ferestre

scripts/generate_template.py

@@ -14,7 +14,8 @@ Rulare:
 
 from __future__ import annotations
 
-from datetime import date, time
+import shutil
+from datetime import date, datetime, time, timedelta
 from pathlib import Path
 
 from openpyxl import Workbook
@@ -71,6 +72,37 @@ STRAT_LABELS = {
 # Trades sheet — schema
 # ---------------------------------------------------------------------------
 
+def _candidate_windows() -> list[tuple[str, time, time]]:
+    """Ferestre suprapuse intre 16:30 si 23:00, evaluate pe ora Romaniei."""
+    base = datetime(2000, 1, 1, 16, 30)
+    last_start = datetime(2000, 1, 1, 22, 0)
+    hard_ends = [
+        datetime(2000, 1, 1, 22, 45),
+        datetime(2000, 1, 1, 23, 0),
+    ]
+    durations = [timedelta(minutes=m) for m in (60, 90, 120, 180)]
+    seen: set[tuple[time, time]] = set()
+    windows: list[tuple[str, time, time]] = []
+
+    start = base
+    while start <= last_start:
+        ends = [start + d for d in durations]
+        ends += [end for end in hard_ends if end - start >= timedelta(minutes=60)]
+        for end in ends:
+            if end > hard_ends[-1]:
+                continue
+            key = (start.time(), end.time())
+            if key in seen:
+                continue
+            seen.add(key)
+            windows.append((f"{start:%H:%M}-{end:%H:%M}", start.time(), end.time()))
+        start += timedelta(minutes=30)
+    return windows
+
+
+TRADABLE_WINDOWS = _candidate_windows()
+
+
 INPUT_HEADERS = [
     "#", "Data", "Ora RO", "Zi", "Sesiune",
     "Strategie", "Indicator", "TF",
@@ -78,6 +110,8 @@ INPUT_HEADERS = [
     "Outcome", "Notes",
 ]
 DERIVED_HEADERS = (
+    ["SL $", "SL $ Prop"]
+    +
     [f"R_{s}" for s in STRAT_KEYS]
     + [f"$_{s}" for s in STRAT_KEYS]
     + [f"Bal_{s}" for s in STRAT_KEYS]
@@ -323,6 +357,16 @@ def _f_dollar(r: int, r_col: str) -> str:
     return f'=IF({rc}="","",{rc}*{sl}/100*Config!$B$4)'
 
 
+def _f_sl_dollar(r: int) -> str:
+    sl = f"{COL['SL %']}{r}"
+    return f'=IF({sl}="","",{sl}/100*Config!$B$4)'
+
+
+def _f_sl_dollar_prop(r: int) -> str:
+    sl = f"{COL['SL %']}{r}"
+    return f'=IF({sl}="","",{sl}/100*Config!$B$11)'
+
+
 def _f_balance(r: int, dollar_col: str) -> str:
     dc = COL[dollar_col]
     return f'=IF({dc}{r}="","",Config!$B$4 + SUM(${dc}$2:{dc}{r}))'
@@ -396,6 +440,8 @@ def build_trades(wb: Workbook) -> None:
         ws.cell(row=r, column=1, value="=ROW()-1")
         ws[f'{COL["Zi"]}{r}'] = _f_day(r)
         ws[f'{COL["Sesiune"]}{r}'] = _f_session(r)
+        ws[f'{COL["SL $"]}{r}'] = _f_sl_dollar(r)
+        ws[f'{COL["SL $ Prop"]}{r}'] = _f_sl_dollar_prop(r)
 
         for strat in STRAT_KEYS:
             ws[f'{COL[f"R_{strat}"]}{r}'] = R_FN[strat](r)
@@ -438,6 +484,10 @@ def build_trades(wb: Workbook) -> None:
         for r in range(2, MAX_ROWS + 2):
             ws[f"{COL[col_name]}{r}"].number_format = '0.000"%"'
 
+    for col_name in ("SL $", "SL $ Prop"):
+        for r in range(2, MAX_ROWS + 2):
+            ws[f"{COL[col_name]}{r}"].number_format = '"$"#,##0.00'
+
     for strat in STRAT_KEYS:
         for r in range(2, MAX_ROWS + 2):
             ws[f"{COL[f'R_{strat}']}{r}"].number_format = "+0.000;-0.000;0.000"
@@ -459,7 +509,7 @@ def build_trades(wb: Workbook) -> None:
             "Outcome", "Notes",
         )
     }
-    derived_letters = {COL["Zi"], COL["Sesiune"]}
+    derived_letters = {COL["Zi"], COL["Sesiune"], COL["SL $"], COL["SL $ Prop"]}
     for strat in STRAT_KEYS:
         for prefix in ("R_", "$_", "Bal_", "$Prop_", "BalProp_"):
             derived_letters.add(COL[f"{prefix}{strat}"])
@@ -485,6 +535,8 @@ def build_trades(wb: Workbook) -> None:
     }
     for col, w in widths.items():
         ws.column_dimensions[col].width = w
+    for col_name in ("SL $", "SL $ Prop"):
+        ws.column_dimensions[COL[col_name]].width = 12
     # Derived + helper: width 11
     for strat in STRAT_KEYS:
         for prefix in (
@@ -754,6 +806,234 @@ def build_dashboard(wb: Workbook) -> None:
         hint_cell.alignment = Alignment(horizontal="left", vertical="top", wrap_text=True)
         hint_cell.border = BORDER
 
+    # ---- FERESTRE CANDIDATE x STRATEGIE ----
+    # Tabel principal pentru alegerea ferestrei tradabile. Drawdown-ul este
+    # calculat cu helper-e ascunse pe fereastra curenta, nu din DD global.
+    window_title_row = 5 + len(metrics) + 2
+    ws[f"A{window_title_row}"] = "FERESTRE CANDIDATE x STRATEGIE"
+    ws[f"A{window_title_row}"].font = SUBTITLE_FONT
+    ws.merge_cells(f"A{window_title_row}:R{window_title_row}")
+
+    window_header_row = window_title_row + 1
+    window_headers = [
+        "Fereastra", "Start", "End", "Strategie", "N", "Wins", "WR",
+        "Expectancy R", "Expectancy $", "Profit Factor", "Cum P&L $",
+        "Max Drawdown $", "Worst Daily Loss Prop $", "Max Drawdown Prop $",
+        "Daily Breach", "Max Loss Breach", "Status Prop", "Status Edge",
+        "Score",
+    ]
+    for col_idx, header in enumerate(window_headers, start=1):
+        c = ws.cell(row=window_header_row, column=col_idx, value=header)
+        c.font = HEADER_FONT
+        c.fill = HEADER_FILL
+        c.alignment = CENTER
+        c.border = BORDER
+
+    TIME_RANGE = _range("Ora RO")
+    PROP_D = {s: _range(f"$Prop_{s}") for s in STRAT_KEYS}
+    helper_start_col = 27  # AA, ascuns.
+
+    def _emit_window_helpers(visible_row: int, strat: str, combo_idx: int) -> dict[str, str]:
+        base_col = helper_start_col + combo_idx * 7
+        helper_names = ["Cum", "Peak", "DD", "DailyProp", "CumProp", "PeakProp", "DDProp"]
+        cols = {name: get_column_letter(base_col + idx) for idx, name in enumerate(helper_names)}
+        for idx, name in enumerate(helper_names):
+            col = get_column_letter(base_col + idx)
+            ws[f"{col}1"] = f"{name}_{visible_row}"
+            ws.column_dimensions[col].hidden = True
+            ws.column_dimensions[col].width = 3
+
+        start_cell = f"$B${visible_row}"
+        end_cell = f"$C${visible_row}"
+        dollar_col = COL[f"$_{strat}"]
+        prop_col = COL[f"$Prop_{strat}"]
+        time_col = COL["Ora RO"]
+        date_col = COL["Data"]
+        outcome_col = COL["Outcome"]
+
+        for helper_row, trade_row in enumerate(range(2, MAX_ROWS + 2), start=2):
+            in_window = (
+                f'AND(Trades!${outcome_col}{trade_row}<>"",'
+                f"Trades!${time_col}{trade_row}>={start_cell},"
+                f"Trades!${time_col}{trade_row}<{end_cell})"
+            )
+            dollar = f"Trades!${dollar_col}{trade_row}"
+            prop = f"Trades!${prop_col}{trade_row}"
+            if helper_row == 2:
+                ws[f"{cols['Cum']}{helper_row}"] = f"=IF({in_window},{dollar},0)"
+                ws[f"{cols['Peak']}{helper_row}"] = f"=MAX(0,{cols['Cum']}{helper_row})"
+                ws[f"{cols['CumProp']}{helper_row}"] = f"=IF({in_window},{prop},0)"
+                ws[f"{cols['PeakProp']}{helper_row}"] = f"=MAX(0,{cols['CumProp']}{helper_row})"
+            else:
+                prev = helper_row - 1
+                ws[f"{cols['Cum']}{helper_row}"] = (
+                    f"={cols['Cum']}{prev}+IF({in_window},{dollar},0)"
+                )
+                ws[f"{cols['Peak']}{helper_row}"] = (
+                    f"=MAX({cols['Peak']}{prev},{cols['Cum']}{helper_row})"
+                )
+                ws[f"{cols['CumProp']}{helper_row}"] = (
+                    f"={cols['CumProp']}{prev}+IF({in_window},{prop},0)"
+                )
+                ws[f"{cols['PeakProp']}{helper_row}"] = (
+                    f"=MAX({cols['PeakProp']}{prev},{cols['CumProp']}{helper_row})"
+                )
+            ws[f"{cols['DD']}{helper_row}"] = (
+                f"={cols['Peak']}{helper_row}-{cols['Cum']}{helper_row}"
+            )
+            ws[f"{cols['DDProp']}{helper_row}"] = (
+                f"={cols['PeakProp']}{helper_row}-{cols['CumProp']}{helper_row}"
+            )
+            ws[f"{cols['DailyProp']}{helper_row}"] = (
+                f'=IF({in_window},'
+                f'SUMIFS(Trades!${prop_col}$2:Trades!${prop_col}{trade_row},'
+                f'Trades!${date_col}$2:Trades!${date_col}{trade_row},Trades!${date_col}{trade_row},'
+                f'Trades!${time_col}$2:Trades!${time_col}{trade_row},">="&{start_cell},'
+                f'Trades!${time_col}$2:Trades!${time_col}{trade_row},"<"&{end_cell}),'
+                f'"")'
+            )
+        return cols
+
+    pass_fill = PatternFill("solid", fgColor="C6EFCE")
+    fail_fill = PatternFill("solid", fgColor="FFC7CE")
+    warn_fill = PatternFill("solid", fgColor="FFEB9C")
+    combo_rows: list[int] = []
+    combo_idx = 0
+    row = window_header_row + 1
+    for label, start_time, end_time in TRADABLE_WINDOWS:
+        for strat in STRAT_KEYS:
+            helper_cols = _emit_window_helpers(row, strat, combo_idx)
+            ws[f"A{row}"] = label
+            ws[f"B{row}"] = start_time
+            ws[f"C{row}"] = end_time
+            ws[f"D{row}"] = STRAT_LABELS[strat]
+            ws[f"E{row}"] = (
+                f'=COUNTIFS({OUTCOME_RANGE},"<>",{TIME_RANGE},">="&B{row},'
+                f'{TIME_RANGE},"<"&C{row})'
+            )
+            ws[f"F{row}"] = (
+                f'=COUNTIFS({W[strat]},1,{OUTCOME_RANGE},"<>",'
+                f'{TIME_RANGE},">="&B{row},{TIME_RANGE},"<"&C{row})'
+            )
+            ws[f"G{row}"] = f"=IFERROR(F{row}/E{row},0)"
+            ws[f"H{row}"] = (
+                f'=IFERROR(AVERAGEIFS({R[strat]},{OUTCOME_RANGE},"<>",'
+                f'{TIME_RANGE},">="&B{row},{TIME_RANGE},"<"&C{row}),0)'
+            )
+            ws[f"I{row}"] = (
+                f'=IFERROR(AVERAGEIFS({D[strat]},{OUTCOME_RANGE},"<>",'
+                f'{TIME_RANGE},">="&B{row},{TIME_RANGE},"<"&C{row}),0)'
+            )
+            ws[f"J{row}"] = (
+                f'=IFERROR(SUMIFS({D[strat]},{D[strat]},">0",{OUTCOME_RANGE},"<>",'
+                f'{TIME_RANGE},">="&B{row},{TIME_RANGE},"<"&C{row})/'
+                f'ABS(SUMIFS({D[strat]},{D[strat]},"<0",{OUTCOME_RANGE},"<>",'
+                f'{TIME_RANGE},">="&B{row},{TIME_RANGE},"<"&C{row})),0)'
+            )
+            ws[f"K{row}"] = (
+                f'=SUMIFS({D[strat]},{OUTCOME_RANGE},"<>",'
+                f'{TIME_RANGE},">="&B{row},{TIME_RANGE},"<"&C{row})'
+            )
+            ws[f"L{row}"] = (
+                f'=IFERROR(MAX({helper_cols["DD"]}2:{helper_cols["DD"]}{MAX_ROWS + 1}),0)'
+            )
+            ws[f"M{row}"] = (
+                f'=IFERROR(MIN({helper_cols["DailyProp"]}2:'
+                f'{helper_cols["DailyProp"]}{MAX_ROWS + 1}),0)'
+            )
+            ws[f"N{row}"] = (
+                f'=IFERROR(MAX({helper_cols["DDProp"]}2:'
+                f'{helper_cols["DDProp"]}{MAX_ROWS + 1}),0)'
+            )
+            ws[f"O{row}"] = f'=IF(M{row}<-Config!$B$13,"DA","NU")'
+            ws[f"P{row}"] = f'=IF(N{row}>Config!$B$15,"DA","NU")'
+            ws[f"Q{row}"] = f'=IF(OR(O{row}="DA",P{row}="DA"),"CONT PIERDUT","CONFORM")'
+            ws[f"R{row}"] = (
+                f'=IF(AND(E{row}>=40,G{row}>=55%,H{row}>=0.2,'
+                f'O{row}="NU",P{row}="NU"),"CANDIDAT","NU")'
+            )
+            ws[f"S{row}"] = (
+                f'=IF(R{row}="CANDIDAT",H{row}*100000+J{row}*1000+K{row}-L{row}-N{row}/10,-1)'
+            )
+            combo_rows.append(row)
+            combo_idx += 1
+            row += 1
+
+    for r in combo_rows:
+        for c in range(1, len(window_headers) + 1):
+            cell = ws.cell(row=r, column=c)
+            cell.border = BORDER
+            cell.alignment = RIGHT if c not in (1, 4, 15, 16, 17, 18) else CENTER
+            if c not in (1, 2, 3, 4):
+                cell.fill = DERIVED_FILL
+        for c in ("B", "C"):
+            ws[f"{c}{r}"].number_format = "hh:mm"
+        ws[f"E{r}"].number_format = "0"
+        ws[f"F{r}"].number_format = "0"
+        ws[f"G{r}"].number_format = "0.0%"
+        ws[f"H{r}"].number_format = "+0.000;-0.000;0.000"
+        for c in ("I", "K", "L", "M", "N"):
+            ws[f"{c}{r}"].number_format = '"$"#,##0.00'
+        ws[f"J{r}"].number_format = "0.00"
+    ws.column_dimensions["S"].hidden = True
+
+    if combo_rows:
+        first_combo = combo_rows[0]
+        last_combo = combo_rows[-1]
+        status_rng = f"Q{first_combo}:R{last_combo}"
+        ws.conditional_formatting.add(
+            status_rng, CellIsRule(operator="equal", formula=['"CONFORM"'], fill=pass_fill)
+        )
+        ws.conditional_formatting.add(
+            status_rng, CellIsRule(operator="equal", formula=['"CANDIDAT"'], fill=pass_fill)
+        )
+        ws.conditional_formatting.add(
+            status_rng, CellIsRule(operator="equal", formula=['"CONT PIERDUT"'], fill=fail_fill)
+        )
+        ws.conditional_formatting.add(
+            status_rng, CellIsRule(operator="equal", formula=['"NU"'], fill=warn_fill)
+        )
+
+    top_title_row = row + 2
+    ws[f"A{top_title_row}"] = "TOP CANDIDATE"
+    ws[f"A{top_title_row}"].font = SUBTITLE_FONT
+    ws.merge_cells(f"A{top_title_row}:J{top_title_row}")
+    top_header_row = top_title_row + 1
+    top_headers = [
+        "#", "Fereastra", "Strategie", "N", "WR", "Expectancy R",
+        "Profit Factor", "Cum P&L $", "Max DD Prop $", "Status Edge",
+    ]
+    for col_idx, header in enumerate(top_headers, start=1):
+        c = ws.cell(row=top_header_row, column=col_idx, value=header)
+        c.font = HEADER_FONT
+        c.fill = HEADER_FILL
+        c.alignment = CENTER
+        c.border = BORDER
+
+    for idx in range(1, 11):
+        r = top_header_row + idx
+        ws[f"A{r}"] = idx
+        if combo_rows:
+            rank_formula = f"LARGE($S${first_combo}:$S${last_combo},{idx})"
+            match_formula = f"MATCH({rank_formula},$S${first_combo}:$S${last_combo},0)"
+            for target, source in zip(
+                ["B", "C", "D", "E", "F", "G", "H", "I", "J"],
+                ["A", "D", "E", "G", "H", "J", "K", "N", "R"],
+            ):
+                ws[f"{target}{r}"] = (
+                    f'=IFERROR(IF({rank_formula}<0,"",'
+                    f'INDEX(${source}${first_combo}:${source}${last_combo},{match_formula})),"")'
+                )
+        for c in range(1, len(top_headers) + 1):
+            cell = ws.cell(row=r, column=c)
+            cell.border = BORDER
+            cell.alignment = RIGHT if c not in (2, 3, 10) else CENTER
+        ws[f"E{r}"].number_format = "0.0%"
+        ws[f"F{r}"].number_format = "+0.000;-0.000;0.000"
+        ws[f"G{r}"].number_format = "0.00"
+        ws[f"H{r}"].number_format = '"$"#,##0.00'
+        ws[f"I{r}"].number_format = '"$"#,##0.00'
+
     # Helper pentru a emite un block breakdown (per Sesiune / Strategie / etc.)
     def _emit_breakdown(
         start_row: int, title: str, first_col_label: str,
@@ -791,11 +1071,8 @@ def build_dashboard(wb: Workbook) -> None:
 
     # Breakdowns — toate folosesc overlay-ul Hybrid+BE (recomandat de trader)
     overlay = "hybrid_be"
-    start = 5 + len(metrics) + 2  # 2 rânduri spațiu după tabelul de metrici
+    start = top_header_row + 13
-    after_sess = _emit_breakdown(
+    after_sess = start
-        start, "PER SESIUNE (overlay: Hybrid + BE)", "Sesiune",
-        SESSIONS, _range("Sesiune"), overlay,
-    )
     after_strat = _emit_breakdown(
         after_sess + 2, "PER STRATEGIE (overlay: Hybrid + BE)", "Strategie",
         STRATEGIES, _range("Strategie"), overlay,
@@ -959,7 +1236,11 @@ def build_dashboard(wb: Workbook) -> None:
         ws.row_dimensions[r].height = 60
 
     # Column widths
-    widths = {"A": 22, "B": 14, "C": 14, "D": 14, "E": 16, "F": 16, "G": 75}
+    widths = {
+        "A": 18, "B": 10, "C": 10, "D": 16, "E": 8, "F": 8, "G": 10,
+        "H": 13, "I": 13, "J": 12, "K": 13, "L": 15, "M": 20,
+        "N": 18, "O": 13, "P": 14, "Q": 15, "R": 13, "S": 8,
+    }
     for col, w in widths.items():
         ws.column_dimensions[col].width = w
 
@@ -989,7 +1270,7 @@ def build_dashboard(wb: Workbook) -> None:
         min_row=2, max_row=MAX_ROWS + 1,
     )
     chart.set_categories(cats)
-    ws.add_chart(chart, "H4")
+    ws.add_chart(chart, "U4")
 
     # Equity curve prop — al doilea chart, separat de modelul abstract
     chart_prop = LineChart()
@@ -1009,7 +1290,7 @@ def build_dashboard(wb: Workbook) -> None:
     )
     chart_prop.add_data(data_prop, titles_from_data=True)
     chart_prop.set_categories(cats)
-    ws.add_chart(chart_prop, "H30")
+    ws.add_chart(chart_prop, "U30")
 
 
 # ---------------------------------------------------------------------------
@@ -1030,6 +1311,11 @@ def build_workbook() -> Workbook:
 
 def main() -> int:
     OUTPUT.parent.mkdir(parents=True, exist_ok=True)
+    if OUTPUT.exists():
+        timestamp = datetime.now().strftime("%Y%m%d-%H%M%S")
+        backup = OUTPUT.with_name(f"{OUTPUT.stem}.backup-{timestamp}{OUTPUT.suffix}")
+        shutil.copy2(OUTPUT, backup)
+        print(f"Backup {backup}")
     wb = build_workbook()
     wb.save(OUTPUT)
     print(f"Wrote {OUTPUT}")