bitbank-lab-mcp 0.1.0

package/tools/render_depth_svg.ts

@@ -0,0 +1,274 @@
+// tools/render_depth_svg.ts
+import fs from 'node:fs/promises';
+import path from 'node:path';
+import { z } from 'zod';
+import { nowIso, toDisplayTime } from '../lib/datetime.js';
+import { buildCumulativeSteps } from '../lib/depth-analysis.js';
+import { formatPair } from '../lib/formatter.js';
+import getDepth from '../lib/get-depth.js';
+import { fail, failFromError, failFromValidation, ok } from '../lib/result.js';
+import { ensurePair } from '../lib/validate.js';
+import type { FailResult, OkResult, Pair } from '../src/schemas.js';
+import type { ToolDefinition } from '../src/tool-definition.js';
+
+type RenderData = { svg?: string; filePath?: string; summary?: Record<string, unknown> };
+type RenderMeta = {
+	pair: Pair;
+	type: string;
+	bbMode: 'default';
+	sizeBytes?: number;
+};
+
+export default async function renderDepthSvg(
+	args: {
+		pair?: Pair;
+		type?: string; // schema都合上の表示用。depth自体は時間軸に依存しない
+		depth?: { levels?: number };
+		preferFile?: boolean;
+		autoSave?: boolean;
+	} = {},
+): Promise<OkResult<RenderData, RenderMeta> | FailResult> {
+	try {
+		const chk = ensurePair(args.pair || 'btc_jpy');
+		if (!chk.ok) return failFromValidation(chk);
+		const pair = chk.pair;
+		const type = String(args.type || '1day');
+		const levels = Math.max(10, Number(args?.depth?.levels ?? 200));
+
+		const depth = await getDepth(pair, { maxLevels: levels });
+		if (!depth.ok) return fail(depth.summary.replace(/^Error: /, ''), depth.meta?.errorType || 'internal');
+		const asks: Array<[string, string]> = depth.data.asks || [];
+		const bids: Array<[string, string]> = depth.data.bids || [];
+
+		// 両側の板が揃っていなければ深度チャートとして描画不可
+		if (!asks.length || !bids.length) {
+			return fail('板データが不足しています（asks/bids の両方が必要です）', 'upstream');
+		}
+
+		// 価格レンジ
+		const minBid = Number(bids[bids.length - 1]?.[0] ?? bids[0]?.[0] ?? 0);
+		const maxAsk = Number(asks[asks.length - 1]?.[0] ?? asks[0]?.[0] ?? 0);
+		const xMinP = Math.min(minBid, Number(bids[0]?.[0] ?? minBid));
+		const xMaxP = Math.max(maxAsk, Number(asks[0]?.[0] ?? maxAsk));
+
+		// 累積量（bids: 降順、asks: 昇順）
+		const bidsSorted = [...bids]
+			.map(([p, s]) => [Number(p), Number(s)] as [number, number])
+			.sort((a, b) => b[0] - a[0]);
+		const asksSorted = [...asks]
+			.map(([p, s]) => [Number(p), Number(s)] as [number, number])
+			.sort((a, b) => a[0] - b[0]);
+		const bidSteps = buildCumulativeSteps(bidsSorted, 'bid');
+		const askSteps = buildCumulativeSteps(asksSorted, 'ask');
+		const maxQty = Math.max(bidSteps.at(-1)?.[1] || 0, askSteps.at(-1)?.[1] || 0) || 1;
+
+		// キャンバス
+		const w = 860,
+			h = 420;
+		// チャート（プロット領域）自体を押し下げ、最上段のY軸目盛りがヘッダー群の下に来るようにする
+		const padding = { top: 84, right: 12, bottom: 32, left: 64 };
+		const plotW = w - padding.left - padding.right;
+		const plotH = h - padding.top - padding.bottom;
+		const x = (price: number) =>
+			Number((padding.left + ((price - xMinP) * plotW) / Math.max(1, xMaxP - xMinP)).toFixed(1));
+		const y = (qty: number) => Number((h - padding.bottom - (qty * plotH) / maxQty).toFixed(1));
+		const fmtJPYCompact = (p: number) => `¥${Math.round(p).toLocaleString('ja-JP')}`;
+		const fmtJPYAxis = (p: number) => {
+			const v = Math.round(p / 1000) * 1000;
+			return `¥${v.toLocaleString('ja-JP')}`;
+		};
+
+		// ステップパス生成
+		const toStepPath = (steps: Array<[number, number]>) => {
+			if (!steps.length) return '';
+			const pts = steps.map(([p, q]) => `${x(p)},${y(q)}`);
+			return `M ${pts.join(' L ')}`;
+		};
+		const bidPath = toStepPath(bidSteps);
+		const askPath = toStepPath(askSteps);
+
+		// 塗りつぶし
+		const toFillPath = (steps: Array<[number, number]>, side: 'bid' | 'ask') => {
+			if (!steps.length) return '';
+			const head = steps[0];
+			const tail = steps[steps.length - 1];
+			const baseY = y(0);
+			const poly = ['M', `${x(head[0])},${baseY}`, 'L']
+				.concat(steps.map(([p, q]) => `${x(p)},${y(q)}`))
+				.concat(['L', `${x(tail[0])},${baseY}`, 'Z'])
+				.join(' ');
+			const fill = side === 'bid' ? 'rgba(16,185,129,0.12)' : 'rgba(249,115,22,0.12)';
+			return `<path d="${poly}" fill="${fill}" stroke="none"/>`;
+		};
+		const bidFill = toFillPath(bidSteps, 'bid');
+		const askFill = toFillPath(askSteps, 'ask');
+
+		const bestBid = Number(bidsSorted[0]?.[0] ?? 0);
+		const bestAsk = Number(asksSorted[0]?.[0] ?? 0);
+		const mid =
+			bestBid && bestAsk ? (bestBid + bestAsk) / 2 : (Number(bids[0]?.[0] ?? 0) + Number(asks[0]?.[0] ?? 0)) / 2;
+		// 軸と目盛り
+		const yAxis = `<line x1="${padding.left}" y1="${padding.top}" x2="${padding.left}" y2="${h - padding.bottom}" stroke="#4b5563" stroke-width="1"/>`;
+		const xAxis = `<line x1="${padding.left}" y1="${h - padding.bottom}" x2="${w - padding.right}" y2="${h - padding.bottom}" stroke="#4b5563" stroke-width="1"/>`;
+		// Y軸目盛り（キリの良い数値）
+		const yStep = maxQty <= 25 ? 5 : maxQty <= 50 ? 10 : 20;
+		const yMaxNice = Math.ceil(maxQty / yStep) * yStep;
+		const yTicks = [];
+		for (let v = 0; v <= yMaxNice; v += yStep) yTicks.push({ q: v, y: y(v) });
+		const yTickTexts = yTicks
+			.map(
+				(t) =>
+					`<text x="${padding.left - 8}" y="${t.y}" text-anchor="end" dominant-baseline="middle" fill="#e5e7eb" font-size="10">${Math.round(t.q)} BTC</text>`,
+			)
+			.join('');
+		// X軸目盛り（5分割）
+		const xTicks = (() => {
+			const out: Array<{ p: number; x: number }> = [];
+			const N = 4;
+			for (let i = 0; i <= N; i++) {
+				const p = xMinP + ((xMaxP - xMinP) * i) / N;
+				out.push({ p, x: x(p) });
+			}
+			return out;
+		})();
+		const xTickTexts = xTicks
+			.map(
+				(t) =>
+					`<text x="${t.x}" y="${h - padding.bottom + 14}" text-anchor="middle" fill="#e5e7eb" font-size="10">${fmtJPYAxis(t.p)}</text>`,
+			)
+			.join('');
+		const legendDepth = `
+      <g font-size="12" fill="#e5e7eb" transform="translate(${padding.left + 190}, ${Math.max(14, padding.top - 34)})">
+        <rect x="0" y="-10" width="12" height="12" fill="#10b981"></rect>
+        <text x="16" y="0">買い (Bids)</text>
+        <rect x="120" y="-10" width="12" height="12" fill="#f97316"></rect>
+        <text x="136" y="0">売り (Asks)</text>
+      </g>`;
+
+		// 注釈（タイトル、タイムスタンプ、比率など）
+		const nowJst = toDisplayTime(undefined) ?? nowIso();
+		// ±1%集計
+		const band = 0.01;
+		const bidBand = bidsSorted.filter(([p]) => p >= mid * (1 - band));
+		const askBand = asksSorted.filter(([p]) => p <= mid * (1 + band));
+		const bidDepth = bidBand.reduce((s, [, q]) => s + Number(q || 0), 0);
+		const askDepth = askBand.reduce((s, [, q]) => s + Number(q || 0), 0);
+		const ratio = askDepth > 0 ? bidDepth / askDepth : Infinity;
+		const headerTexts = `
+      <g font-size="12" fill="#e5e7eb">
+        <text x="${padding.left}" y="${padding.top - 36}">${formatPair(pair)} 板の深さ</text>
+        <text x="${padding.left}" y="${padding.top - 22}">${nowJst} JST</text>
+        <text x="${w - padding.right}" y="${padding.top - 8}" text-anchor="end">買い/売り 比率(±1%): ${Number.isFinite(ratio) ? ratio.toFixed(2) : '∞'}</text>
+      </g>`;
+		// 中央線ラベル（価格を見やすく）
+		const midLabel = `<text x="${x(mid)}" y="${padding.top + 12}" text-anchor="middle" fill="#e5e7eb" font-size="12">${fmtJPYCompact(mid)}</text>`;
+
+		const svg = `
+    <svg width="${w}" height="${h}" viewBox="0 0 ${w} ${h}" preserveAspectRatio="xMidYMid meet" xmlns="http://www.w3.org/2000/svg" style="background-color:#1f2937;color:#e5e7eb;font-family:sans-serif;max-width:100%;height:auto;">
+      ${legendDepth}
+      ${headerTexts}
+      <g class="axes">
+        ${yAxis}${xAxis}
+        ${yTickTexts}
+        ${xTickTexts}
+      </g>
+      <g class="plot-area">
+        ${bidFill}
+        ${askFill}
+        <path d="${bidPath}" fill="none" stroke="#10b981" stroke-width="2"/>
+        <path d="${askPath}" fill="none" stroke="#f97316" stroke-width="2"/>
+        <line x1="${x(mid)}" y1="${padding.top}" x2="${x(mid)}" y2="${h - padding.bottom}" stroke="#9ca3af" stroke-width="1" stroke-dasharray="4 4"/>
+        ${midLabel}
+      </g>
+    </svg>`;
+
+		const finalSvg = svg.replace(/\s{2,}/g, ' ').replace(/>\s+</g, '><');
+		const sizeBytes = Buffer.byteLength(finalSvg, 'utf8');
+		const preferFile = Boolean(args.preferFile);
+		const autoSave = Boolean(args.autoSave);
+
+		const meta: RenderMeta = { pair, type, bbMode: 'default', sizeBytes };
+
+		const assetsDir = path.join(process.cwd(), 'assets');
+		const filename = `depth-${pair}-${Date.now()}.svg`;
+		const outputPath = path.join(assetsDir, filename);
+
+		const summary = {
+			pair,
+			currentPrice: Math.round(mid),
+			bestBid: Math.round(bestBid),
+			bestAsk: Math.round(bestAsk),
+			bandPct: band,
+			bidDepth: Number(bidDepth.toFixed(4)),
+			askDepth: Number(askDepth.toFixed(4)),
+			ratio: Number.isFinite(ratio) ? Number(ratio.toFixed(2)) : null,
+			timestamp: nowIso(),
+		};
+
+		if (preferFile || autoSave) {
+			await fs.mkdir(assetsDir, { recursive: true });
+			await fs.writeFile(outputPath, finalSvg);
+			return ok<RenderData, RenderMeta>(
+				`${formatPair(pair)} depth chart saved to ${outputPath}`,
+				{ filePath: outputPath, svg: undefined, summary },
+				meta,
+			);
+		}
+		// inline
+		return ok<RenderData, RenderMeta>(
+			`${formatPair(pair)} depth chart rendered`,
+			{ svg: finalSvg, filePath: undefined, summary },
+			meta,
+		);
+	} catch (e: unknown) {
+		return failFromError(e, { defaultMessage: '板の深度チャート描画に失敗しました' });
+	}
+}
+
+// ── MCP ツール定義（tool-registry から自動収集） ──
+export const toolDef: ToolDefinition = {
+	name: 'render_depth_svg',
+	description: `[Depth Chart / Order Book Visualization] 板の深さチャートを SVG 生成（depth chart / order book visualization / bid-ask depth）。
+クライアント側（Claude.ai の Visualizer 等）で描画可能な場合は prepare_depth_data を優先し、本ツールは SVG/PNG ファイル保存（preferFile / autoSave）やファイル埋め込み用途にフォールバックする位置づけ。
+data.svg を HTML に埋め込んで表示。`,
+	inputSchema: z.object({
+		pair: z.string().default('btc_jpy'),
+		type: z.string().default('1day'),
+		depth: z
+			.object({ levels: z.number().int().min(10).max(1000).optional().default(200) })
+			.optional()
+			.default({ levels: 200 }),
+		preferFile: z.boolean().optional(),
+		autoSave: z.boolean().optional(),
+	}),
+	handler: async ({ pair, type, depth, preferFile, autoSave }: Record<string, unknown>) => {
+		const res = await renderDepthSvg({
+			pair: pair as Pair | undefined,
+			type: type as string | undefined,
+			depth: depth as { levels?: number } | undefined,
+			preferFile: preferFile as boolean | undefined,
+			autoSave: autoSave as boolean | undefined,
+		});
+		if (!res?.ok) return res;
+		const data = res.data || {};
+		const header = `${String(pair).toUpperCase()} Depth chart`;
+		if (data.filePath) {
+			const text = `${header}\nSaved: computer://${data.filePath}`;
+			return { content: [{ type: 'text', text }], structuredContent: { ...res } as Record<string, unknown> };
+		}
+		if (data.svg) {
+			const text = [
+				header,
+				'',
+				'--- Depth SVG ---',
+				`identifier: depth-${String(pair)}-${Date.now()}`,
+				`title: Depth ${String(pair).toUpperCase()}`,
+				'type: image/svg+xml',
+				'',
+				String(data.svg),
+			].join('\n');
+			return { content: [{ type: 'text', text }], structuredContent: { ...res } as Record<string, unknown> };
+		}
+		return { content: [{ type: 'text', text: header }], structuredContent: { ...res } as Record<string, unknown> };
+	},
+};

package/tools/trading_process/index.ts

@@ -0,0 +1,7 @@
+/**
+ * trading_process/index.ts - バックテストツールのエクスポート
+ */
+
+export * from './lib/strategies/index.js';
+export { default as runBacktest } from './run_backtest.js';
+export * from './types.js';

package/tools/trading_process/lib/backtest_engine.ts

@@ -0,0 +1,252 @@
+/**
+ * lib/backtest_engine.ts - 汎用バックテストエンジン
+ *
+ * シグナルからトレードを生成し、エクイティ・ドローダウンを計算
+ */
+
+import type { Candle, DrawdownPoint, EquityPoint, Trade } from '../types.js';
+import { calculateEquityAndDrawdown } from './equity.js';
+import type { Overlay, Signal, Strategy, StrategyConfig } from './strategies/types.js';
+
+/**
+ * バックテスト入力
+ */
+export interface BacktestEngineInput {
+	pair: string;
+	timeframe: string;
+	period: string;
+	strategy: StrategyConfig;
+	fee_bp: number;
+	execution: 't+1_open';
+}
+
+/**
+ * バックテストサマリー
+ */
+export interface BacktestEngineSummary {
+	/** 複利計算による総損益[%] */
+	total_pnl_pct: number;
+	trade_count: number;
+	win_rate: number;
+	/** 0以上。最大ドローダウン[%] */
+	max_drawdown_pct: number;
+	/** Buy&Hold との比較 */
+	buy_hold_pnl_pct: number;
+	/** 超過リターン（戦略 - Buy&Hold） */
+	excess_return_pct: number;
+	/** Profit Factor: 総利益 / 総損失（損失がない場合 null） */
+	profit_factor: number | null;
+	/** 年率換算 Sharpe Ratio（日次リターンベース） */
+	sharpe_ratio: number | null;
+	/** 1トレードあたり平均損益[%] */
+	avg_pnl_pct: number;
+}
+
+/**
+ * バックテスト結果
+ */
+export interface BacktestEngineResult {
+	input: BacktestEngineInput;
+	summary: BacktestEngineSummary;
+	trades: Trade[];
+	equity_curve: EquityPoint[];
+	drawdown_curve: DrawdownPoint[];
+	overlays: Overlay[];
+}
+
+/**
+ * シグナル配列からトレードを実行
+ *
+ * @param candles ローソク足データ
+ * @param signals シグナル配列
+ * @param fee_bp 片道手数料（basis points）
+ * @returns トレード配列
+ */
+export function executeTradesFromSignals(candles: Candle[], signals: Signal[], fee_bp: number): Trade[] {
+	const trades: Trade[] = [];
+	let position: 'none' | 'long' = 'none';
+	let entryTime = '';
+	let entryPrice = 0;
+
+	for (let i = 0; i < signals.length - 1; i++) {
+		const signal = signals[i];
+		const nextCandle = candles[i + 1];
+
+		if (!nextCandle) continue;
+
+		// t+1 open で執行
+		const execPrice = nextCandle.open;
+		const execTime = nextCandle.time;
+
+		// エントリー
+		if (position === 'none' && signal.action === 'buy') {
+			position = 'long';
+			entryTime = execTime;
+			entryPrice = execPrice;
+		}
+		// エグジット
+		else if (position === 'long' && signal.action === 'sell') {
+			// 往復手数料率（乗数）
+			const feeMultiplier = 1 - (fee_bp / 10000) * 2;
+
+			// グロスリターン乗数
+			const grossReturn = execPrice / entryPrice;
+
+			// ネットリターン乗数（手数料控除後）
+			const netReturn = grossReturn * feeMultiplier;
+
+			// 表示用パーセント
+			const pnlPct = (netReturn - 1) * 100;
+			const feePct = (1 - feeMultiplier) * 100;
+
+			trades.push({
+				entry_time: entryTime,
+				entry_price: entryPrice,
+				exit_time: execTime,
+				exit_price: execPrice,
+				pnl_pct: Number(pnlPct.toFixed(4)),
+				fee_pct: Number(feePct.toFixed(4)),
+				net_return: Number(netReturn.toFixed(6)),
+			});
+
+			position = 'none';
+		}
+	}
+
+	return trades;
+}
+
+/**
+ * Profit Factor を計算
+ * 総利益 / 総損失（abs）。損失がゼロの場合 null。
+ */
+function calcProfitFactor(trades: Trade[]): number | null {
+	let grossProfit = 0;
+	let grossLoss = 0;
+	for (const t of trades) {
+		if (t.pnl_pct > 0) grossProfit += t.pnl_pct;
+		else if (t.pnl_pct < 0) grossLoss += Math.abs(t.pnl_pct);
+	}
+	if (grossLoss === 0) return grossProfit > 0 ? null : null; // 全勝 or トレードなし
+	return Number((grossProfit / grossLoss).toFixed(2));
+}
+
+/**
+ * 年率換算 Sharpe Ratio を日次エクイティカーブから計算
+ * Sharpe = mean(daily_return) / stdev(daily_return) * sqrt(365)
+ */
+function calcSharpeRatio(equityCurve: EquityPoint[]): number | null {
+	if (equityCurve.length < 2) return null;
+
+	// 日次リターン（equity_pct の差分をパーセントで）
+	const dailyReturns: number[] = [];
+	for (let i = 1; i < equityCurve.length; i++) {
+		const prevEq = 1 + equityCurve[i - 1].equity_pct / 100;
+		const currEq = 1 + equityCurve[i].equity_pct / 100;
+		if (prevEq > 0) {
+			dailyReturns.push(currEq / prevEq - 1);
+		}
+	}
+	if (dailyReturns.length < 2) return null;
+
+	const mean = dailyReturns.reduce((a, b) => a + b, 0) / dailyReturns.length;
+	const variance = dailyReturns.reduce((sum, r) => sum + (r - mean) ** 2, 0) / (dailyReturns.length - 1);
+	const stdev = Math.sqrt(variance);
+	if (stdev === 0) return null;
+
+	// 暗号資産: 年間 365 日
+	const sharpe = (mean / stdev) * Math.sqrt(365);
+	return Number(sharpe.toFixed(2));
+}
+
+/**
+ * サマリー統計を計算（複利）
+ */
+export function calculateSummary(
+	trades: Trade[],
+	maxDrawdown: number,
+	candles: Candle[],
+	equityCurve: EquityPoint[],
+): BacktestEngineSummary {
+	// Buy&Hold の計算
+	let buyHoldPnlPct = 0;
+	if (candles.length >= 2) {
+		const firstClose = candles[0].close;
+		const lastClose = candles[candles.length - 1].close;
+		buyHoldPnlPct = ((lastClose - firstClose) / firstClose) * 100;
+	}
+
+	if (trades.length === 0) {
+		return {
+			total_pnl_pct: 0,
+			trade_count: 0,
+			win_rate: 0,
+			max_drawdown_pct: 0,
+			buy_hold_pnl_pct: Number(buyHoldPnlPct.toFixed(2)),
+			excess_return_pct: Number((-buyHoldPnlPct).toFixed(2)),
+			profit_factor: null,
+			sharpe_ratio: calcSharpeRatio(equityCurve),
+			avg_pnl_pct: 0,
+		};
+	}
+
+	// 複利で総損益を計算
+	const totalReturn = trades.reduce((acc, t) => acc * t.net_return, 1.0);
+	const totalPnlPct = (totalReturn - 1) * 100;
+
+	const wins = trades.filter((t) => t.pnl_pct > 0).length;
+	const excessReturn = totalPnlPct - buyHoldPnlPct;
+	const avgPnl = trades.reduce((s, t) => s + t.pnl_pct, 0) / trades.length;
+
+	return {
+		total_pnl_pct: Number(totalPnlPct.toFixed(2)),
+		trade_count: trades.length,
+		win_rate: Number((wins / trades.length).toFixed(4)),
+		max_drawdown_pct: Number(maxDrawdown.toFixed(2)),
+		buy_hold_pnl_pct: Number(buyHoldPnlPct.toFixed(2)),
+		excess_return_pct: Number(excessReturn.toFixed(2)),
+		profit_factor: calcProfitFactor(trades),
+		sharpe_ratio: calcSharpeRatio(equityCurve),
+		avg_pnl_pct: Number(avgPnl.toFixed(2)),
+	};
+}
+
+/**
+ * バックテストを実行
+ *
+ * @param candles ローソク足データ
+ * @param strategy 戦略オブジェクト
+ * @param input バックテスト入力パラメータ
+ * @returns バックテスト結果
+ */
+export function runBacktestEngine(
+	candles: Candle[],
+	strategy: Strategy,
+	input: BacktestEngineInput,
+): BacktestEngineResult {
+	const params = { ...strategy.defaultParams, ...input.strategy.params };
+
+	// 1. シグナル生成
+	const signals = strategy.generate(candles, params);
+
+	// 2. トレード実行
+	const trades = executeTradesFromSignals(candles, signals, input.fee_bp);
+
+	// 3. エクイティ・ドローダウン計算
+	const { equity_curve, drawdown_curve, max_drawdown } = calculateEquityAndDrawdown(trades, candles);
+
+	// 4. サマリー計算
+	const summary = calculateSummary(trades, max_drawdown, candles, equity_curve);
+
+	// 5. オーバーレイデータ取得
+	const overlays = strategy.getOverlays(candles, params);
+
+	return {
+		input,
+		summary,
+		trades,
+		equity_curve,
+		drawdown_curve,
+		overlays,
+	};
+}

package/tools/trading_process/lib/equity.ts

@@ -0,0 +1,131 @@
+/**
+ * lib/equity.ts - エクイティカーブ・ドローダウン計算
+ *
+ * 【計算仕様（含み損益ベース）】
+ *
+ * ■ エクイティ
+ * - 初期値: 1.0（= 100%）
+ * - ポジション非保有時: 前回の確定エクイティを維持
+ * - ポジション保有中: entry_price から current_close までの含み損益を反映
+ *   equity = confirmed_equity * (current_close / entry_price)
+ * - トレード決済時: confirmed_equity を更新
+ *
+ * ■ ドローダウン
+ * - 定義: (peak_equity - current_equity) / peak_equity * 100
+ * - 常に 0 以上の値
+ * - 新しいピークを更新すると DD = 0 に戻る
+ *
+ * ■ 表示用
+ * - equity_pct: (equity - 1) * 100 で表示
+ * - drawdown_pct: 0以上の下落幅[%]。表示時に -XX% とする
+ */
+
+import type { Candle, DrawdownPoint, EquityPoint, Trade } from '../types.js';
+
+export interface EquityResult {
+	equity_curve: EquityPoint[];
+	drawdown_curve: DrawdownPoint[];
+	/** 0以上。最大ドローダウン[%] */
+	max_drawdown: number;
+}
+
+interface PositionInfo {
+	isLong: boolean;
+	entryPrice: number;
+	entryEquity: number; // エントリー時点の確定エクイティ
+}
+
+/**
+ * トレード結果からエクイティカーブとドローダウンを計算（含み損益ベース）
+ *
+ * @param trades トレード配列
+ * @param candles ローソク足配列
+ * @returns エクイティカーブ、ドローダウンカーブ、最大ドローダウン
+ */
+export function calculateEquityAndDrawdown(trades: Trade[], candles: Candle[]): EquityResult {
+	// トレードを entry_time と exit_time でマッピング
+	const tradeByEntryTime = new Map<string, Trade>();
+	const tradeByExitTime = new Map<string, Trade>();
+	for (const t of trades) {
+		tradeByEntryTime.set(t.entry_time, t);
+		tradeByExitTime.set(t.exit_time, t);
+	}
+
+	const equity_curve: EquityPoint[] = [];
+	const drawdown_curve: DrawdownPoint[] = [];
+
+	let confirmedEquity = 1.0; // 確定済みエクイティ
+	let peakEquity = 1.0;
+	let maxDrawdown = 0;
+	let position: PositionInfo | null = null;
+
+	for (const candle of candles) {
+		// エントリーチェック
+		const entryTrade = tradeByEntryTime.get(candle.time);
+		if (entryTrade && !position) {
+			position = {
+				isLong: true,
+				entryPrice: entryTrade.entry_price,
+				entryEquity: confirmedEquity,
+			};
+		}
+
+		// 現在のエクイティを計算
+		let currentEquity: number;
+		if (position) {
+			// ポジション保有中: 含み損益を反映
+			const unrealizedReturn = candle.close / position.entryPrice;
+			currentEquity = position.entryEquity * unrealizedReturn;
+		} else {
+			// ポジション非保有: 確定エクイティを維持
+			currentEquity = confirmedEquity;
+		}
+
+		// エグジットチェック（エクイティ計算後に処理）
+		const exitTrade = tradeByExitTime.get(candle.time);
+		if (exitTrade && position) {
+			// 確定エクイティを更新（手数料込み）
+			confirmedEquity = position.entryEquity * exitTrade.net_return;
+			currentEquity = confirmedEquity; // 決済時は確定値を使用
+			position = null;
+		}
+
+		// 表示用エクイティ [%] = (equity - 1) * 100
+		const equityPct = (currentEquity - 1) * 100;
+		const confirmedPct = (confirmedEquity - 1) * 100;
+		equity_curve.push({
+			time: candle.time,
+			equity_pct: Number(equityPct.toFixed(4)),
+			confirmed_pct: Number(confirmedPct.toFixed(4)),
+		});
+
+		// ピーク更新
+		if (currentEquity > peakEquity) {
+			peakEquity = currentEquity;
+		}
+
+		// ドローダウン計算
+		let drawdownPct = 0;
+		if (peakEquity > 0) {
+			drawdownPct = ((peakEquity - currentEquity) / peakEquity) * 100;
+		}
+		if (drawdownPct < 0) {
+			drawdownPct = 0;
+		}
+
+		drawdown_curve.push({
+			time: candle.time,
+			drawdown_pct: Number(drawdownPct.toFixed(4)),
+		});
+
+		if (drawdownPct > maxDrawdown) {
+			maxDrawdown = drawdownPct;
+		}
+	}
+
+	return {
+		equity_curve,
+		drawdown_curve,
+		max_drawdown: Number(maxDrawdown.toFixed(4)),
+	};
+}