수정본

backend/app/services/kr_backtest_engine.py

@@ -766,7 +766,12 @@ class KrBacktestEngine:
         market: str,
         random_seed: Optional[int],
     ) -> BacktestResult:
-        """핵심 시뮬레이션 루프 (동기)"""
+        """핵심 시뮬레이션 루프 (동기)
+
+        [Look-ahead bias 수정]
+        T일 close로 신호(on_bar) 생성 -> T+1일 open + 슬리피지로 체결.
+        마지막 봉 신호는 다음 봉이 없으므로 무시합니다.
+        """
         cash = initial_capital
         positions: Dict[str, Position] = {}
         all_trades: List[BacktestTrade] = []
@@ -784,6 +789,9 @@ class KrBacktestEngine:
         peak_equity = initial_capital
         seed_counter = random_seed if random_seed is not None else None
 
+        # 전일 신호를 저장 (T일 close 신호 -> T+1일 open 체결)
+        pending_orders: List[Dict[str, Any]] = []
+
         for bar_idx in range(len(all_dates)):
             current_date = all_dates[bar_idx]
 
@@ -795,23 +803,18 @@ class KrBacktestEngine:
                     position_value += stock_bars[bar_idx].close_price * pos.quantity
             total_equity = cash + position_value
 
-            # 전략 호출
-            orders = strategy.on_bar(
-                bar_idx=bar_idx,
-                bars=bars,
-                positions=positions,
-                cash=cash,
-                total_equity=total_equity,
-                params=params,
-            )
-
-            # 주문 실행
-            for order in orders:
+            # -- 1단계: 전일 신호를 오늘 open + 슬리피지로 체결 --
+            for order in pending_orders:
                 action = order["action"]
                 code = order["stock_code"]
-                price = order["price"]
                 quantity = order["quantity"]
 
+                # T+1일 open 가격을 base price로 사용
+                stock_bars = bars.get(code, [])
+                if bar_idx >= len(stock_bars):
+                    continue
+                next_open = float(stock_bars[bar_idx].open_price)
+
                 # 슬리피지용 시드
                 if seed_counter is not None:
                     seed_counter += 1
@@ -820,7 +823,7 @@ class KrBacktestEngine:
                     slip_seed = None
 
                 if action == "BUY":
-                    exec_price = _apply_buy_slippage(price, slip_seed)
+                    exec_price = _apply_buy_slippage(next_open, slip_seed)
                     total_cost, commission = _calc_buy_cost(exec_price, quantity)
 
                     if total_cost > cash:
@@ -831,7 +834,7 @@ class KrBacktestEngine:
                         total_cost, commission = _calc_buy_cost(exec_price, quantity)
 
                     cash -= total_cost
-                    slippage_amount = abs(exec_price - price) * quantity
+                    slippage_amount = abs(exec_price - next_open) * quantity
 
                     trade = BacktestTrade(
                         stock_code=code,
@@ -859,14 +862,13 @@ class KrBacktestEngine:
                     if pos is None:
                         continue
 
-                    sell_pct = order.get("sell_pct", 1.0)
                     sell_qty = min(quantity, pos.quantity)
 
-                    exec_price = _apply_sell_slippage(price, slip_seed)
+                    exec_price = _apply_sell_slippage(next_open, slip_seed)
                     proceeds, commission, tax = _calc_sell_proceeds(exec_price, sell_qty, market)
 
                     cash += proceeds
-                    slippage_amount = abs(price - exec_price) * sell_qty
+                    slippage_amount = abs(next_open - exec_price) * sell_qty
 
                     # PnL 계산
                     entry_cost = pos.entry_price * sell_qty * (1 + BUY_COMMISSION_RATE)
@@ -899,6 +901,29 @@ class KrBacktestEngine:
                         pos.quantity = remaining_qty
                         pos.remaining_pct = remaining_qty / (pos.quantity + sell_qty)
 
+            pending_orders.clear()
+
+            # -- 2단계: 오늘 close 기준으로 신호 생성 (체결은 내일 open) --
+            is_last_bar = (bar_idx == len(all_dates) - 1)
+            if not is_last_bar:
+                # 체결 이후의 상태로 평가 자산 재계산 (전략에 전달)
+                position_value = 0.0
+                for code, pos in positions.items():
+                    stock_bars_eval = bars.get(code, [])
+                    if bar_idx < len(stock_bars_eval):
+                        position_value += stock_bars_eval[bar_idx].close_price * pos.quantity
+                total_equity = cash + position_value
+
+                orders = strategy.on_bar(
+                    bar_idx=bar_idx,
+                    bars=bars,
+                    positions=positions,
+                    cash=cash,
+                    total_equity=total_equity,
+                    params=params,
+                )
+                pending_orders = list(orders)
+
             # 일말 평가
             position_value = 0.0
             for code, pos in positions.items():