IntradayBarNumber signal

data/signal.py

@@ -7,7 +7,6 @@ import numpy
 import talib
 from scipy.integrate.tests.test_odeint_jac import rhs
 
-
 class Signal:
     
     def __init__(self):
@@ -852,4 +851,60 @@ class StochasticSignal(Signal):
     def get_text(self):
         return "stoch(c, {:d})[{:d}] {:s} {:d}".format(self.period, self.shift, self.inequality_sign_str, int(self.threshold))
     
+class IntradayBarNumberSignalGenerator:
+    
+    def __init__(self, max_ibn):
+        self.max_ibn = max_ibn
+    
+    def generate(self):
+        ibn = random.randint(0, self.max_ibn)
+        ineq_type = random.randint(IntradayBarNumberSignal.LT, IntradayBarNumberSignal.EQ)
+        return IntradayBarNumberSignal(ibn, ineq_type)
+    
+    def id(self):
+        return 'IBN'
+        
+    
+class IntradayBarNumberSignal(Signal):
+    
+    LT = 0
+    GT = 1
+    EQ = 2
+    
+    def __init__(self, ibn, inequality_type):
+        self.ibn = ibn
+        self.inequality_type = inequality_type
+        if inequality_type == IntradayBarNumberSignal.LT:
+            self.inequality_sign_str = '<'
+        elif inequality_type == IntradayBarNumberSignal.GT:
+            self.inequality_sign_str = '>'
+        else:
+            self.inequality_sign_str = '=='
+        
+    def calculate(self, series):
+        ibn = []
+        cur_date = None
+        for i in range(0, series.length()):
+            if series.get_dt(i).date() != cur_date:
+                cur_date = series.get_dt(i).date()
+                ctr = 0
+            else:
+                ctr += 1
+            ibn.append(ctr)
+            
+        result = []
+        for i in ibn:
+            result.append(self.calc_signal(i))
+        return result
+    
+    def calc_signal(self, ibn):
+        if self.inequality_type == IntradayBarNumberSignal.LT:
+            return ibn < self.ibn
+        elif self.inequality_type == IntradayBarNumberSignal.GT:
+            return ibn > self.ibn
+        elif self.inequality_type == IntradayBarNumberSignal.EQ:
+            return ibn == self.ibn
+    
+    def get_text(self):
+        return "ibn {:s} {:d}".format(self.inequality_sign_str, self.ibn)
     

execution/executor.py

@@ -8,12 +8,12 @@ class Executor(object):
     '''
 
 
-    def __init__(self, series):
+    def __init__(self, series, max_hold_bars):
         '''
         Constructor
         '''
         self.series = series
-        self.max_hold_bars = 1
+        self.max_hold_bars = max_hold_bars
         
     def execute(self, signals, long=True):
         self.trades = []

solver/solver.py

@@ -25,7 +25,6 @@ class Solver(QObject):
         super().__init__(None)
         
         self.series = series
-        self.executor = Executor(series)
         self.generators = []
         
     def add_generator(self, generator):
@@ -34,6 +33,8 @@ class Solver(QObject):
     @QtCore.pyqtSlot(dict)
     def solve(self, params):        
         max_signals = 5
+        max_hold_bars = params.get('max_hold_bars', 1)
+        self.executor = Executor(self.series, max_hold_bars)
         max_strategies = params.get('num_strategies', 1000)
         results = []
         

ui/mainwindow.py

@@ -10,7 +10,7 @@ from data.signal import PriceComparisonSignalGenerator, RsiSignalGenerator,\
     AtrSignalGenerator, DayOfWeekSignalGenerator, CrtdrSignalGenerator,\
     AtrDeltaSignalGenerator, SmaSignalGenerator, DayOfMonthSignalGenerator,\
     CciSignalGenerator, BbandsSignalGenerator, PivotPointsSignalGenerator,\
-    StochasticSignalGenerator
+    StochasticSignalGenerator, IntradayBarNumberSignalGenerator
 from PyQt5.Qt import Qt, QFileDialog, QThread, Q_ARG, QMetaObject
 
 import pyqtgraph
@@ -51,8 +51,10 @@ class MainWindow(QMainWindow, Ui_MainWindow):
         self.solver.add_generator(BbandsSignalGenerator())
         self.solver.add_generator(PivotPointsSignalGenerator())
         self.solver.add_generator(StochasticSignalGenerator())
+        self.solver.add_generator(IntradayBarNumberSignalGenerator(14))
         
-        params = { 'num_strategies' : self.sb_strategiesNum.value() }
+        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()
         

ui/mainwindow.ui

@@ -84,7 +84,7 @@
     <item row="1" column="1">
      <widget class="QSpinBox" name="sb_strategiesNum">
       <property name="minimum">
-       <number>100</number>
+       <number>1</number>
       </property>
       <property name="maximum">
        <number>10000</number>
@@ -197,6 +197,20 @@
       </property>
      </widget>
     </item>
+    <item row="2" column="2">
+     <widget class="QLabel" name="label_3">
+      <property name="text">
+       <string>Max hold bars</string>
+      </property>
+     </widget>
+    </item>
+    <item row="2" column="3">
+     <widget class="QSpinBox" name="sb_maxHoldBars">
+      <property name="minimum">
+       <number>1</number>
+      </property>
+     </widget>
+    </item>
    </layout>
   </widget>
   <widget class="QMenuBar" name="menubar">

ui/ui_mainwindow.py

@@ -45,7 +45,7 @@ class Ui_MainWindow(object):
         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.setMinimum(1)
         self.sb_strategiesNum.setMaximum(10000)
         self.sb_strategiesNum.setProperty("value", 1000)
         self.sb_strategiesNum.setObjectName("sb_strategiesNum")
@@ -77,6 +77,13 @@ class Ui_MainWindow(object):
         self.rb_short = QtWidgets.QRadioButton(self.centralwidget)
         self.rb_short.setObjectName("rb_short")
         self.gridLayout.addWidget(self.rb_short, 3, 0, 1, 1)
+        self.label_3 = QtWidgets.QLabel(self.centralwidget)
+        self.label_3.setObjectName("label_3")
+        self.gridLayout.addWidget(self.label_3, 2, 2, 1, 1)
+        self.sb_maxHoldBars = QtWidgets.QSpinBox(self.centralwidget)
+        self.sb_maxHoldBars.setMinimum(1)
+        self.sb_maxHoldBars.setObjectName("sb_maxHoldBars")
+        self.gridLayout.addWidget(self.sb_maxHoldBars, 2, 3, 1, 1)
         MainWindow.setCentralWidget(self.centralwidget)
         self.menubar = QtWidgets.QMenuBar(MainWindow)
         self.menubar.setGeometry(QtCore.QRect(0, 0, 1041, 27))
@@ -112,4 +119,5 @@ class Ui_MainWindow(object):
         self.cb_minTradesFilter.setText(_translate("MainWindow", "Min. trades:"))
         self.cb_minWinRate.setText(_translate("MainWindow", "Min. win rate"))
         self.rb_short.setText(_translate("MainWindow", "Short"))
+        self.label_3.setText(_translate("MainWindow", "Max hold bars"))