60 lines
2.3 KiB
Python
60 lines
2.3 KiB
Python
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import pandas as pd
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import numpy as np
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import matplotlib.pyplot as plt
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import seaborn as sns
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import quantcommon
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# 퀄리티(우량주) 포트폴리오. 영업수익성이 높은 주식
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engine = quantcommon.QuantCommon().create_engine()
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ticker_list = pd.read_sql("""
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select * from kor_ticker
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where 기준일 = (select max(기준일) from kor_ticker)
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and 종목구분 = '보통주';
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""", con=engine)
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fs_list = pd.read_sql("""
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select * from kor_fs
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where 계정 in ('당기순이익', '매출총이익', '영업활동으로인한현금흐름', '자산', '자본')
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and 공시구분 = 'q';
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""", con=engine)
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engine.dispose()
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fs_list = fs_list.sort_values(['종목코드', '계정', '기준일'])
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fs_list['ttm'] = fs_list.groupby(['종목코드', '계정'], as_index=False)['값'].rolling(
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window=4, min_periods=4).sum()['값']
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fs_list_clean = fs_list.copy()
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fs_list_clean['ttm'] = np.where(fs_list_clean['계정'].isin(['자산', '자본']),
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fs_list_clean['ttm'] / 4, fs_list_clean['ttm'])
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fs_list_clean = fs_list_clean.groupby(['종목코드', '계정']).tail(1)
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fs_list_pivot = fs_list_clean.pivot(index='종목코드', columns='계정', values='ttm')
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fs_list_pivot['ROE'] = fs_list_pivot['당기순이익'] / fs_list_pivot['자본']
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fs_list_pivot['GPA'] = fs_list_pivot['매출총이익'] / fs_list_pivot['자산']
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fs_list_pivot['CFO'] = fs_list_pivot['영업활동으로인한현금흐름'] / fs_list_pivot['자산']
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quality_list = ticker_list[['종목코드', '종목명']].merge(fs_list_pivot,
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how='left',
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on='종목코드')
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# print(quality_list.round(4).head())
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quality_list_copy = quality_list[['ROE', 'GPA', 'CFO']].copy()
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quality_rank = quality_list_copy.rank(ascending=False, axis=0)
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mask = np.triu(quality_rank.corr())
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fig, ax = plt.subplots(figsize=(10, 6))
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sns.heatmap(quality_rank.corr(),
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annot=True,
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mask=mask,
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annot_kws={"size": 16},
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vmin=0,
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vmax=1,
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center=0.5,
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cmap='coolwarm',
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square=True)
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ax.invert_yaxis()
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quality_sum = quality_rank.sum(axis=1, skipna=False).rank()
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print(quality_list.loc[quality_sum <= 20,
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['종목코드', '종목명', 'ROE', 'GPA', 'CFO']].round(4))
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