capital = initial_capital
        self.cash = initial_capital
        self.commission_rate = commission_rate
        self.positions: Dict[str, Position] = {}
        self.trades: List[Trade] = []
        self.snapshots: List[PortfolioSnapshot] = []

    def buy(self, ticker: str, quantity: Decimal, price: Decimal, trade_date: datetime) -> bool:
        """
        매수.

        Args:
            ticker: 종목코드
            quantity: 수량
            price: 가격
            trade_date: 거래일

        Returns:
            매수 성공 여부
        """
        commission = quantity * price * self.commission_rate
        total_cost = quantity * price + commission

        if total_cost > self.cash:
            return False

        # 포지션 업데이트
        if ticker in self.positions:
            existing = self.positions[ticker]
            total_quantity = existing.quantity + quantity
            total_cost_basis = (existing.avg_price * existing.quantity) + (price * quantity)
            new_avg_price = total_cost_basis / total_quantity

            existing.quantity = total_quantity
            existing.avg_price = new_avg_price
        else:
            self.positions[ticker] = Position(
                ticker=ticker,
                quantity=quantity,
                avg_price=price,
                current_price=price
            )

        # 현금 차감
        self.cash -= total_cost

        # 거래 기록
        trade = Trade(
            ticker=ticker,
            trade_date=trade_date,
            action='buy',
            quantity=quantity,
            price=price,
            commission=commission
        )
        self.trades.append(trade)

        return True

    def sell(self, ticker: str, quantity: Decimal, price: Decimal, trade_date: datetime) -> bool:
        """
        매도.

        Args:
            ticker: 종목코드
            quantity: 수량
            price: 가격
            trade_date: 거래일

        Returns:
            매도 성공 여부
        """
        if ticker not in self.positions:
            return False

        position = self.positions[ticker]
        if position.quantity < quantity:
            return False

        commission = quantity * price * self.commission_rate
        total_proceeds = quantity * price - commission

        # 포지션 업데이트
        position.quantity -= quantity
        if position.quantity == 0:
            del self.positions[ticker]

        # 현금 추가
        self.cash += total_proceeds

        # 거래 기록
        trade = Trade(
            ticker=ticker,
            trade_date=trade_date,
            action='sell',
            quantity=quantity,
            price=price,
            commission=commission
        )
        self.trades.append(trade)

        return True

    def update_prices(self, prices: Dict[str, Decimal]) -> None:
        """
        포지션 가격 업데이트.

        Args:
            prices: {ticker: price} 딕셔너리
        """
        for ticker, position in self.positions.items():
            if ticker in prices:
                position.current_price = prices[ticker]

    def get_total_value(self) -> Decimal:
        """총 포트폴리오 가치."""
        positions_value = sum(pos.market_value for pos in self.positions.values())
        return self.cash + positions_value

    def get_positions_value(self) -> Decimal:
        """포지션 총 가치."""
        return sum(pos.market_value for pos in self.positions.values())

    def take_snapshot(self, date: datetime) -> PortfolioSnapshot:
        """
        포트폴리오 스냅샷 생성.

        Args:
            date: 스냅샷 날짜

        Returns:
            포트폴리오 스냅샷
        """
        positions_value = self.get_positions_value()
        total_value = self.get_total_value()

        snapshot = PortfolioSnapshot(
            date=date,
            cash=self.cash,
            positions_value=positions_value,
            total_value=total_value,
            positions=self.positions.copy()
        )
        self.snapshots.append(snapshot)
        return snapshot