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108 lines
4.2 KiB
108 lines
4.2 KiB
''' |
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''' |
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from PyQt5.QtWidgets import QMainWindow, QTreeWidgetItem |
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from .ui_mainwindow import Ui_MainWindow |
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from solver.solver import Solver |
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from data.series import Series |
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from data.signal import PriceComparisonSignalGenerator, RsiSignalGenerator,\ |
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AtrSignalGenerator, DayOfWeekSignalGenerator, CrtdrSignalGenerator,\ |
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AtrDeltaSignalGenerator, SmaSignalGenerator, DayOfMonthSignalGenerator,\ |
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CciSignalGenerator, BbandsSignalGenerator, PivotPointsSignalGenerator,\ |
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StochasticSignalGenerator, IntradayBarNumberSignalGenerator |
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from PyQt5.Qt import Qt, QFileDialog, QThread, Q_ARG, QMetaObject |
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import pyqtgraph |
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import numpy |
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class MainWindow(QMainWindow, Ui_MainWindow): |
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''' |
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''' |
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def __init__(self, parent=None): |
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''' |
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Constructor |
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''' |
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super().__init__(parent) |
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self.setupUi(self) |
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self.work_thread = QThread() |
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self.work_thread.start() |
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def browse(self): |
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fname = QFileDialog.getOpenFileName(self, 'Open file') |
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if fname[0] != '': |
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self.e_filename.setText(fname[0]) |
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def go(self): |
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self.tw_strategies.clear() |
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self.series = Series() |
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self.series.load_from_finam_csv(self.e_filename.text()) |
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self.solver = Solver(self.series) |
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self.solver.add_generator(PriceComparisonSignalGenerator()) |
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self.solver.add_generator(RsiSignalGenerator()) |
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self.solver.add_generator(AtrSignalGenerator()) |
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self.solver.add_generator(AtrDeltaSignalGenerator()) |
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self.solver.add_generator(DayOfWeekSignalGenerator()) |
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self.solver.add_generator(DayOfMonthSignalGenerator()) |
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self.solver.add_generator(SmaSignalGenerator()) |
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self.solver.add_generator(CrtdrSignalGenerator()) |
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self.solver.add_generator(CciSignalGenerator()) |
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self.solver.add_generator(BbandsSignalGenerator()) |
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self.solver.add_generator(PivotPointsSignalGenerator()) |
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self.solver.add_generator(StochasticSignalGenerator()) |
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self.solver.add_generator(IntradayBarNumberSignalGenerator(14)) |
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params = { 'num_strategies' : self.sb_strategiesNum.value(), |
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'max_hold_bars' : self.sb_maxHoldBars.value() } |
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if self.cb_minTradesFilter.isChecked(): |
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params['min_trades'] = self.sb_minTrades.value() |
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if self.cb_minWinRate.isChecked(): |
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params['min_win_rate'] = self.sb_minWinRate.value() |
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if self.cb_minSharpe.isChecked(): |
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params['min_sharpe'] = self.sb_minSharpe.value() |
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if self.rb_long.isChecked(): |
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params['direction'] = 'long' |
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else: |
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params['direction'] = 'short' |
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self.solver.done.connect(self.done) |
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self.solver.progress.connect(self.progress) |
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self.solver.moveToThread(self.work_thread) |
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QMetaObject.invokeMethod(self.solver, 'solve', Q_ARG(dict, params)) |
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#results = self.solver.solve(params) |
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def done(self, results): |
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for result in results: |
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item = QTreeWidgetItem(self.tw_strategies) |
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item.setText(0, result['display_name']) |
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item.setText(1, str(result['trades_number'])) |
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item.setText(2, "{:.4f}".format(result['total_pnl'])) |
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item.setText(3, "{:.2f}".format(result['profit_factor'])) |
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item.setText(4, "{:.2f}".format(result['sharpe'])) |
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item.setText(5, "{:.2f}%".format(result['avg_percentage'])) |
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item.setText(6, "{:.2f}%".format(result['win_percentage'])) |
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item.setData(0, Qt.UserRole + 1, result) |
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for i in range(0, 7): |
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self.tw_strategies.resizeColumnToContents(i) |
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def progress(self, current, total): |
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if current < total: |
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self.pb_progress.setValue(float(current) / total * 100) |
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else: |
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self.pb_progress.setValue(100) |
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def strategyClicked(self, item, column): |
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result = item.data(0, Qt.UserRole + 1) |
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pnl = numpy.cumsum([trade.pnl() for trade in result['trades']]) |
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xs = [trade.entry_bar for trade in result['trades']] |
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pyqtgraph.plot(xs, pnl) |
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for trade in result['trades']: |
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print(trade.entry_bar, trade.entry_price, trade.exit_price) |
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