init

src/main/java/com/yangwale/backtestify/service/MarketDataService.java

@@ -2,6 +2,7 @@ package com.yangwale.backtestify.service;
 
 import com.yangwale.backtestify.model.dto.KLineData;
 
+import java.math.BigDecimal;
 import java.time.LocalDateTime;
 import java.util.List;
 
@@ -25,4 +26,9 @@ public interface MarketDataService {
      * 验证合约是否存在
      */
     void validateContract(String contractCode);
+
+    /**
+     * 获取合约最小变动价位
+     */
+    BigDecimal getPriceTick(String contractCode);
 }

src/main/java/com/yangwale/backtestify/service/impl/BacktestEngineImpl.java

@@ -9,6 +9,7 @@ import com.yangwale.backtestify.entity.StrategyResult;
 import com.yangwale.backtestify.entity.TradeDetail;
 import com.yangwale.backtestify.enums.Direction;
 import com.yangwale.backtestify.enums.KLinePeriod;
+import com.yangwale.backtestify.enums.StopUnit;
 import com.yangwale.backtestify.enums.TradeAction;
 import com.yangwale.backtestify.mapper.StrategyConfigMapper;
 import com.yangwale.backtestify.mapper.StrategyResultMapper;
@@ -68,6 +69,7 @@ public class BacktestEngineImpl implements BacktestEngine {
         Direction direction = Direction.of(request.getDirection());
         KLinePeriod period = KLinePeriod.of(request.getKlinePeriod());
         List<SignalStrategy> strategies = signalStrategyFactory.get(request.getIndicators());
+        BigDecimal priceTick = resolvePriceTick(request);
 
         // 2. 计算回测时间范围
         LocalDateTime now = LocalDateTime.now();
@@ -82,16 +84,17 @@ public class BacktestEngineImpl implements BacktestEngine {
         log.info("回测区间: {} ~ {}, K线数量: {}", kLines.getFirst().getTime(), kLines.getLast().getTime(), kLines.size());
 
         // 4. 创建回测上下文
-        BacktestContext ctx = new BacktestContext(initialCapital, marginRatio, feeRate);
+        BigDecimal initialCapitalAmount = money(initialCapital);
+        BacktestContext ctx = new BacktestContext(initialCapitalAmount, marginRatio, feeRate);
 
         // 5. 逐根K线遍历
         for (int i = 0; i < kLines.size(); i++) {
             KLineData kline = kLines.get(i);
-            ctx.updateEquity();
 
             // 5a. 检查止盈/止损
-            if (ctx.hasPosition() && checkStopCondition(ctx, kline, request)) {
+            if (ctx.hasPosition() && checkStopCondition(ctx, kline, request, direction, priceTick)) {
                 closePosition(ctx, kline, direction);
+                ctx.recordEquity(kline, direction);
                 continue;
             }
 
@@ -101,27 +104,32 @@ public class BacktestEngineImpl implements BacktestEngine {
                 boolean allSell = strategies.stream().allMatch(s -> s.isSellSignal(kline, kLines));
 
                 if (direction == Direction.LONG && allBuy) {
-                    openPosition(ctx, kline, direction);
+                    openPosition(ctx, kline, direction, request.getOpenVolume());
                 } else if (direction == Direction.SHORT && allSell) {
-                    openPosition(ctx, kline, direction);
+                    openPosition(ctx, kline, direction, request.getOpenVolume());
                 }
             }
+            ctx.recordEquity(kline, direction);
         }
 
         // 6. 遍历结束，强制平仓
         if (ctx.hasPosition()) {
             KLineData lastKline = kLines.getLast();
             closePosition(ctx, lastKline, direction);
+            ctx.recordEquity(lastKline, direction);
         }
+        ctx.calculateDailyYields();
 
         // 7. 计算指标
         LocalDate startDate = kLines.getFirst().getTime().toLocalDate();
         LocalDate endDate = kLines.getLast().getTime().toLocalDate();
         long totalDays = ChronoUnit.DAYS.between(startDate, endDate) + 1;
 
-        BigDecimal finalCapital = ctx.getTotalEquity();
+        BigDecimal finalCapital = money(ctx.getTotalEquity());
-        BigDecimal totalYield = calcTotalYield(finalCapital);
+        BigDecimal maxEquity = money(ctx.maxEquity);
-        BigDecimal profitAmount = finalCapital.subtract(initialCapital);
+        BigDecimal minEquity = money(ctx.minEquity);
+        BigDecimal totalYield = calcTotalYield(finalCapital, initialCapitalAmount);
+        BigDecimal profitAmount = money(finalCapital.subtract(initialCapitalAmount));
         BigDecimal annualizedYield = calcAnnualizedYield(totalYield, totalDays);
         BigDecimal maxDrawdown = calcMaxDrawdown(ctx);
         BigDecimal sharpeRatio = calcSharpeRatio(ctx.dailyYields);
@@ -129,24 +137,23 @@ public class BacktestEngineImpl implements BacktestEngine {
 
         // 8. 持久化
         StrategyConfig config = saveStrategyConfig(request);
-        saveStrategyResult(config.getId(), initialCapital, finalCapital,
+        saveStrategyResult(config.getId(), initialCapitalAmount, finalCapital,
-                ctx.maxEquity, ctx.minEquity, totalYield, profitAmount, annualizedYield,
+                maxEquity, minEquity, totalYield, profitAmount, annualizedYield,
                 ctx.tradeRecords.size(), maxDrawdown, sharpeRatio, winRate,
                 startDate, endDate, ctx.dailyEquityCurve);
         List<TradeDetail> tradeDetails = saveTradeDetails(config.getId(), ctx.tradeRecords);
 
         // 9. 构建响应
-        return buildResponse(request, config.getId(), initialCapital, finalCapital,
+        return buildResponse(request, config.getId(), initialCapitalAmount, finalCapital,
-                ctx.maxEquity, ctx.minEquity, totalYield, profitAmount, annualizedYield,
+                maxEquity, minEquity, totalYield, profitAmount, annualizedYield,
                 ctx.tradeRecords.size(), maxDrawdown, sharpeRatio, winRate,
                 startDate, endDate, ctx, tradeDetails);
     }
 
     // ==================== 交易操作 ====================
 
-    private void openPosition(BacktestContext ctx, KLineData kline, Direction direction) {
+    private void openPosition(BacktestContext ctx, KLineData kline, Direction direction, int volume) {
         BigDecimal price = kline.getClose();
-        int volume = 1; // 简化：每次开仓1手
         BigDecimal turnover = price.multiply(BigDecimal.valueOf(volume));
         BigDecimal margin = turnover.multiply(marginRatio);
         BigDecimal fee = turnover.multiply(feeRate);
@@ -160,10 +167,11 @@ public class BacktestEngineImpl implements BacktestEngine {
         ctx.position = volume;
         ctx.avgCostPrice = price;
         ctx.marginLocked = margin;
+        ctx.openFee = fee;
 
         TradeAction action = direction == Direction.LONG ? TradeAction.BUY_OPEN : TradeAction.SELL_OPEN;
         String signal = direction == Direction.LONG ? "B" : "S";
-        ctx.addRecord(action, price, volume, turnover, kline.getTime(), signal);
+        ctx.addRecord(action, price, volume, turnover, kline.getTime(), signal, null);
         log.debug("开仓: {} {}手 @ {}, 保证金={}, 手续费={}", action.getLabel(), volume, price, margin, fee);
     }
 
@@ -178,61 +186,95 @@ public class BacktestEngineImpl implements BacktestEngine {
         if (direction == Direction.SHORT) {
             profit = BigDecimal.ZERO.subtract(profit); // 做空盈亏反向
         }
+        BigDecimal netProfit = profit.subtract(ctx.openFee).subtract(fee);
         ctx.availableCapital = ctx.availableCapital.add(ctx.marginLocked).add(profit).subtract(fee);
         ctx.position = 0;
         ctx.marginLocked = BigDecimal.ZERO;
         ctx.avgCostPrice = BigDecimal.ZERO;
+        ctx.openFee = BigDecimal.ZERO;
 
         TradeAction action = direction == Direction.LONG ? TradeAction.SELL_CLOSE : TradeAction.BUY_CLOSE;
         String signal = direction == Direction.LONG ? "S" : "B";
-        ctx.addRecord(action, price, volume, turnover, kline.getTime(), signal);
+        ctx.addRecord(action, price, volume, turnover, kline.getTime(), signal, netProfit);
         log.debug("平仓: {} {}手 @ {}, 盈亏={}, 手续费={}", action.getLabel(), volume, price, profit, fee);
     }
 
     // ==================== 止盈止损检查 ====================
 
-    private boolean checkStopCondition(BacktestContext ctx, KLineData kline, BacktestRequest request) {
+    private boolean checkStopCondition(BacktestContext ctx, KLineData kline, BacktestRequest request,
+                                       Direction direction, BigDecimal priceTick) {
         BigDecimal price = kline.getClose();
         BigDecimal cost = ctx.avgCostPrice;
 
         if (request.getStopLossValue() != null) {
-            if ("PERCENT".equalsIgnoreCase(request.getStopLossUnit())) {
+            BigDecimal stopDistance = calculateStopDistance(
-                BigDecimal stopPct = request.getStopLossValue().divide(BigDecimal.valueOf(100), 6, RoundingMode.HALF_UP);
+                    cost, request.getStopLossValue(), StopUnit.of(request.getStopLossUnit()), priceTick);
-                BigDecimal lossRatio = BigDecimal.ONE.subtract(stopPct);
+            BigDecimal stopPrice = direction == Direction.LONG
-                // 做多：止损价 = 成本价 × (1 - 止损%)
+                    ? cost.subtract(stopDistance)
-                // 做空：止损价 = 成本价 × (1 + 止损%)
+                    : cost.add(stopDistance);
-                BigDecimal stopPrice = cost.multiply(lossRatio);
+            boolean triggered = direction == Direction.LONG
-                if (price.compareTo(stopPrice) <= 0) {
+                    ? price.compareTo(stopPrice) <= 0
-                    log.info("触发止损: 价格={}, 止损价={}", price, stopPrice);
+                    : price.compareTo(stopPrice) >= 0;
-                    return true;
+            if (triggered) {
-                }
+                log.info("触发止损: 价格={}, 止损价={}", price, stopPrice);
+                return true;
             }
         }
 
         if (request.getTakeProfitValue() != null) {
-            if ("PERCENT".equalsIgnoreCase(request.getTakeProfitUnit())) {
+            BigDecimal takeProfitDistance = calculateStopDistance(
-                BigDecimal tpPct = request.getTakeProfitValue().divide(BigDecimal.valueOf(100), 6, RoundingMode.HALF_UP);
+                    cost, request.getTakeProfitValue(), StopUnit.of(request.getTakeProfitUnit()), priceTick);
-                BigDecimal gainRatio = BigDecimal.ONE.add(tpPct);
+            BigDecimal takeProfitPrice = direction == Direction.LONG
-                BigDecimal tpPrice = cost.multiply(gainRatio);
+                    ? cost.add(takeProfitDistance)
-                if (price.compareTo(tpPrice) >= 0) {
+                    : cost.subtract(takeProfitDistance);
-                    log.info("触发止盈: 价格={}, 止盈价={}", price, tpPrice);
+            boolean triggered = direction == Direction.LONG
-                    return true;
+                    ? price.compareTo(takeProfitPrice) >= 0
-                }
+                    : price.compareTo(takeProfitPrice) <= 0;
+            if (triggered) {
+                log.info("触发止盈: 价格={}, 止盈价={}", price, takeProfitPrice);
+                return true;
             }
         }
 
         return false;
     }
 
+    private BigDecimal resolvePriceTick(BacktestRequest request) {
+        boolean tickStopLoss = request.getStopLossValue() != null
+                && StopUnit.TICK == StopUnit.of(request.getStopLossUnit());
+        boolean tickTakeProfit = request.getTakeProfitValue() != null
+                && StopUnit.TICK == StopUnit.of(request.getTakeProfitUnit());
+        return tickStopLoss || tickTakeProfit
+                ? marketDataService.getPriceTick(request.getContractCode())
+                : null;
+    }
+
+    private BigDecimal calculateStopDistance(BigDecimal cost, BigDecimal value,
+                                             StopUnit unit, BigDecimal priceTick) {
+        if (unit == StopUnit.TICK) {
+            if (priceTick == null || priceTick.signum() <= 0) {
+                throw new BusinessException(ErrorCode.MARKET_DATA_UNAVAILABLE,
+                        "TICK止盈止损缺少有效的最小变动价位");
+            }
+            return value.multiply(priceTick);
+        }
+        BigDecimal percentage = value.divide(BigDecimal.valueOf(100), 8, RoundingMode.HALF_UP);
+        return cost.multiply(percentage);
+    }
+
     // ==================== 指标计算 ====================
 
-    private BigDecimal calcTotalYield(BigDecimal finalCapital) {
+    private BigDecimal calcTotalYield(BigDecimal finalCapital, BigDecimal initialCapitalAmount) {
-        return finalCapital.subtract(initialCapital)
+        return finalCapital.subtract(initialCapitalAmount)
-                .divide(initialCapital, 8, RoundingMode.HALF_UP)
+                .divide(initialCapitalAmount, 8, RoundingMode.HALF_UP)
                 .multiply(BigDecimal.valueOf(100))
                 .setScale(4, RoundingMode.HALF_UP);
     }
 
+    private BigDecimal money(BigDecimal value) {
+        return value.setScale(2, RoundingMode.HALF_UP);
+    }
+
     private BigDecimal calcAnnualizedYield(BigDecimal totalYield, long totalDays) {
         if (totalDays <= 0) return BigDecimal.ZERO;
         return totalYield.divide(BigDecimal.valueOf(totalDays), 8, RoundingMode.HALF_UP)
@@ -241,12 +283,21 @@ public class BacktestEngineImpl implements BacktestEngine {
     }
 
     private BigDecimal calcMaxDrawdown(BacktestContext ctx) {
-        if (ctx.maxEquity.compareTo(BigDecimal.ZERO) == 0) return BigDecimal.ZERO;
+        BigDecimal peak = BigDecimal.ZERO;
-        BigDecimal minAfterMax = ctx.minEquity;
+        BigDecimal maximum = BigDecimal.ZERO;
-        return ctx.maxEquity.subtract(minAfterMax)
+        for (BigDecimal equity : ctx.equityHistory) {
-                .divide(ctx.maxEquity, 8, RoundingMode.HALF_UP)
+            if (equity.compareTo(peak) > 0) {
-                .multiply(BigDecimal.valueOf(100))
+                peak = equity;
-                .abs()
+            }
+            if (peak.compareTo(BigDecimal.ZERO) > 0) {
+                BigDecimal drawdown = peak.subtract(equity)
+                        .divide(peak, 8, RoundingMode.HALF_UP);
+                if (drawdown.compareTo(maximum) > 0) {
+                    maximum = drawdown;
+                }
+            }
+        }
+        return maximum.multiply(BigDecimal.valueOf(100))
                 .setScale(4, RoundingMode.HALF_UP);
     }
 
@@ -274,18 +325,11 @@ public class BacktestEngineImpl implements BacktestEngine {
         if (records.isEmpty()) return BigDecimal.ZERO;
         long winCount = 0;
         long totalClose = 0;
-        for (int i = 0; i < records.size(); i++) {
+        for (BacktestContext.TradeRecord r : records) {
-            BacktestContext.TradeRecord r = records.get(i);
             if (r.action == TradeAction.SELL_CLOSE || r.action == TradeAction.BUY_CLOSE) {
                 totalClose++;
-                // 寻找对应的开仓记录计算盈亏
+                if (r.netProfit != null && r.netProfit.compareTo(BigDecimal.ZERO) > 0) {
-                for (int j = i - 1; j >= 0; j--) {
+                    winCount++;
-                    BacktestContext.TradeRecord open = records.get(j);
-                    if ((r.action == TradeAction.SELL_CLOSE && open.action == TradeAction.BUY_OPEN)
-                            || (r.action == TradeAction.BUY_CLOSE && open.action == TradeAction.SELL_OPEN)) {
-                        if (r.turnover.compareTo(open.turnover) > 0) winCount++;
-                        break;
-                    }
                 }
             }
         }
@@ -456,20 +500,23 @@ public class BacktestEngineImpl implements BacktestEngine {
         int position = 0;
         BigDecimal avgCostPrice = BigDecimal.ZERO;
         BigDecimal marginLocked = BigDecimal.ZERO;
+        BigDecimal openFee = BigDecimal.ZERO;
+        BigDecimal initialCapital;
         BigDecimal maxEquity;
         BigDecimal minEquity;
         List<TradeRecord> tradeRecords = new ArrayList<>();
         List<DailyEquity> dailyEquityCurve = new ArrayList<>();
         List<BigDecimal> dailyYields = new ArrayList<>();
-        BigDecimal dayStartEquity;
+        List<BigDecimal> equityHistory = new ArrayList<>();
 
         BacktestContext(BigDecimal capital, BigDecimal marginRatio, BigDecimal feeRate) {
+            this.initialCapital = capital;
             this.availableCapital = capital;
             this.marginRatio = marginRatio;
             this.feeRate = feeRate;
             this.maxEquity = capital;
             this.minEquity = capital;
-            this.dayStartEquity = capital;
+            this.equityHistory.add(capital);
         }
 
         boolean hasPosition() {
@@ -480,15 +527,52 @@ public class BacktestEngineImpl implements BacktestEngine {
             return availableCapital.add(marginLocked);
         }
 
-        void updateEquity() {
+        void recordEquity(KLineData kline, Direction direction) {
             BigDecimal equity = getTotalEquity();
+            if (hasPosition()) {
+                BigDecimal unrealized = kline.getClose().subtract(avgCostPrice)
+                        .multiply(BigDecimal.valueOf(position));
+                if (direction == Direction.SHORT) {
+                    unrealized = unrealized.negate();
+                }
+                equity = equity.add(unrealized);
+            }
+            equityHistory.add(equity);
             if (equity.compareTo(maxEquity) > 0) maxEquity = equity;
             if (equity.compareTo(minEquity) < 0) minEquity = equity;
+
+            BigDecimal displayEquity = equity.setScale(2, RoundingMode.HALF_UP);
+            BigDecimal cumulativeYield = displayEquity.subtract(initialCapital)
+                    .divide(initialCapital, 8, RoundingMode.HALF_UP)
+                    .multiply(BigDecimal.valueOf(100))
+                    .setScale(4, RoundingMode.HALF_UP);
+            DailyEquity point = new DailyEquity(
+                    kline.getTime().toLocalDate(), displayEquity, cumulativeYield);
+            if (!dailyEquityCurve.isEmpty()
+                    && dailyEquityCurve.getLast().date.equals(point.date)) {
+                dailyEquityCurve.set(dailyEquityCurve.size() - 1, point);
+            } else {
+                dailyEquityCurve.add(point);
+            }
+        }
+
+        void calculateDailyYields() {
+            dailyYields.clear();
+            BigDecimal previousEquity = initialCapital;
+            for (DailyEquity point : dailyEquityCurve) {
+                BigDecimal dailyYield = previousEquity.compareTo(BigDecimal.ZERO) == 0
+                        ? BigDecimal.ZERO
+                        : point.equity.subtract(previousEquity)
+                                .divide(previousEquity, 8, RoundingMode.HALF_UP);
+                dailyYields.add(dailyYield);
+                previousEquity = point.equity;
+            }
         }
 
         void addRecord(TradeAction action, BigDecimal price, int volume, BigDecimal turnover,
-                       LocalDateTime klineTime, String signal) {
+                       LocalDateTime klineTime, String signal, BigDecimal netProfit) {
-            tradeRecords.add(new TradeRecord(action, price, volume, turnover, LocalDateTime.now(), klineTime, signal));
+            tradeRecords.add(new TradeRecord(
+                    action, price, volume, turnover, klineTime, klineTime, signal, netProfit));
         }
 
         static class TradeRecord {
@@ -499,9 +583,11 @@ public class BacktestEngineImpl implements BacktestEngine {
             LocalDateTime tradeTime;
             LocalDateTime klineTime;
             String signal;
+            BigDecimal netProfit;
 
             TradeRecord(TradeAction action, BigDecimal price, int volume, BigDecimal turnover,
-                        LocalDateTime tradeTime, LocalDateTime klineTime, String signal) {
+                        LocalDateTime tradeTime, LocalDateTime klineTime, String signal,
+                        BigDecimal netProfit) {
                 this.action = action;
                 this.price = price;
                 this.volume = volume;
@@ -509,6 +595,7 @@ public class BacktestEngineImpl implements BacktestEngine {
                 this.tradeTime = tradeTime;
                 this.klineTime = klineTime;
                 this.signal = signal;
+                this.netProfit = netProfit;
             }
         }
 

src/main/java/com/yangwale/backtestify/service/impl/MarketDataServiceImpl.java

@@ -11,6 +11,7 @@ import org.springframework.beans.factory.annotation.Autowired;
 import org.springframework.data.redis.core.RedisTemplate;
 import org.springframework.stereotype.Service;
 
+import java.math.BigDecimal;
 import java.time.Duration;
 import java.time.LocalDateTime;
 import java.time.ZoneId;
@@ -76,6 +77,17 @@ public class MarketDataServiceImpl implements MarketDataService {
         }
     }
 
+    @Override
+    public BigDecimal getPriceTick(String contractCode) {
+        validateContract(contractCode);
+        BigDecimal priceTick = marketDataProvider.getPriceTick(contractCode);
+        if (priceTick == null || priceTick.signum() <= 0) {
+            throw new BusinessException(ErrorCode.MARKET_DATA_UNAVAILABLE,
+                    "合约缺少有效的最小变动价位: " + contractCode);
+        }
+        return priceTick;
+    }
+
     private String buildCacheKey(String contractCode, String period,
                                  LocalDateTime startTime, LocalDateTime endTime) {
         long startEpoch = startTime.atZone(ZONE_ID).toEpochSecond();

src/main/java/com/yangwale/backtestify/service/market/FakeMarketDataProvider.java

@@ -59,6 +59,11 @@ public class FakeMarketDataProvider implements MarketDataProvider {
         return CONTRACT.equals(contractCode);
     }
 
+    @Override
+    public BigDecimal getPriceTick(String contractCode) {
+        return supportsContract(contractCode) ? BigDecimal.ONE : null;
+    }
+
     // ==================== 数据生成 ====================
 
     /**

src/main/java/com/yangwale/backtestify/service/market/MarketDataProvider.java

@@ -2,6 +2,7 @@ package com.yangwale.backtestify.service.market;
 
 import com.yangwale.backtestify.model.dto.KLineData;
 
+import java.math.BigDecimal;
 import java.time.LocalDateTime;
 import java.util.List;
 
@@ -33,4 +34,9 @@ public interface MarketDataProvider {
      * 检查是否支持该合约
      */
     boolean supportsContract(String contractCode);
+
+    /**
+     * 获取合约最小变动价位
+     */
+    BigDecimal getPriceTick(String contractCode);
 }

src/main/java/com/yangwale/backtestify/service/market/MysqlMarketDataProvider.java

@@ -75,6 +75,12 @@ public class MysqlMarketDataProvider implements MarketDataProvider {
         return findInstrument(contractCode) != null;
     }
 
+    @Override
+    public BigDecimal getPriceTick(String contractCode) {
+        InstrumentDictionary instrument = findInstrument(contractCode);
+        return instrument == null ? null : instrument.getPriceTick();
+    }
+
     private InstrumentDictionary findInstrument(String contractCode) {
         return instrumentDictionaryMapper.selectOne(new LambdaQueryWrapper<InstrumentDictionary>()
                 .eq(InstrumentDictionary::getContractCode, contractCode)

src/test/java/com/yangwale/backtestify/service/BacktestEngineCalculationTest.java

@@ -0,0 +1,220 @@
+package com.yangwale.backtestify.service;
+
+import com.yangwale.backtestify.entity.StrategyConfig;
+import com.yangwale.backtestify.mapper.StrategyConfigMapper;
+import com.yangwale.backtestify.mapper.StrategyResultMapper;
+import com.yangwale.backtestify.mapper.TradeDetailMapper;
+import com.yangwale.backtestify.model.dto.KLineData;
+import com.yangwale.backtestify.model.request.BacktestRequest;
+import com.yangwale.backtestify.model.response.BacktestResponse;
+import com.yangwale.backtestify.service.impl.BacktestEngineImpl;
+import com.yangwale.backtestify.service.signal.SignalStrategy;
+import com.yangwale.backtestify.service.signal.SignalStrategyFactory;
+import org.junit.jupiter.api.BeforeEach;
+import org.junit.jupiter.api.Test;
+import org.springframework.test.util.ReflectionTestUtils;
+
+import java.math.BigDecimal;
+import java.time.LocalDateTime;
+import java.util.List;
+
+import static org.junit.jupiter.api.Assertions.assertEquals;
+import static org.mockito.ArgumentMatchers.any;
+import static org.mockito.Mockito.mock;
+import static org.mockito.Mockito.when;
+
+class BacktestEngineCalculationTest {
+
+    private MarketDataService marketDataService;
+    private TestSignalStrategy signalStrategy;
+    private BacktestEngineImpl engine;
+
+    @BeforeEach
+    void setUp() {
+        marketDataService = mock(MarketDataService.class);
+        StrategyConfigMapper strategyConfigMapper = mock(StrategyConfigMapper.class);
+        StrategyResultMapper strategyResultMapper = mock(StrategyResultMapper.class);
+        TradeDetailMapper tradeDetailMapper = mock(TradeDetailMapper.class);
+        signalStrategy = new TestSignalStrategy();
+        SignalStrategyFactory signalStrategyFactory =
+                new SignalStrategyFactory(List.of(signalStrategy));
+
+        when(strategyConfigMapper.insert(any(StrategyConfig.class))).thenAnswer(invocation -> {
+            invocation.<StrategyConfig>getArgument(0).setId(1L);
+            return 1;
+        });
+
+        engine = new BacktestEngineImpl(
+                marketDataService,
+                signalStrategyFactory,
+                strategyConfigMapper,
+                strategyResultMapper,
+                tradeDetailMapper);
+        ReflectionTestUtils.setField(engine, "initialCapital", new BigDecimal("1000000"));
+        ReflectionTestUtils.setField(engine, "marginRatio", new BigDecimal("0.10"));
+        ReflectionTestUtils.setField(engine, "feeRate", new BigDecimal("0.00005"));
+        ReflectionTestUtils.setField(engine, "riskFreeRate", new BigDecimal("0.025"));
+    }
+
+    @Test
+    void longResultUsesRequestedVolumeAndDeductsBothFees() {
+        List<KLineData> data = List.of(
+                kline("2026-07-20T00:00:00", "100"),
+                kline("2026-07-21T00:00:00", "110"));
+        stubMarketData(data);
+        signalStrategy.buyTime = data.getFirst().getTime();
+
+        BacktestResponse result = engine.execute(request("LONG", 2));
+
+        assertEquals(new BigDecimal("1000019.98"), result.getFinalCapital());
+        assertEquals(new BigDecimal("19.98"), result.getProfitAmount());
+        assertEquals(2, result.getTradeCount());
+        assertEquals(2, result.getTradeDetails().getFirst().getVolume());
+        assertEquals(new BigDecimal("1000019.99"), result.getMaxEquity());
+        assertEquals(new BigDecimal("999999.99"), result.getMinEquity());
+        assertEquals(new BigDecimal("100.0000"), result.getWinRate());
+    }
+
+    @Test
+    void shortTakeProfitClosesWhenPriceFalls() {
+        List<KLineData> data = List.of(
+                kline("2026-07-20T00:00:00", "100"),
+                kline("2026-07-21T00:00:00", "95"),
+                kline("2026-07-22T00:00:00", "110"));
+        stubMarketData(data);
+        signalStrategy.sellTime = data.getFirst().getTime();
+        BacktestRequest request = request("SHORT", 2);
+        request.setTakeProfitValue(new BigDecimal("4"));
+        request.setTakeProfitUnit("PERCENT");
+
+        BacktestResponse result = engine.execute(request);
+
+        assertEquals(new BigDecimal("1000009.98"), result.getFinalCapital());
+        assertEquals("2026-07-21T00:00", result.getTradeDetails().getLast().getTradeTime());
+        assertEquals(new BigDecimal("100.0000"), result.getWinRate());
+    }
+
+    @Test
+    void shortStopLossClosesWhenPriceRises() {
+        List<KLineData> data = List.of(
+                kline("2026-07-20T00:00:00", "100"),
+                kline("2026-07-21T00:00:00", "105"),
+                kline("2026-07-22T00:00:00", "90"));
+        stubMarketData(data);
+        signalStrategy.sellTime = data.getFirst().getTime();
+        BacktestRequest request = request("SHORT", 2);
+        request.setStopLossValue(new BigDecimal("4"));
+        request.setStopLossUnit("PERCENT");
+
+        BacktestResponse result = engine.execute(request);
+
+        assertEquals(new BigDecimal("999989.98"), result.getFinalCapital());
+        assertEquals("2026-07-21T00:00", result.getTradeDetails().getLast().getTradeTime());
+        assertEquals(new BigDecimal("0.0000"), result.getWinRate());
+    }
+
+    @Test
+    void longTickStopLossUsesInstrumentMinimumPriceTick() {
+        List<KLineData> data = List.of(
+                kline("2026-07-20T00:00:00", "100"),
+                kline("2026-07-21T00:00:00", "99"),
+                kline("2026-07-22T00:00:00", "110"));
+        stubMarketData(data);
+        when(marketDataService.getPriceTick("TEST")).thenReturn(new BigDecimal("0.5"));
+        signalStrategy.buyTime = data.getFirst().getTime();
+        BacktestRequest request = request("LONG", 1);
+        request.setStopLossValue(new BigDecimal("2"));
+        request.setStopLossUnit("TICK");
+
+        BacktestResponse result = engine.execute(request);
+
+        assertEquals(new BigDecimal("999998.99"), result.getFinalCapital());
+        assertEquals("2026-07-21T00:00", result.getTradeDetails().getLast().getTradeTime());
+        assertEquals(new BigDecimal("0.0000"), result.getWinRate());
+    }
+
+    @Test
+    void shortTickTakeProfitUsesInstrumentMinimumPriceTick() {
+        List<KLineData> data = List.of(
+                kline("2026-07-20T00:00:00", "100"),
+                kline("2026-07-21T00:00:00", "98.5"),
+                kline("2026-07-22T00:00:00", "110"));
+        stubMarketData(data);
+        when(marketDataService.getPriceTick("TEST")).thenReturn(new BigDecimal("0.5"));
+        signalStrategy.sellTime = data.getFirst().getTime();
+        BacktestRequest request = request("SHORT", 1);
+        request.setTakeProfitValue(new BigDecimal("3"));
+        request.setTakeProfitUnit("TICK");
+
+        BacktestResponse result = engine.execute(request);
+
+        assertEquals(new BigDecimal("1000001.49"), result.getFinalCapital());
+        assertEquals("2026-07-21T00:00", result.getTradeDetails().getLast().getTradeTime());
+        assertEquals(new BigDecimal("100.0000"), result.getWinRate());
+    }
+
+    @Test
+    void maximumDrawdownUsesPeakBeforeTroughInTimeOrder() {
+        List<KLineData> data = List.of(
+                kline("2026-07-20T00:00:00", "100"),
+                kline("2026-07-21T00:00:00", "120"),
+                kline("2026-07-22T00:00:00", "110"));
+        stubMarketData(data);
+        signalStrategy.buyTime = data.getFirst().getTime();
+
+        BacktestResponse result = engine.execute(request("LONG", 1));
+
+        assertEquals(new BigDecimal("0.0010"), result.getMaxDrawdown());
+    }
+
+    private void stubMarketData(List<KLineData> data) {
+        when(marketDataService.getKLineData(any(), any(), any(), any())).thenReturn(data);
+    }
+
+    private BacktestRequest request(String direction, int volume) {
+        BacktestRequest request = new BacktestRequest();
+        request.setUserId(1L);
+        request.setContractCode("TEST");
+        request.setContractName("测试合约");
+        request.setDirection(direction);
+        request.setKlinePeriod("1d");
+        request.setIndicators(List.of("TEST"));
+        request.setOpenVolume(volume);
+        request.setVolumeUnit("LOT");
+        request.setBacktestPeriod("1m");
+        return request;
+    }
+
+    private KLineData kline(String time, String close) {
+        BigDecimal price = new BigDecimal(close);
+        return KLineData.builder()
+                .time(LocalDateTime.parse(time))
+                .open(price)
+                .high(price)
+                .low(price)
+                .close(price)
+                .volume(BigDecimal.ONE)
+                .amount(BigDecimal.ONE)
+                .build();
+    }
+
+    private static class TestSignalStrategy implements SignalStrategy {
+        private LocalDateTime buyTime;
+        private LocalDateTime sellTime;
+
+        @Override
+        public String name() {
+            return "TEST";
+        }
+
+        @Override
+        public boolean isBuySignal(KLineData current, List<KLineData> history) {
+            return current.getTime().equals(buyTime);
+        }
+
+        @Override
+        public boolean isSellSignal(KLineData current, List<KLineData> history) {
+            return current.getTime().equals(sellTime);
+        }
+    }
+}

src/test/java/com/yangwale/backtestify/service/RealDataBusinessIntegrationTest.java

@@ -0,0 +1,255 @@
+package com.yangwale.backtestify.service;
+
+import com.yangwale.backtestify.common.BusinessException;
+import com.yangwale.backtestify.config.WebMvcConfig;
+import com.yangwale.backtestify.model.dto.KLineData;
+import com.yangwale.backtestify.model.request.AdminStrategyPageRequest;
+import com.yangwale.backtestify.model.request.BacktestRequest;
+import com.yangwale.backtestify.model.request.SignalQueryRequest;
+import com.yangwale.backtestify.model.response.BacktestResponse;
+import com.yangwale.backtestify.model.response.StrategyDetailResponse;
+import com.yangwale.backtestify.service.market.MarketDataProvider;
+import com.yangwale.backtestify.service.signal.SignalStrategy;
+import com.yangwale.backtestify.service.signal.SignalStrategyFactory;
+import org.junit.jupiter.api.Test;
+import org.junit.jupiter.api.condition.EnabledIfSystemProperty;
+import org.springframework.beans.factory.annotation.Autowired;
+import org.springframework.boot.test.context.SpringBootTest;
+import org.springframework.transaction.annotation.Transactional;
+
+import java.math.BigDecimal;
+import java.math.RoundingMode;
+import java.time.LocalDateTime;
+import java.time.format.DateTimeFormatter;
+import java.util.List;
+
+import static org.junit.jupiter.api.Assertions.assertEquals;
+import static org.junit.jupiter.api.Assertions.assertFalse;
+import static org.junit.jupiter.api.Assertions.assertNotNull;
+import static org.junit.jupiter.api.Assertions.assertThrows;
+import static org.junit.jupiter.api.Assertions.assertTrue;
+
+@SpringBootTest(properties = {
+        "spring.datasource.driver-class-name=com.mysql.cj.jdbc.Driver",
+        "spring.datasource.url=jdbc:mysql://192.168.2.5:3306/backtestify?useUnicode=true&characterEncoding=utf-8&serverTimezone=Asia/Shanghai&useSSL=false",
+        "spring.datasource.username=root",
+        "spring.datasource.password=root",
+        "spring.sql.init.mode=never",
+        "market-data.provider=mysql",
+        "market-data.sync.enabled=false"
+})
+@Transactional
+@EnabledIfSystemProperty(named = "realDataTest", matches = "true")
+class RealDataBusinessIntegrationTest {
+
+    private static final long TEST_USER_ID = 9_900_001L;
+    private static final DateTimeFormatter DATE_TIME_FORMATTER =
+            DateTimeFormatter.ofPattern("yyyy-MM-dd HH:mm:ss");
+
+    @Autowired
+    private MarketDataProvider marketDataProvider;
+    @Autowired
+    private SignalStrategyFactory signalStrategyFactory;
+    @Autowired
+    private StrategyService strategyService;
+
+    @Test
+    void allBusinessFunctionsWorkWithRealMarketDataAndResultsAreInternallyConsistent() {
+        SelectedScenario scenario = selectScenario();
+        assertTrue(marketDataProvider.getPriceTick(scenario.contractCode()).signum() > 0,
+                "真实合约必须具有有效最小变动价位");
+        WebMvcConfig.RequestContextHolder.setUserId(TEST_USER_ID);
+        try {
+            BacktestRequest request = requestFor(scenario);
+            BacktestResponse result = strategyService.backtest(request);
+
+            assertNotNull(result.getStrategyId());
+            assertTrue(result.getTradeCount() >= 2, "所选真实数据场景应至少完成一笔开平仓");
+            assertEquals(result.getTradeCount(), result.getTradeDetails().size());
+            assertTrue(result.getTradeDetails().stream()
+                    .allMatch(trade -> request.getOpenVolume().equals(trade.getVolume())),
+                    "成交明细必须使用请求中的开仓数量");
+            assertFalse(result.getDailyEquityCurve().isEmpty(), "真实回测必须产生每日净值曲线");
+
+            BigDecimal expectedProfit = result.getFinalCapital().subtract(result.getInitialCapital());
+            assertEquals(0, expectedProfit.compareTo(result.getProfitAmount()));
+            BigDecimal expectedYield = expectedProfit
+                    .divide(result.getInitialCapital(), 8, RoundingMode.HALF_UP)
+                    .multiply(BigDecimal.valueOf(100))
+                    .setScale(4, RoundingMode.HALF_UP);
+            assertEquals(0, expectedYield.compareTo(result.getTotalYield()));
+            assertEquals(0, calculateProfitFromTrades(result)
+                    .compareTo(result.getProfitAmount()));
+            assertEquals(0, calculateWinRateFromTrades(result)
+                    .compareTo(result.getWinRate()));
+            assertEquals(0, calculateDrawdownFromDailyCurve(result)
+                    .compareTo(result.getMaxDrawdown()));
+
+            assertTrue(strategyService.myList(TEST_USER_ID, 1, 20).getList().stream()
+                    .anyMatch(item -> result.getStrategyId().equals(item.getId())));
+
+            StrategyDetailResponse detail = strategyService.detail(result.getStrategyId());
+            assertEquals(result.getFinalCapital(), detail.getFinalCapital());
+            assertEquals(result.getTradeDetails().size(), detail.getTradeDetails().size());
+            assertEquals(result.getDailyEquityCurve().size(), detail.getDailyEquityCurve().size());
+
+            AdminStrategyPageRequest adminRequest = new AdminStrategyPageRequest();
+            adminRequest.setPageNum(1);
+            adminRequest.setPageSize(20);
+            adminRequest.setUserId(TEST_USER_ID);
+            assertTrue(strategyService.adminList(adminRequest).getList().stream()
+                    .anyMatch(item -> result.getStrategyId().equals(item.getId())));
+
+            strategyService.toggleSignal(result.getStrategyId(), TEST_USER_ID);
+            SignalQueryRequest signalRequest = new SignalQueryRequest();
+            signalRequest.setUserId(TEST_USER_ID);
+            signalRequest.setContractCode(scenario.contractCode());
+            signalRequest.setPeriod("1d");
+            signalRequest.setStartTime(result.getStartDate().atStartOfDay().minusDays(1)
+                    .format(DATE_TIME_FORMATTER));
+            signalRequest.setEndTime(result.getEndDate().plusDays(1).atStartOfDay()
+                    .format(DATE_TIME_FORMATTER));
+            assertEquals(result.getTradeCount(), strategyService.getSignals(signalRequest).size());
+
+            strategyService.toggleSignal(result.getStrategyId(), TEST_USER_ID);
+            assertTrue(strategyService.getSignals(signalRequest).isEmpty());
+
+            strategyService.delete(result.getStrategyId(), TEST_USER_ID);
+            assertThrows(BusinessException.class, () -> strategyService.detail(result.getStrategyId()));
+        } finally {
+            WebMvcConfig.RequestContextHolder.clear();
+        }
+    }
+
+    private SelectedScenario selectScenario() {
+        LocalDateTime end = LocalDateTime.now();
+        LocalDateTime start = end.minusYears(1);
+        List<String> contracts = marketDataProvider.getAvailableContracts();
+        assertFalse(contracts.isEmpty(), "真实数据库中必须存在合约字典数据");
+
+        for (String contract : contracts) {
+            List<KLineData> kLines = marketDataProvider.getKLineData(contract, "1d", start, end);
+            if (kLines.size() < 2) {
+                continue;
+            }
+            validateRealKLines(kLines);
+            for (String indicator : signalStrategyFactory.getAllIndicatorNames()) {
+                SignalStrategy strategy = signalStrategyFactory.get(indicator);
+                boolean hasBuy = kLines.stream().anyMatch(kLine -> strategy.isBuySignal(kLine, kLines));
+                if (hasBuy) {
+                    return new SelectedScenario(contract, indicator, "LONG");
+                }
+                boolean hasSell = kLines.stream().anyMatch(kLine -> strategy.isSellSignal(kLine, kLines));
+                if (hasSell) {
+                    return new SelectedScenario(contract, indicator, "SHORT");
+                }
+            }
+        }
+        throw new AssertionError("真实数据库近一年日线中未找到可产生交易信号的合约");
+    }
+
+    private void validateRealKLines(List<KLineData> kLines) {
+        for (int index = 0; index < kLines.size(); index++) {
+            KLineData current = kLines.get(index);
+            assertNotNull(current.getIndicators(), "真实K线必须附带指标");
+            assertTrue(current.getClose().compareTo(BigDecimal.ZERO) > 0);
+            assertTrue(current.getHigh().compareTo(current.getOpen()) >= 0);
+            assertTrue(current.getHigh().compareTo(current.getClose()) >= 0);
+            assertTrue(current.getLow().compareTo(current.getOpen()) <= 0);
+            assertTrue(current.getLow().compareTo(current.getClose()) <= 0);
+            if (index > 0) {
+                assertTrue(current.getTime().isAfter(kLines.get(index - 1).getTime()),
+                        "真实K线必须严格按时间升序");
+            }
+        }
+
+        for (String indicator : signalStrategyFactory.getAllIndicatorNames()) {
+            SignalStrategy strategy = signalStrategyFactory.get(indicator);
+            for (KLineData kLine : kLines) {
+                strategy.isBuySignal(kLine, kLines);
+                strategy.isSellSignal(kLine, kLines);
+            }
+        }
+    }
+
+    private BigDecimal calculateProfitFromTrades(BacktestResponse result) {
+        BigDecimal profit = BigDecimal.ZERO;
+        BigDecimal feeRate = new BigDecimal("0.00005");
+        for (int index = 0; index < result.getTradeDetails().size(); index += 2) {
+            BacktestResponse.TradeDetailItem open = result.getTradeDetails().get(index);
+            BacktestResponse.TradeDetailItem close = result.getTradeDetails().get(index + 1);
+            BigDecimal priceChange = close.getPrice().subtract(open.getPrice())
+                    .multiply(BigDecimal.valueOf(open.getVolume()));
+            BigDecimal grossProfit = "SHORT".equalsIgnoreCase(result.getDirection())
+                    ? priceChange.negate()
+                    : priceChange;
+            BigDecimal fees = open.getTurnover().add(close.getTurnover()).multiply(feeRate);
+            profit = profit.add(grossProfit).subtract(fees);
+        }
+        return profit.setScale(2, RoundingMode.HALF_UP);
+    }
+
+    private BigDecimal calculateWinRateFromTrades(BacktestResponse result) {
+        int wins = 0;
+        int closedTrades = result.getTradeDetails().size() / 2;
+        BigDecimal feeRate = new BigDecimal("0.00005");
+        for (int index = 0; index < result.getTradeDetails().size(); index += 2) {
+            BacktestResponse.TradeDetailItem open = result.getTradeDetails().get(index);
+            BacktestResponse.TradeDetailItem close = result.getTradeDetails().get(index + 1);
+            BigDecimal priceChange = close.getPrice().subtract(open.getPrice())
+                    .multiply(BigDecimal.valueOf(open.getVolume()));
+            BigDecimal grossProfit = "SHORT".equalsIgnoreCase(result.getDirection())
+                    ? priceChange.negate()
+                    : priceChange;
+            BigDecimal netProfit = grossProfit.subtract(
+                    open.getTurnover().add(close.getTurnover()).multiply(feeRate));
+            if (netProfit.compareTo(BigDecimal.ZERO) > 0) {
+                wins++;
+            }
+        }
+        return closedTrades == 0
+                ? BigDecimal.ZERO.setScale(4)
+                : BigDecimal.valueOf(wins)
+                        .divide(BigDecimal.valueOf(closedTrades), 8, RoundingMode.HALF_UP)
+                        .multiply(BigDecimal.valueOf(100))
+                        .setScale(4, RoundingMode.HALF_UP);
+    }
+
+    private BigDecimal calculateDrawdownFromDailyCurve(BacktestResponse result) {
+        BigDecimal peak = result.getInitialCapital();
+        BigDecimal maximum = BigDecimal.ZERO;
+        for (BacktestResponse.DailyEquityPoint point : result.getDailyEquityCurve()) {
+            if (point.getEquity().compareTo(peak) > 0) {
+                peak = point.getEquity();
+            }
+            BigDecimal drawdown = peak.subtract(point.getEquity())
+                    .divide(peak, 8, RoundingMode.HALF_UP);
+            if (drawdown.compareTo(maximum) > 0) {
+                maximum = drawdown;
+            }
+        }
+        return maximum.multiply(BigDecimal.valueOf(100))
+                .setScale(4, RoundingMode.HALF_UP);
+    }
+
+    private BacktestRequest requestFor(SelectedScenario scenario) {
+        BacktestRequest request = new BacktestRequest();
+        request.setUserId(TEST_USER_ID);
+        request.setContractCode(scenario.contractCode());
+        request.setContractName(scenario.contractCode() + "-真实数据验证");
+        request.setDirection(scenario.direction());
+        request.setKlinePeriod("1d");
+        request.setIndicators(List.of(scenario.indicator()));
+        request.setOpenVolume(2);
+        request.setVolumeUnit("LOT");
+        request.setStopLossValue(new BigDecimal("3"));
+        request.setStopLossUnit("TICK");
+        request.setTakeProfitValue(new BigDecimal("5"));
+        request.setTakeProfitUnit("TICK");
+        request.setBacktestPeriod("1y");
+        return request;
+    }
+
+    private record SelectedScenario(String contractCode, String indicator, String direction) {
+    }
+}