fix(backtest): include unrealized PnL in equity curve for accurate MDD

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

src/backtester.py

@@ -335,6 +335,7 @@ class Backtester:
         logger.info(f"총 이벤트: {len(events):,}개")
 
         # 메인 루프
+        latest_prices: dict[str, float] = {}
         for ts, sym, candle_idx in events:
             date_str = str(ts.date())
             self.risk.new_day(date_str)
@@ -342,9 +343,10 @@ class Backtester:
             df_ind = all_indicators[sym]
             signal = all_signals[sym][candle_idx]
             row = df_ind.iloc[candle_idx]
+            latest_prices[sym] = float(row["close"])
 
             # 에퀴티 기록
-            self._record_equity(ts)
+            self._record_equity(ts, current_prices=latest_prices)
 
             # 1) 일일 손실 체크
             if not self.risk.is_trading_allowed():
@@ -568,12 +570,15 @@ class Backtester:
         }
         self.trades.append(trade)
 
-    def _record_equity(self, ts: pd.Timestamp):
+    def _record_equity(self, ts: pd.Timestamp, current_prices: dict[str, float] | None = None):
-        # 미실현 PnL 포함 에퀴티
         unrealized = 0.0
-        for pos in self.positions.values():
+        for sym, pos in self.positions.items():
-            # 에퀴티 기록 시점에는 현재가를 알 수 없으므로 entry_price 기준으로 0 처리
+            price = (current_prices or {}).get(sym)
-            pass
+            if price is not None:
+                if pos.side == "LONG":
+                    unrealized += (price - pos.entry_price) * pos.quantity
+                else:
+                    unrealized += (pos.entry_price - price) * pos.quantity
         equity = self.balance + unrealized
         self.equity_curve.append({"timestamp": str(ts), "equity": round(equity, 4)})
         if equity > self._peak_equity:

tests/test_ml_pipeline_fixes.py

@@ -54,3 +54,26 @@ def test_default_sltp_backward_compatible(signal_df):
     if len(r_default) > 0:
         assert len(r_default) == len(r_explicit)
         assert (r_default["label"].values == r_explicit["label"].values).all()
+
+
+def test_equity_curve_includes_unrealized_pnl():
+    """에퀴티 커브에 미실현 PnL이 반영되어야 한다."""
+    from src.backtester import Backtester, BacktestConfig, Position
+    import pandas as pd
+
+    cfg = BacktestConfig(symbols=["TEST"], initial_balance=1000.0)
+    bt = Backtester.__new__(Backtester)
+    bt.cfg = cfg
+    bt.balance = 1000.0
+    bt._peak_equity = 1000.0
+    bt.equity_curve = []
+    bt.positions = {"TEST": Position(
+        symbol="TEST", side="LONG", entry_price=100.0,
+        quantity=10.0, sl=95.0, tp=110.0,
+        entry_time=pd.Timestamp("2026-01-01"), entry_fee=0.4,
+    )}
+
+    bt._record_equity(pd.Timestamp("2026-01-01 00:15:00"), current_prices={"TEST": 105.0})
+
+    last = bt.equity_curve[-1]
+    assert last["equity"] == 1050.0, f"Expected 1050.0 (1000+50), got {last['equity']}"