PyQt5_pyqtgraph例子_净值曲线加回撤曲线

目录

效果:

代码:

使用:

---

效果:

净值曲线

添加回撤曲线

绿色区域是最大回撤所在区间，红色竖线是最大回撤所在位置

代码:

import sys
import pandas as pd
from PyQt5 import QtWidgets,QtGui
from PyQt5.QtCore import Qt
from typing import Any,Dict
import pyqtgraph as pg
pg.setConfigOption('background', 'w')
pg.setConfigOption('foreground', 'k')

自定义横坐标控件

class RotateAxisItem(pg.AxisItem):
    def drawPicture(self, p, axisSpec, tickSpecs, textSpecs):
        p.setRenderHint(p.Antialiasing,False)
        p.setRenderHint(p.TextAntialiasing,True)

        ## draw long line along axis
        pen,p1,p2 = axisSpec
        p.setPen(pen)
        p.drawLine(p1,p2)
        p.translate(0.5,0)  ## resolves some damn pixel ambiguity

        ## draw ticks
        for pen,p1,p2 in tickSpecs:
            p.setPen(pen)
            p.drawLine(p1,p2)

        ## draw all text
        # if self.tickFont is not None:
        #     p.setFont(self.tickFont)
        p.setPen(self.pen())
        for rect,flags,text in textSpecs:
            # this is the important part
            p.save()
            p.translate(rect.x(),rect.y())
            p.rotate(-30)
            p.drawText(-rect.width(),rect.height(),rect.width(),rect.height(),flags,text)
            # restoring the painter is *required*!!!
            p.restore()

显示净值曲线与回撤曲线控件

class PyQtGraphWidget(QtWidgets.QWidget):
    def __init__(self):
        super().__init__()
        self.init_data()
        self.init_ui()
    def init_data(self):
        self.color_line = (30,144,255)
        self.color_dp_line = (255,20,147)
        self.color_dp_brush = (255,20,147)
        self.color_dp_max = (220,20,60)
        self.color_dp_max_duration = (0,100,0)
        # 回撤曲线的板板
        self.dp = None
        pass
    def init_ui(self):
        self.title_label = QtWidgets.QLabel('折线图')
        self.title_label.setAlignment(Qt.AlignCenter)

        add_drawdown_btn = QtWidgets.QPushButton('显示回撤曲线')
        add_drawdown_btn.clicked.connect(self.add_drawdown_btn_clicked)
        remove_drawdown_btn = QtWidgets.QPushButton('去除回撤曲线')
        remove_drawdown_btn.clicked.connect(self.remove_drawdown_btn_clicked)
        layout_btn = QtWidgets.QHBoxLayout()
        layout_btn.addWidget(add_drawdown_btn)
        layout_btn.addWidget(remove_drawdown_btn)
        layout_btn.addStretch(1)

        xax = RotateAxisItem(orientation='bottom')
        xax.setHeight(h=70)
        self.pw = pg.PlotWidget(axisItems={'bottom': xax})
        self.pw.setMouseEnabled(x=True, y=False)
        # self.pw.enableAutoRange(x=False,y=True)
        self.pw.setAutoVisible(x=False, y=True)
        layout = QtWidgets.QVBoxLayout()
        layout.addWidget(self.title_label)
        layout.addLayout(layout_btn)
        layout.addWidget(self.pw)
        self.setLayout(layout)
        pass
    def save_data(self,data:Dict[str,Any]):
        self.for_line_data = data['for_line_data']
        self.for_drawdown_data = data['for_drawdown_data']
        pass
    def set_data(self,data:Dict[str,Any]):
        '''折线图'''
        self.clear_content()
        title_str = data['title_str']
        xTick_show = [data['xTick_show']]
        xTick = data['xTick']
        x = data['x']
        y = data['y']
        y_name = data['y_name']

        self.x = x
        self.y_data = y
        self.xTick = xTick
        self.y_name = y_name

        self.title_label.setText(title_str)
        xax = self.pw.getAxis('bottom')
        xax.setTicks(xTick_show)

        self.pw.plot(x, y, connect='finite', pen=pg.mkPen({'color': self.color_line, 'width': 4}), name=self.y_name)

        self.vLine = pg.InfiniteLine(angle=90, movable=False)
        self.hLine = pg.InfiniteLine(angle=0, movable=False)
        self.label = pg.TextItem()

        self.pw.addItem(self.vLine, ignoreBounds=True)
        self.pw.addItem(self.hLine, ignoreBounds=True)
        self.pw.addItem(self.label, ignoreBounds=True)
        self.vb = self.pw.getViewBox()
        self.proxy = pg.SignalProxy(self.pw.scene().sigMouseMoved, rateLimit=60, slot=self.mouseMoved)
        # 显示整条折线图
        self.pw.enableAutoRange()
        pass
    def set_drawdown(self, data: Dict[str, Any]):
        '''放置回撤曲线'''
        y = data['y']
        max_pullback_index_point = data['max_pullback_index_point']
        max_pullback_str_point = data['max_pullback_str_point']
        max_pullback_point = data['max_pullback_point']
        self.pw.setLabel('right','回撤率')
        self.dp = pg.ViewBox()
        self.dp.setMouseEnabled(x=True,y=False)
        self.dp.setAutoVisible(x=False,y=True)
        self.pw.scene().addItem(self.dp)
        self.pw.getAxis('right').linkToView(self.dp)
        self.dp.setXLink(self.pw)
        dp_curve = pg.PlotCurveItem(y=y,pen=pg.mkPen({'color':self.color_dp_line,'width':2}),fillLevel=0.3,brush=(self.color_dp_brush[0],self.color_dp_brush[1],self.color_dp_brush[2],100),connect='finite')
        self.dp.addItem(dp_curve)
        lr = pg.LinearRegionItem(max_pullback_index_point,movable=False,brush=(self.color_dp_max_duration[0],self.color_dp_max_duration[1],self.color_dp_max_duration[2],100))
        lr.setZValue(-100)
        font = QtGui.QFont()
        font.setPixelSize(9)
        label_l = pg.InfLineLabel(lr.lines[0], max_pullback_str_point[0], position=0.90, rotateAxis=(1, 0), anchor=(1, 1),
                                  color=(128, 0, 0))
        label_l.setFont(font)
        label_r = pg.InfLineLabel(lr.lines[1], max_pullback_str_point[1], position=0.90, rotateAxis=(1, 0), anchor=(1, 1),
                                  color=(128, 0, 0))
        label_r.setFont(font)
        self.dp.addItem(lr)
        inf = pg.InfiniteLine(pos=(max_pullback_point[0],0),movable=False,angle=90,pen=pg.mkPen({'color':self.color_dp_max,'width':4}),label=max_pullback_point[1],labelOpts={'position':0.05,'color': (0, 0, 0), 'movable': True})
        inf.setZValue(-90)
        self.dp.addItem(inf)
        self.updateViews()
        self.vb = self.pw.getViewBox()
        self.vb.sigResized.connect(self.updateViews)
        self.pw.enableAutoRange()
        pass
    def remove_drawdown(self):
        if self.dp:
            self.pw.hideAxis('right')
            self.vb.sigResized.disconnect(self.updateViews)
            self.pw.scene().removeItem(self.dp)
            self.dp.clear()
            self.dp = None
        pass
    def mouseMoved(self,evt):
        pos = evt[0]
        if self.pw.sceneBoundingRect().contains(pos):
            mousePoint = self.vb.mapSceneToView(pos)
            index = int(mousePoint.x())
            if index >= 0 and index < len(self.y_data):
                x_str = self.xTick[index][1]

                y_str_html = ''
                y_str_html = '&nbsp;' + str(self.y_data[index])
                html_str = '<p style="color:black;font-size:18px;font-weight:bold;">&nbsp;' + x_str +'&nbsp;'+y_str_html+ '</p>'
                self.label.setHtml(html_str)
                self.label.setPos(mousePoint.x(), mousePoint.y())
            self.vLine.setPos(mousePoint.x())
            self.hLine.setPos(mousePoint.y())
        pass
    def updateViews(self):
        if self.dp:
            self.dp.setGeometry(self.pw.getViewBox().sceneBoundingRect())
            self.dp.linkedViewChanged(self.pw.getViewBox(), self.dp.XAxis)
    def clear_content(self):
        if self.dp:
            self.pw.hideAxis('right')
            self.vb.sigResized.disconnect(self.updateViews)
            self.pw.scene().removeItem(self.dp)
            self.dp.clear()
            self.vb.clear()
            self.dp = None
            pass
        self.pw.clear()
    def add_drawdown_btn_clicked(self):
        self.set_drawdown(self.for_drawdown_data)
    def remove_drawdown_btn_clicked(self):
        self.remove_drawdown()
    pass

使用:

if __name__ == '__main__':
    app = QtWidgets.QApplication(sys.argv)

    file_path = r'E:/temp088/600004.csv'
    df_004 = pd.read_csv(file_path,encoding='utf-8')
    df_004['ret'] = df_004['closePrice'].pct_change()
    # 计算净值
    df_004['wealth'] = 1*(1+df_004['ret']).cumprod()
    # 前一个最大值
    df_004['previous_max'] = df_004['wealth'].cummax()
    # 回撤率
    df_004['drawdowns'] = (df_004['wealth']-df_004['previous_max'])/df_004['previous_max']
    # 标记每次回撤的转折点
    df_004['d_mark'] = df_004['previous_max'].diff()
    df_004_00 = df_004[df_004['d_mark']!=0]
    df_004_00['d_mark_index'] = df_004_00.index

    # 寻找到最大的回撤率
    max_pullback_index = df_004['drawdowns'].idxmin() # 回撤率都为负数，所以最大回撤率就是最小值
    max_pullback_index_str_date = df_004.loc[max_pullback_index]['tradeDate']
    max_pullback_value = df_004['drawdowns'].min()
    max_pullback_value = round(max_pullback_value*100,2)
    max_pullback_str = f"最大回撤:{max_pullback_index_str_date} {max_pullback_value}%"
    # 寻找最大回撤率所在区间
    max_pullback_start_one = df_004_00[df_004_00.index<max_pullback_index].iloc[-1]
    max_pullback_start_index = max_pullback_start_one['d_mark_index']
    max_pullback_start_str = max_pullback_start_one['tradeDate']

    max_pullback_end_one = df_004_00[df_004_00.index>max_pullback_index].iloc[0]
    max_pullback_end_index = max_pullback_end_one['d_mark_index']
    max_pullback_end_str = max_pullback_end_one['tradeDate']

    # ---
    xTick_show = []
    xTick = []
    x = []
    y = []
    y_name = '净值'
    temp_dur = int(len(df_004)/20)
    for i,row in df_004.iterrows():
        xTick.append((i,row['tradeDate']))
        x.append(i)
        y.append(row['wealth'])
        if i % temp_dur == 0:
            xTick_show.append((i,row['tradeDate']))
        pass

    for_line_data = {}
    for_drawdown_data = {}

    title_str = '600004净值与回撤曲线'
    for_line_data['title_str'] = title_str
    for_line_data['xTick_show'] = xTick_show
    for_line_data['xTick'] = xTick
    for_line_data['x'] = x
    for_line_data['y'] = y
    for_line_data['y_name'] = y_name

    for_drawdown_data['y'] = df_004['drawdowns'].values.tolist()
    for_drawdown_data['max_pullback_index_point'] = (max_pullback_start_index,max_pullback_end_index)
    for_drawdown_data['max_pullback_str_point'] = (max_pullback_start_str,max_pullback_end_str)
    for_drawdown_data['max_pullback_point'] = (max_pullback_index,max_pullback_str)

    pre_data = {}
    pre_data['for_line_data'] = for_line_data
    pre_data['for_drawdown_data'] = for_drawdown_data
    temp_w = PyQtGraphWidget()
    temp_w.show()
    temp_w.save_data(pre_data)
    temp_w.set_data(for_line_data)
    sys.exit(app.exec_())
    pass