More signals and filters

data/signal.py

@@ -1,9 +1,11 @@
 '''
 '''
+import copy
 import random
 
-import talib
 import numpy
+import talib
+
 
 class Signal:
     
@@ -16,6 +18,9 @@ class Signal:
     def get_text(self):
         pass
     
+    def mutate(self, factor):
+        return copy.deepcopy(self)
+    
 class PriceComparisonSignalGenerator:
     
     def __init__(self):
@@ -59,7 +64,7 @@ class PriceComparisonSignal(Signal):
             elif self.lhs == PriceComparisonSignal.CLOSE:
                 lhs = series.get_close(index - self.lhs_shift)
             else:
-                raise Exception('Invalid lhs type')
+                raise Exception('Invalid lhs type: ' + str(self.lhs))
             
             if self.rhs == PriceComparisonSignal.OPEN:
                 rhs = series.get_open(index - self.rhs_shift)
@@ -92,6 +97,18 @@ class PriceComparisonSignal(Signal):
         else:
             return "??"
         
+    def mutate(self, factor):
+        mutation_type = random.randint(0, 3)
+        if mutation_type == 0:
+            self.lhs = random.randint(PriceComparisonSignal.OPEN, PriceComparisonSignal.CLOSE)
+        elif mutation_type == 1:
+            self.rhs = random.randint(PriceComparisonSignal.OPEN, PriceComparisonSignal.CLOSE)
+        elif mutation_type == 2:
+            self.lhs_shift = max(0, self.lhs_shift + random.randint(-int(10 * factor + 1), int(10 * factor + 1)))
+        elif mutation_type == 3:
+            self.rhs_shift = max(0, self.rhs_shift + random.randint(-int(10 * factor + 1), int(10 * factor + 1)))
+        
+        
             
 class RsiSignalGenerator:
     
@@ -99,20 +116,22 @@ class RsiSignalGenerator:
         pass
     
     def generate(self):
+        shift = random.randint(0, 5)
         period = random.randint(2, 30)
         threshold = random.randrange(1, 9) * 10
         ineq_type = random.randint(RsiSignal.LT, RsiSignal.GT)
-        return RsiSignal(period, threshold, ineq_type)
+        return RsiSignal(period, threshold, ineq_type, shift)
         
 class RsiSignal(Signal):
     
     LT = 0
     GT = 1
     
-    def __init__(self, period, threshold, inequality_type):
+    def __init__(self, period, threshold, inequality_type, shift):
         self.period = period
         self.threshold = threshold
         self.inequality_type = inequality_type
+        self.shift = shift
         if inequality_type == RsiSignal.LT:
             self.inequality_sign_str = '<'
         else:
@@ -124,7 +143,10 @@ class RsiSignal(Signal):
         rsi = talib.RSI(closes, self.period)
         
         result = [self.calc_signal(v) for v in rsi]
-        return result
+        if self.shift == 0:
+            return result
+        else:
+            return [False] * self.shift + result[:-self.shift]
     
     def calc_signal(self, value):
         if self.inequality_type == RsiSignal.LT:
@@ -133,10 +155,17 @@ class RsiSignal(Signal):
             return value > self.threshold
         
     def get_text(self):
-        return "rsi(c, " + str(self.period) + ') ' + self.inequality_sign_str + ' ' + str(self.threshold) 
+        return "rsi(c, {:d})[{:d}] {:s} {:d}".format(self.period, self.shift, self.inequality_sign_str, int(self.threshold))
+    
+    def mutate(self, factor):
+        mutation_type = random.randint(0, 2)
+        if mutation_type == 0:
+            self.period = max(2, self.period + random.randint(-int(10 * factor + 1), int(10 * factor + 1)))
+        elif mutation_type == 1:
+            self.threshold = random.randrange(1, 9) * 10
+        elif mutation_type == 2:
+            random.randint(RsiSignal.LT, RsiSignal.GT)    
     
- 
-            
 class AtrSignalGenerator:
     
     def __init__(self):
@@ -157,7 +186,7 @@ class AtrSignal(Signal):
         self.period = period
         self.threshold_factor = threshold_factor
         self.inequality_type = inequality_type
-        if inequality_type == RsiSignal.LT:
+        if inequality_type == AtrSignal.LT:
             self.inequality_sign_str = '<'
         else:
             self.inequality_sign_str = '>'
@@ -179,8 +208,454 @@ class AtrSignal(Signal):
             return value > self.threshold_factor * close
         
     def get_text(self):
-        return "atr(" + str(self.period) + ') ' + self.inequality_sign_str + ' close[0] * ' + "{:.3f}".format(self.threshold_factor) 
+        return "atr(" + str(self.period) + ') ' + self.inequality_sign_str + ' close[0] * ' + "{:.3f}".format(self.threshold_factor)
+    
+    def mutate(self, factor):
+        mutation_type = random.randint(0, 2)
+        if mutation_type == 0:
+            self.period = max(2, self.period + random.randint(-int(10 * factor + 1), int(10 * factor + 1)))
+        elif mutation_type == 1:
+            self.threshold_factor = random.randint(1, 30) * 0.001
+        elif mutation_type == 2:
+            random.randint(AtrSignal.LT, AtrSignal.GT)
+            
+class AtrDeltaSignalGenerator:
+    
+    def __init__(self):
+        pass
+    
+    def generate(self):
+        period = random.randint(2, 30)
+        threshold = random.randint(1, 15) * 0.2
+        ineq_type = random.randint(AtrDeltaSignal.LT, AtrDeltaSignal.GT)
+        sign = random.randint(AtrDeltaSignal.PLUS, AtrDeltaSignal.MINUS)
+        return AtrDeltaSignal(period, threshold, ineq_type, sign)
+            
+class AtrDeltaSignal(Signal):
+    
+    LT = 0
+    GT = 1
+    
+    PLUS = 0
+    MINUS = 1
+    
+    def __init__(self, period, threshold_factor, inequality_type, sign):
+        self.period = period
+        self.threshold_factor = threshold_factor
+        self.inequality_type = inequality_type
+        if inequality_type == AtrDeltaSignal.LT:
+            self.inequality_sign_str = '<'
+        else:
+            self.inequality_sign_str = '>'
+            
+        self.sign = sign
+        if self.sign == AtrDeltaSignal.PLUS:
+            self.sign_str = '+'
+        else:
+            self.sign_str = '-'
+        
+    def calculate(self, series):
+        closes = numpy.array([series.get_close(i) for i in range(0, series.length())])
+        highs = numpy.array([series.get_high(i) for i in range(0, series.length())])
+        lows = numpy.array([series.get_low(i) for i in range(0, series.length())])
+        
+        atr = talib.ATR(highs, lows, closes, self.period)
+        
+        result = [False]
+        
+        for i in range(1, len(closes)):
+            result.append(self.calc_signal(atr[i], closes[i], closes[i - 1]))
+        
+        return result
+    
+    def calc_signal(self, value, c1, c2):
+        if self.sign == AtrDeltaSignal.PLUS:
+            if self.inequality_type == AtrDeltaSignal.LT:
+                return c1 < c2 + value * self.threshold_factor
+            else:
+                return c1 > c2 + value * self.threshold_factor
+        else:
+            if self.inequality_type == AtrDeltaSignal.LT:
+                return c1 < c2 - value * self.threshold_factor
+            else:
+                return c1 > c2 - value * self.threshold_factor
+        
+    def get_text(self):
+        return 'close[0] {:s} close[1] {:s} atr({:d}) * {:f}'.format(self.inequality_sign_str, self.sign_str, self.period, self.threshold_factor)
+    
+    def mutate(self, factor):
+        mutation_type = random.randint(0, 2)
+        if mutation_type == 0:
+            self.period = max(2, self.period + random.randint(-int(10 * factor + 1), int(10 * factor + 1)))
+        elif mutation_type == 1:
+            self.threshold_factor = random.randint(1, 30) * 0.001
+        elif mutation_type == 2:
+            random.randint(AtrDeltaSignal.LT, AtrDeltaSignal.GT)
+    
+            
+class DayOfWeekSignalGenerator:
+    
+    def __init__(self):
+        pass
+    
+    def generate(self):
+        dow = random.randint(0, 6)
+        return DayOfWeekSignal(dow)
+        
+
+class DayOfWeekSignal(Signal):
+    
+    def __init__(self, day_of_week):
+        self.day_of_week = day_of_week
+        
+    def calculate(self, series):
+        result = []
+        for i in range(0, series.length()):
+            result.append(series.get_dt(i).date().weekday() == self.day_of_week)
+            
+        return result
+    
+    def get_text(self):
+        return "day_of_week == " + self.dow_str(self.day_of_week)
+    
+    def dow_str(self, dow):
+        return ['monday', 'tuesday', 'wednesday', 'thursday', 'friday', 'saturday', 'sunday'][dow]
+    
+    def mutate(self, factor):
+        self.day_of_week = random.randint(0, 6)
+    
+    
+class DayOfMonthSignalGenerator:
+    
+    def __init__(self):
+        pass
+    
+    def generate(self):
+        month_day = random.randint(1, 31)
+        ineq_type = random.randint(DayOfMonthSignal.LT, DayOfMonthSignal.GT)
+        return DayOfMonthSignal(month_day, ineq_type)
         
+
+class DayOfMonthSignal(Signal):
+    
+    LT = 0
+    GT = 1
     
+    def __init__(self, day_of_month, inequality_type):
+        self.day_of_month = day_of_month
+        self.inequality_type = inequality_type
+        if inequality_type == CrtdrSignal.LT:
+            self.inequality_sign_str = '<'
+        else:
+            self.inequality_sign_str = '>'
         
-        
+    def calculate(self, series):
+        result = []
+        for i in range(0, series.length()):
+            if self.inequality_type == DayOfMonthSignal.LT:
+                result.append(series.get_dt(i).date().day < self.day_of_month)
+            else:
+                result.append(series.get_dt(i).date().day > self.day_of_month)
+            
+        return result
+    
+    def get_text(self):
+        return "day_of_month {:s} {:d}".format(self.inequality_sign_str, self.day_of_month)
+    
+    def mutate(self, factor):
+        self.day_of_month = random.randint(1, 31)
+    
+            
+class CrtdrSignalGenerator:
+    
+    def __init__(self):
+        pass
+    
+    def generate(self):
+        shift = random.randint(0, 10)
+        ineq_type = random.randint(CrtdrSignal.LT, CrtdrSignal.GT)
+        threshold = 0.05 * random.randint(1, 19)
+        return CrtdrSignal(shift, threshold, ineq_type)
+    
+class CrtdrSignal(Signal):
+    
+    LT = 0
+    GT = 1
+    
+    def __init__(self, shift, threshold, inequality_type):
+        self.shift = shift
+        self.threshold = threshold
+        self.inequality_type = inequality_type
+        if inequality_type == CrtdrSignal.LT:
+            self.inequality_sign_str = '<'
+        else:
+            self.inequality_sign_str = '>'
+        
+    def calculate(self, series):
+        result = []
+        for i in range(0, series.length()):
+            try:
+                h = series.get_high(i - self.shift)
+                l = series.get_low(i - self.shift)
+                c = series.get_close(i - self.shift)
+                
+                if h > l:
+                    if self.inequality_type == CrtdrSignal.LT:
+                        result.append((c - l) / (h - l) < self.threshold)
+                    else:
+                        result.append((c - l) / (h - l) > self.threshold)
+                else:
+                    result.append(False)
+            except IndexError:
+                result.append(False)
+            
+        return result
+    
+    def get_text(self):
+        return 'crtdr[{:d}] {:s} {:.2f}'.format(self.shift, self.inequality_sign_str, self.threshold)
+    
+    def mutate(self, factor):
+        mutation_type = random.randint(0, 2)
+        if mutation_type == 0:
+            self.shift = max(0, self.shift + random.randint(-int(10 * factor + 1), int(10 * factor + 1)))
+        elif mutation_type == 1:
+            self.threshold = 0.05 * random.randint(1, 19)
+        elif mutation_type == 2:
+            random.randint(CrtdrSignal.LT, CrtdrSignal.GT)
+
+    
+class SmaSignalGenerator:
+    
+    def __init__(self):
+        pass
+    
+    def generate(self):
+        lhs = random.randint(SmaSignal.OPEN, SmaSignal.CLOSE)
+        period = random.randint(2, 30)
+        rhs = random.randint(SmaSignal.OPEN, SmaSignal.CLOSE)
+        ineq_sign = random.randint(SmaSignal.LT, SmaSignal.GT)
+        return SmaSignal(period, lhs, rhs, ineq_sign)
+            
+class SmaSignal(Signal):
+    
+    OPEN = 0
+    HIGH = 1
+    LOW = 2
+    CLOSE = 3
+    
+    LT = 0
+    GT = 1
+    
+    def __init__(self, period, lhs, rhs, inequality_type):
+        self.period = period
+        self.lhs = lhs
+        self.rhs = rhs
+        self.inequality_type = inequality_type
+        if inequality_type == SmaSignal.LT:
+            self.inequality_sign_str = '<'
+        else:
+            self.inequality_sign_str = '>'
+        
+    def calculate(self, series):
+        if self.lhs == SmaSignal.OPEN:
+            lhs = numpy.array([series.get_open(i) for i in range(0, series.length())])
+        elif self.lhs == SmaSignal.HIGH:
+            lhs = numpy.array([series.get_high(i) for i in range(0, series.length())])
+        elif self.lhs == SmaSignal.LOW:
+            lhs = numpy.array([series.get_low(i) for i in range(0, series.length())])
+        elif self.lhs == SmaSignal.CLOSE:
+            lhs = numpy.array([series.get_close(i) for i in range(0, series.length())])
+            
+        if self.rhs == SmaSignal.OPEN:
+            rhs = numpy.array([series.get_open(i) for i in range(0, series.length())])
+        elif self.rhs == SmaSignal.HIGH:
+            rhs = numpy.array([series.get_high(i) for i in range(0, series.length())])
+        elif self.rhs == SmaSignal.LOW:
+            rhs = numpy.array([series.get_low(i) for i in range(0, series.length())])
+        elif self.rhs == SmaSignal.CLOSE:
+            rhs = numpy.array([series.get_close(i) for i in range(0, series.length())])
+            
+        rhs_sma = talib.SMA(rhs, self.period)
+        
+        result = [self.calc_signal(l, r) for (l, r) in zip(lhs, rhs_sma)]
+        return result
+    
+    def calc_signal(self, l, r):
+        if self.inequality_type == SmaSignal.LT:
+            return l < r
+        else:
+            return l > r
+        
+    def get_text(self):
+        return '{:s}[0] {:s} sma({:s}, {:d})'.format(self.component_to_str(self.lhs), self.inequality_sign_str, self.component_to_str(self.rhs),  self.period) 
+    
+    def component_to_str(self, component):
+        if component == SmaSignal.OPEN:
+            return "open"
+        elif component == SmaSignal.HIGH:
+            return "high"
+        elif component == SmaSignal.LOW:
+            return "low"
+        elif component == SmaSignal.CLOSE:
+            return "close"
+        else:
+            return "??"
+        
+    
+class CciSignalGenerator:
+    
+    def __init__(self):
+        pass
+    
+    def generate(self):
+        period = random.randint(2, 30)
+        shift = random.randint(0, 5)
+        threshold = random.randint(1, 30) * 10
+        ineq_type = random.randint(CciSignal.LT, CciSignal.GT)
+        return CciSignal(shift, period, threshold, ineq_type)
+
+class CciSignal(Signal):
+    
+    LT = 0
+    GT = 1
+    
+    def __init__(self, shift, period, threshold, inequality_type):
+        self.shift = shift
+        self.period = period
+        self.threshold = threshold
+        self.inequality_type = inequality_type
+        if inequality_type == CciSignal.LT:
+            self.inequality_sign_str = '<'
+        else:
+            self.inequality_sign_str = '>'
+        
+    def calculate(self, series):
+        closes = numpy.array([series.get_close(i) for i in range(0, series.length())])
+        highs = numpy.array([series.get_high(i) for i in range(0, series.length())])
+        lows = numpy.array([series.get_low(i) for i in range(0, series.length())])
+        
+        cci = talib.CCI(highs, lows, closes, self.period)
+        
+        result = [self.calc_signal(v) for v in cci]
+        
+        if self.shift == 0:
+            return result
+        else:
+            return [False] * self.shift + result[:-self.shift]
+    
+    def calc_signal(self, value):
+        if self.inequality_type == CciSignal.LT:
+            return value < self.threshold
+        else:
+            return value > self.threshold
+        
+    def get_text(self):
+        return "cci({:d})[{:d}] {:s} {:f}".format(self.period, self.shift, self.inequality_sign_str, self.threshold)
+    
+    def mutate(self, factor):
+        mutation_type = random.randint(0, 2)
+        if mutation_type == 0:
+            self.period = max(2, self.period + random.randint(-int(10 * factor + 1), int(10 * factor + 1)))
+        elif mutation_type == 1:
+            self.threshold_factor = random.randint(1, 30) * 0.001
+        elif mutation_type == 2:
+            random.randint(AtrSignal.LT, AtrSignal.GT)
+        
+class BbandsSignalGenerator:
+    
+    def __init__(self):
+        pass
+    
+    def generate(self):
+        lhs = random.randint(BbandsSignal.OPEN, BbandsSignal.CLOSE)
+        period = random.randint(2, 30)
+        rhs = random.randint(BbandsSignal.OPEN, BbandsSignal.CLOSE)
+        ineq_sign = random.randint(BbandsSignal.LT, BbandsSignal.GT)
+        dev = random.randint(1, 6) * 0.5
+        band_type = random.randint(BbandsSignal.UP, BbandsSignal.DOWN)
+        return BbandsSignal(period, lhs, rhs, dev, ineq_sign, band_type)
+            
+            
+class BbandsSignal(Signal):
+    
+    OPEN = 0
+    HIGH = 1
+    LOW = 2
+    CLOSE = 3
+    
+    LT = 0
+    GT = 1
+    
+    UP = 0
+    DOWN = 1
+    
+    def __init__(self, period, lhs, rhs, dev, inequality_type, band_type):
+        self.period = period
+        self.lhs = lhs
+        self.rhs = rhs
+        self.dev = dev
+        self.inequality_type = inequality_type
+        self.band_type = band_type
+        
+        if inequality_type == SmaSignal.LT:
+            self.inequality_sign_str = '<'
+        else:
+            self.inequality_sign_str = '>'
+            
+        if inequality_type == BbandsSignal.UP:
+            self.band_type_str = 'up'
+        else:
+            self.band_type_str = 'down'
+        
+    def calculate(self, series):
+        if self.lhs == BbandsSignal.OPEN:
+            lhs = numpy.array([series.get_open(i) for i in range(0, series.length())])
+        elif self.lhs == BbandsSignal.HIGH:
+            lhs = numpy.array([series.get_high(i) for i in range(0, series.length())])
+        elif self.lhs == BbandsSignal.LOW:
+            lhs = numpy.array([series.get_low(i) for i in range(0, series.length())])
+        elif self.lhs == BbandsSignal.CLOSE:
+            lhs = numpy.array([series.get_close(i) for i in range(0, series.length())])
+            
+        if self.rhs == BbandsSignal.OPEN:
+            rhs = numpy.array([series.get_open(i) for i in range(0, series.length())])
+        elif self.rhs == BbandsSignal.HIGH:
+            rhs = numpy.array([series.get_high(i) for i in range(0, series.length())])
+        elif self.rhs == BbandsSignal.LOW:
+            rhs = numpy.array([series.get_low(i) for i in range(0, series.length())])
+        elif self.rhs == BbandsSignal.CLOSE:
+            rhs = numpy.array([series.get_close(i) for i in range(0, series.length())])
+            
+        (upband, _, downband) = talib.BBANDS(rhs, self.period, self.dev, self.dev)
+        
+        
+        
+        if self.band_type == BbandsSignal.UP:
+            band = upband
+        else:
+            band = downband
+        
+        result = [self.calc_signal(l, r) for (l, r) in zip(lhs, band)]
+        return result
+    
+    def calc_signal(self, l, r):
+        if self.inequality_type == BbandsSignal.LT:
+            return l < r
+        else:
+            return l > r
+        
+    def get_text(self):
+        return '{:s}[0] {:s} bband({:s}, {:s}, {:.2f}, {:d})'.format(self.component_to_str(self.lhs), self.inequality_sign_str, self.component_to_str(self.rhs), self.band_type_str, self.dev, self.period) 
+    
+    def component_to_str(self, component):
+        if component == BbandsSignal.OPEN:
+            return "open"
+        elif component == BbandsSignal.HIGH:
+            return "high"
+        elif component == BbandsSignal.LOW:
+            return "low"
+        elif component == BbandsSignal.CLOSE:
+            return "close"
+        else:
+            return "??"    
+            

execution/executor.py

@@ -15,7 +15,7 @@ class Executor(object):
         self.series = series
         self.max_hold_bars = 1
         
-    def execute(self, signals):
+    def execute(self, signals, long=True):
         self.trades = []
         sig_vectors = []
         vec_length = 0
@@ -30,6 +30,7 @@ class Executor(object):
         in_trade = False
         current_entry_price = None
         bar_counter = 0
+        entry_bar = 0
         
         for i in range(0, vec_length):
             if not in_trade:
@@ -42,11 +43,16 @@ class Executor(object):
                 if has_signal and i + 1 < vec_length:
                     in_trade = True
                     current_entry_price = self.series.get_open(i + 1)
+                    entry_bar = i + 1
                     bar_counter = 0
             else:
                 bar_counter += 1
                 if bar_counter >= self.max_hold_bars:
                     in_trade = False
-                    self.trades.append(Trade(current_entry_price, self.series.get_close(i)))
+                    if long:
+                        trade_dir = Trade.LONG
+                    else:
+                        trade_dir = Trade.SHORT
+                    self.trades.append(Trade(current_entry_price, self.series.get_close(i), entry_bar, i, trade_dir))
                     
         return self.trades

execution/trade.py

@@ -8,7 +8,7 @@ class Trade:
     LONG = 1
     SHORT = 2
 
-    def __init__(self, entry_price, exit_price, direction = LONG):
+    def __init__(self, entry_price, exit_price, entry_bar, exit_bar, direction = LONG):
         '''
         Constructor
         '''
@@ -16,6 +16,8 @@ class Trade:
         self.direction = direction
         self.entry_price = entry_price
         self.exit_price = exit_price
+        self.entry_bar = entry_bar
+        self.exit_bar = exit_bar
         
         
     def pnl(self):

solver/solver.py

@@ -6,17 +6,23 @@ from execution.executor import Executor
 import random
 from math import inf
 import numpy
+from PyQt5.Qt import pyqtSignal, QObject
+from PyQt5 import QtCore
+import talib
 
-class Solver():
+class Solver(QObject):
     '''
     
     '''
-
+    
+    progress = pyqtSignal(int, int, name='progress')
+    done = pyqtSignal(list, name='done')
 
     def __init__(self, series):
         '''
         Constructor
         '''
+        super().__init__(None)
         
         self.series = series
         self.executor = Executor(series)
@@ -24,30 +30,49 @@ class Solver():
         
     def add_generator(self, generator):
         self.generators.append(generator)
+    
+    @QtCore.pyqtSlot(dict)
+    def solve(self, params):        
+        max_signals = 5
+        max_strategies = params.get('num_strategies', 1000)
+        results = []
         
-    def solve(self):
+        min_trades = params.get('min_trades', 0)
-        max_signals = 3
+        min_win_rate = params.get('min_win_rate', 0)
-        max_strategies = 1000
+        min_sharpe = params.get('min_sharpe', 0)
-        self.results = []
         
-        for x in range(0, max_strategies):
+        is_long = params.get('direction', 'long') == 'long'
+        print(is_long)
+        while len(results) < max_strategies:
             sig_num = random.randint(1, max_signals)
             strategy = []
             for i in range(0, sig_num):
                 strategy.append(random.choice(self.generators).generate())
                 
-            trades = self.executor.execute(strategy)
+            trades = self.executor.execute(strategy, is_long)
-            result = self.evaluate_trades(trades)
+            if len(trades) >= min_trades:
-            result['display_name'] = ' && '.join([signal.get_text() for signal in strategy])
+                result = self.evaluate_trades(trades)
-            self.results.append(result)
+                if result['win_percentage'] > min_win_rate and result['sharpe'] > min_sharpe:
+                    result['strategy'] = strategy
+                    result['display_name'] = ' && '.join([signal.get_text() for signal in strategy])
+                    result['trades'] = trades
+                    results.append(result)
+                    self.progress.emit(len(results), max_strategies)
             
-        return self.results
+        self.done.emit(results)
             
     def evaluate_trades(self, trades):
         result = {}
         
         profits = [x.pnl() for x in trades]
         
+        total_won = len(list(filter(lambda x: x.pnl() > 0, trades)))
+
+        if len(trades) > 0:
+            result['win_percentage'] = total_won / len(trades) * 100
+        else:
+            result['win_percentage'] = 0
+        
         result['trades_number'] = len(trades)
         result['total_pnl'] = sum(profits)
         

ui/mainwindow.py

@@ -7,8 +7,13 @@ from .ui_mainwindow import Ui_MainWindow
 from solver.solver import Solver
 from data.series import Series
 from data.signal import PriceComparisonSignalGenerator, RsiSignalGenerator,\
-    AtrSignalGenerator
+    AtrSignalGenerator, DayOfWeekSignalGenerator, CrtdrSignalGenerator,\
-from PyQt5.Qt import Qt
+    AtrDeltaSignalGenerator, SmaSignalGenerator, DayOfMonthSignalGenerator,\
+    CciSignalGenerator, BbandsSignalGenerator
+from PyQt5.Qt import Qt, QFileDialog, QThread, Q_ARG, QMetaObject
+
+import pyqtgraph
+import numpy
 
 class MainWindow(QMainWindow, Ui_MainWindow):
     '''
@@ -20,24 +25,79 @@ class MainWindow(QMainWindow, Ui_MainWindow):
         '''
         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('/home/asakul/tmp/daily/RTSI_20000101_20171231_daily.csv')
+        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())
-        results = self.solver.solve()
+        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, str(result['total_pnl']))
+            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.getData(0, Qt.UserRole + 1)
+        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)
+        

ui/mainwindow.ui

@@ -6,7 +6,7 @@
    <rect>
     <x>0</x>
     <y>0</y>
-    <width>800</width>
+    <width>1041</width>
     <height>600</height>
    </rect>
   </property>
@@ -27,7 +27,87 @@
     <property name="bottomMargin">
      <number>2</number>
     </property>
-    <item row="0" column="0">
+    <item row="1" column="6">
+     <widget class="QCheckBox" name="cb_minSharpe">
+      <property name="text">
+       <string>Min. sharpe</string>
+      </property>
+     </widget>
+    </item>
+    <item row="5" column="0" colspan="10">
+     <widget class="QProgressBar" name="pb_progress">
+      <property name="value">
+       <number>0</number>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="5">
+     <widget class="QSpinBox" name="sb_minWinRate">
+      <property name="maximum">
+       <number>100</number>
+      </property>
+      <property name="value">
+       <number>50</number>
+      </property>
+     </widget>
+    </item>
+    <item row="0" column="1" colspan="8">
+     <widget class="QLineEdit" name="e_filename"/>
+    </item>
+    <item row="1" column="0">
+     <widget class="QLabel" name="label_2">
+      <property name="text">
+       <string>#Strategies to generate:</string>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="3">
+     <widget class="QSpinBox" name="sb_minTrades">
+      <property name="minimum">
+       <number>1</number>
+      </property>
+      <property name="maximum">
+       <number>10000</number>
+      </property>
+      <property name="value">
+       <number>100</number>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="9">
+     <widget class="QPushButton" name="e_go">
+      <property name="text">
+       <string>Go</string>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="1">
+     <widget class="QSpinBox" name="sb_strategiesNum">
+      <property name="minimum">
+       <number>100</number>
+      </property>
+      <property name="maximum">
+       <number>10000</number>
+      </property>
+      <property name="value">
+       <number>1000</number>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="8">
+     <spacer name="horizontalSpacer">
+      <property name="orientation">
+       <enum>Qt::Horizontal</enum>
+      </property>
+      <property name="sizeHint" stdset="0">
+       <size>
+        <width>40</width>
+        <height>20</height>
+       </size>
+      </property>
+     </spacer>
+    </item>
+    <item row="4" column="0" colspan="10">
      <widget class="QTreeWidget" name="tw_strategies">
       <property name="sortingEnabled">
        <bool>true</bool>
@@ -62,6 +142,59 @@
         <string>Avg. %</string>
        </property>
       </column>
+      <column>
+       <property name="text">
+        <string>Win %</string>
+       </property>
+      </column>
+     </widget>
+    </item>
+    <item row="2" column="0">
+     <widget class="QRadioButton" name="rb_long">
+      <property name="text">
+       <string>Long</string>
+      </property>
+      <property name="checked">
+       <bool>true</bool>
+      </property>
+     </widget>
+    </item>
+    <item row="0" column="0">
+     <widget class="QLabel" name="label">
+      <property name="text">
+       <string>Data source:</string>
+      </property>
+     </widget>
+    </item>
+    <item row="0" column="9">
+     <widget class="QPushButton" name="b_browse">
+      <property name="text">
+       <string>Browse</string>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="2">
+     <widget class="QCheckBox" name="cb_minTradesFilter">
+      <property name="text">
+       <string>Min. trades:</string>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="4">
+     <widget class="QCheckBox" name="cb_minWinRate">
+      <property name="text">
+       <string>Min. win rate</string>
+      </property>
+     </widget>
+    </item>
+    <item row="1" column="7">
+     <widget class="QDoubleSpinBox" name="sb_minSharpe"/>
+    </item>
+    <item row="3" column="0">
+     <widget class="QRadioButton" name="rb_short">
+      <property name="text">
+       <string>Short</string>
+      </property>
      </widget>
     </item>
    </layout>
@@ -71,7 +204,7 @@
     <rect>
      <x>0</x>
      <y>0</y>
-     <width>800</width>
+     <width>1041</width>
      <height>27</height>
     </rect>
    </property>
@@ -96,8 +229,42 @@
     </hint>
    </hints>
   </connection>
+  <connection>
+   <sender>b_browse</sender>
+   <signal>clicked()</signal>
+   <receiver>MainWindow</receiver>
+   <slot>browse()</slot>
+   <hints>
+    <hint type="sourcelabel">
+     <x>776</x>
+     <y>42</y>
+    </hint>
+    <hint type="destinationlabel">
+     <x>706</x>
+     <y>56</y>
+    </hint>
+   </hints>
+  </connection>
+  <connection>
+   <sender>e_go</sender>
+   <signal>clicked()</signal>
+   <receiver>MainWindow</receiver>
+   <slot>go()</slot>
+   <hints>
+    <hint type="sourcelabel">
+     <x>768</x>
+     <y>69</y>
+    </hint>
+    <hint type="destinationlabel">
+     <x>680</x>
+     <y>84</y>
+    </hint>
+   </hints>
+  </connection>
  </connections>
  <slots>
   <slot>strategyClicked(QTreeWidgetItem*,int)</slot>
+  <slot>browse()</slot>
+  <slot>go()</slot>
  </slots>
 </ui>

ui/ui_mainwindow.py

@@ -11,18 +11,75 @@ from PyQt5 import QtCore, QtGui, QtWidgets
 class Ui_MainWindow(object):
     def setupUi(self, MainWindow):
         MainWindow.setObjectName("MainWindow")
-        MainWindow.resize(800, 600)
+        MainWindow.resize(1041, 600)
         self.centralwidget = QtWidgets.QWidget(MainWindow)
         self.centralwidget.setObjectName("centralwidget")
         self.gridLayout = QtWidgets.QGridLayout(self.centralwidget)
         self.gridLayout.setContentsMargins(2, 2, 2, 2)
         self.gridLayout.setObjectName("gridLayout")
+        self.cb_minSharpe = QtWidgets.QCheckBox(self.centralwidget)
+        self.cb_minSharpe.setObjectName("cb_minSharpe")
+        self.gridLayout.addWidget(self.cb_minSharpe, 1, 6, 1, 1)
+        self.pb_progress = QtWidgets.QProgressBar(self.centralwidget)
+        self.pb_progress.setProperty("value", 0)
+        self.pb_progress.setObjectName("pb_progress")
+        self.gridLayout.addWidget(self.pb_progress, 5, 0, 1, 10)
+        self.sb_minWinRate = QtWidgets.QSpinBox(self.centralwidget)
+        self.sb_minWinRate.setMaximum(100)
+        self.sb_minWinRate.setProperty("value", 50)
+        self.sb_minWinRate.setObjectName("sb_minWinRate")
+        self.gridLayout.addWidget(self.sb_minWinRate, 1, 5, 1, 1)
+        self.e_filename = QtWidgets.QLineEdit(self.centralwidget)
+        self.e_filename.setObjectName("e_filename")
+        self.gridLayout.addWidget(self.e_filename, 0, 1, 1, 8)
+        self.label_2 = QtWidgets.QLabel(self.centralwidget)
+        self.label_2.setObjectName("label_2")
+        self.gridLayout.addWidget(self.label_2, 1, 0, 1, 1)
+        self.sb_minTrades = QtWidgets.QSpinBox(self.centralwidget)
+        self.sb_minTrades.setMinimum(1)
+        self.sb_minTrades.setMaximum(10000)
+        self.sb_minTrades.setProperty("value", 100)
+        self.sb_minTrades.setObjectName("sb_minTrades")
+        self.gridLayout.addWidget(self.sb_minTrades, 1, 3, 1, 1)
+        self.e_go = QtWidgets.QPushButton(self.centralwidget)
+        self.e_go.setObjectName("e_go")
+        self.gridLayout.addWidget(self.e_go, 1, 9, 1, 1)
+        self.sb_strategiesNum = QtWidgets.QSpinBox(self.centralwidget)
+        self.sb_strategiesNum.setMinimum(100)
+        self.sb_strategiesNum.setMaximum(10000)
+        self.sb_strategiesNum.setProperty("value", 1000)
+        self.sb_strategiesNum.setObjectName("sb_strategiesNum")
+        self.gridLayout.addWidget(self.sb_strategiesNum, 1, 1, 1, 1)
+        spacerItem = QtWidgets.QSpacerItem(40, 20, QtWidgets.QSizePolicy.Expanding, QtWidgets.QSizePolicy.Minimum)
+        self.gridLayout.addItem(spacerItem, 1, 8, 1, 1)
         self.tw_strategies = QtWidgets.QTreeWidget(self.centralwidget)
         self.tw_strategies.setObjectName("tw_strategies")
-        self.gridLayout.addWidget(self.tw_strategies, 0, 0, 1, 1)
+        self.gridLayout.addWidget(self.tw_strategies, 4, 0, 1, 10)
+        self.rb_long = QtWidgets.QRadioButton(self.centralwidget)
+        self.rb_long.setChecked(True)
+        self.rb_long.setObjectName("rb_long")
+        self.gridLayout.addWidget(self.rb_long, 2, 0, 1, 1)
+        self.label = QtWidgets.QLabel(self.centralwidget)
+        self.label.setObjectName("label")
+        self.gridLayout.addWidget(self.label, 0, 0, 1, 1)
+        self.b_browse = QtWidgets.QPushButton(self.centralwidget)
+        self.b_browse.setObjectName("b_browse")
+        self.gridLayout.addWidget(self.b_browse, 0, 9, 1, 1)
+        self.cb_minTradesFilter = QtWidgets.QCheckBox(self.centralwidget)
+        self.cb_minTradesFilter.setObjectName("cb_minTradesFilter")
+        self.gridLayout.addWidget(self.cb_minTradesFilter, 1, 2, 1, 1)
+        self.cb_minWinRate = QtWidgets.QCheckBox(self.centralwidget)
+        self.cb_minWinRate.setObjectName("cb_minWinRate")
+        self.gridLayout.addWidget(self.cb_minWinRate, 1, 4, 1, 1)
+        self.sb_minSharpe = QtWidgets.QDoubleSpinBox(self.centralwidget)
+        self.sb_minSharpe.setObjectName("sb_minSharpe")
+        self.gridLayout.addWidget(self.sb_minSharpe, 1, 7, 1, 1)
+        self.rb_short = QtWidgets.QRadioButton(self.centralwidget)
+        self.rb_short.setObjectName("rb_short")
+        self.gridLayout.addWidget(self.rb_short, 3, 0, 1, 1)
         MainWindow.setCentralWidget(self.centralwidget)
         self.menubar = QtWidgets.QMenuBar(MainWindow)
-        self.menubar.setGeometry(QtCore.QRect(0, 0, 800, 27))
+        self.menubar.setGeometry(QtCore.QRect(0, 0, 1041, 27))
         self.menubar.setObjectName("menubar")
         MainWindow.setMenuBar(self.menubar)
         self.statusbar = QtWidgets.QStatusBar(MainWindow)
@@ -31,11 +88,16 @@ class Ui_MainWindow(object):
 
         self.retranslateUi(MainWindow)
         self.tw_strategies.itemClicked['QTreeWidgetItem*','int'].connect(MainWindow.strategyClicked)
+        self.b_browse.clicked.connect(MainWindow.browse)
+        self.e_go.clicked.connect(MainWindow.go)
         QtCore.QMetaObject.connectSlotsByName(MainWindow)
 
     def retranslateUi(self, MainWindow):
         _translate = QtCore.QCoreApplication.translate
         MainWindow.setWindowTitle(_translate("MainWindow", "MainWindow"))
+        self.cb_minSharpe.setText(_translate("MainWindow", "Min. sharpe"))
+        self.label_2.setText(_translate("MainWindow", "#Strategies to generate:"))
+        self.e_go.setText(_translate("MainWindow", "Go"))
         self.tw_strategies.setSortingEnabled(True)
         self.tw_strategies.headerItem().setText(0, _translate("MainWindow", "Strategy"))
         self.tw_strategies.headerItem().setText(1, _translate("MainWindow", "Trades #"))
@@ -43,4 +105,11 @@ class Ui_MainWindow(object):
         self.tw_strategies.headerItem().setText(3, _translate("MainWindow", "PF"))
         self.tw_strategies.headerItem().setText(4, _translate("MainWindow", "Sharpe"))
         self.tw_strategies.headerItem().setText(5, _translate("MainWindow", "Avg. %"))
+        self.tw_strategies.headerItem().setText(6, _translate("MainWindow", "Win %"))
+        self.rb_long.setText(_translate("MainWindow", "Long"))
+        self.label.setText(_translate("MainWindow", "Data source:"))
+        self.b_browse.setText(_translate("MainWindow", "Browse"))
+        self.cb_minTradesFilter.setText(_translate("MainWindow", "Min. trades:"))
+        self.cb_minWinRate.setText(_translate("MainWindow", "Min. win rate"))
+        self.rb_short.setText(_translate("MainWindow", "Short"))