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
from PyQt5.Qt import Qt, QFileDialog, QThread, Q_ARG, QMetaObject

import pyqtgraph
import numpy

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()
            
    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())
        
        params = { 'num_strategies' : self.sb_strategiesNum.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'
            
        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 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)