edgeyopt/ui/mainwindow.py

'''
'''

from PyQt5.QtWidgets import QMainWindow, QTreeWidgetItem

from .ui_mainwindow import Ui_MainWindow
from solver.solver import Solver
from data.series import Series
from data.signal import PriceComparisonSignalGenerator, RsiSignalGenerator,\
    AtrSignalGenerator, DayOfWeekSignalGenerator, CrtdrSignalGenerator,\
    AtrDeltaSignalGenerator, SmaSignalGenerator, DayOfMonthSignalGenerator,\
    CciSignalGenerator, BbandsSignalGenerator, PivotPointsSignalGenerator,\
    StochasticSignalGenerator, IntradayBarNumberSignalGenerator,\
    GainPercentrankSignalGenerator
from PyQt5.Qt import Qt, QFileDialog, QThread, Q_ARG, QMetaObject
from PyQt5 import QtCore

import pyqtgraph
import numpy
from backtrader import strategies

class MainWindow(QMainWindow, Ui_MainWindow):
    '''
    '''

    def __init__(self, parent=None):
        '''
        Constructor
        '''
        super().__init__(parent)
        self.setupUi(self)
        self.work_thread = QThread()
        self.work_thread.start()
        
        self.timer = QtCore.QTimer(self)
        self.timer.timeout.connect(self.speed)
        
            
    def browse(self):
        fname = QFileDialog.getOpenFileName(self, 'Open file')
        if fname[0] != '':
            self.e_filename.setText(fname[0])
            
    def go(self):
        self.tw_strategies.clear()
        self.series = Series()
        self.series.load_from_finam_csv(self.e_filename.text())
        self.solver = Solver(self.series)
        self.solver.add_generator(PriceComparisonSignalGenerator())
        self.solver.add_generator(RsiSignalGenerator())
        self.solver.add_generator(AtrSignalGenerator())
        self.solver.add_generator(AtrDeltaSignalGenerator())
        self.solver.add_generator(DayOfWeekSignalGenerator())
        self.solver.add_generator(DayOfMonthSignalGenerator())
        self.solver.add_generator(SmaSignalGenerator())
        self.solver.add_generator(CrtdrSignalGenerator())
        self.solver.add_generator(CciSignalGenerator())
        self.solver.add_generator(BbandsSignalGenerator())
        self.solver.add_generator(PivotPointsSignalGenerator())
        self.solver.add_generator(StochasticSignalGenerator())
        self.solver.add_generator(IntradayBarNumberSignalGenerator(60))
        self.solver.add_generator(GainPercentrankSignalGenerator())
        
        self.timer.start(10000.0)
        
        params = { 'num_strategies' : self.sb_strategiesNum.value(),
                   'max_hold_bars' : self.sb_maxHoldBars.value() }
        if self.cb_minTradesFilter.isChecked():
            params['min_trades'] = self.sb_minTrades.value()
        
        if self.cb_minWinRate.isChecked():
            params['min_win_rate'] = self.sb_minWinRate.value()
        if self.cb_minSharpe.isChecked():
            params['min_sharpe'] = self.sb_minSharpe.value()
            
        if self.rb_long.isChecked():
            params['direction'] = 'long'
        else:
            params['direction'] = 'short'
            
        if self.cb_stopLoss.isChecked():
            params['stop_loss'] = self.sb_stopLoss.value() / 100.;
        if self.cb_takeProfit.isChecked():
            params['take_profit'] = self.sb_takeProfit.value() / 100.;
            
        self.solver.done.connect(self.done)
        self.solver.progress.connect(self.progress)
            
        self.solver.moveToThread(self.work_thread)
        QMetaObject.invokeMethod(self.solver, 'solve', Q_ARG(dict, params))
        #results = self.solver.solve(params)
    
    def done(self, results):
        for result in results:
            item = QTreeWidgetItem(self.tw_strategies)
            item.setText(0, result['display_name'])
            item.setText(1, str(result['trades_number']))
            item.setText(2, "{:.4f}".format(result['total_pnl']))
            item.setText(3, "{:.2f}".format(result['profit_factor']))
            item.setText(4, "{:.2f}".format(result['sharpe']))
            item.setText(5, "{:.2f}%".format(result['avg_percentage']))
            item.setText(6, "{:.2f}%".format(result['win_percentage']))
            item.setData(0, Qt.UserRole + 1, result)
            
        for i in range(0, 7):
            self.tw_strategies.resizeColumnToContents(i)
            
    def progress(self, current, total):
        if current < total:
            self.pb_progress.setValue(float(current) / total * 100)
        else:
            self.pb_progress.setValue(100)
            
    def speed(self):
        print(self.solver.counter)
        self.statusbar.showMessage("{:.2f} sps, {:d} total ({:.2f}% yield)".format(self.solver.counter / 10., self.solver.total_counter, 100. * float(self.tw_strategies.topLevelItemCount()) / self.solver.total_counter))
        self.solver.counter = 0
        
            
    def strategyClicked(self, item, column):
        result = item.data(0, Qt.UserRole + 1)
        pnl = numpy.cumsum([trade.pnl() for trade in result['trades']])
        xs = [trade.entry_bar for trade in result['trades']]
        pyqtgraph.plot(xs, pnl)
        
        #for trade in result['trades']:
        #    print(trade.entry_bar, trade.entry_price, trade.exit_price)