From 470b57b2c934ad2cba035fcc5f85620271679251 Mon Sep 17 00:00:00 2001
From: Ayuriel <zephyrdark@gmail.com>
Date: Mon, 10 Mar 2025 18:27:43 +0900
Subject: [PATCH] =?UTF-8?q?feat:=20=EB=AA=A8=EB=A9=98=ED=85=80,=20k-ratio(?=
 =?UTF-8?q?=EB=AA=A8=EB=A9=98=ED=85=80=20=EC=A4=91=20=EA=BE=B8=EC=A4=80?=
 =?UTF-8?q?=ED=95=98=EA=B2=8C=20=EB=A7=8E=EC=9D=B4=20=EC=83=81=EC=8A=B9)?=
 =?UTF-8?q?=20=EA=B5=AC=ED=98=84?=
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
Content-Transfer-Encoding: 8bit

---
 example/13-kor-momentum-portfolio.py |  1 +
 streamlit-quant/strategy/momentum.py | 87 ++++++++++++++++++++++++++++
 2 files changed, 88 insertions(+)
 create mode 100644 streamlit-quant/strategy/momentum.py

diff --git a/example/13-kor-momentum-portfolio.py b/example/13-kor-momentum-portfolio.py
index 8ee6a23..22cc264 100644
--- a/example/13-kor-momentum-portfolio.py
+++ b/example/13-kor-momentum-portfolio.py
@@ -5,6 +5,7 @@ import statsmodels.api as sm
 import numpy as np
 import quantcommon
 
+# strategy/momentum에 구현
 # 모멘텀 포트폴리오. 최근 12개월 수익률이 높은 주식
 engine = quantcommon.QuantCommon().create_engine()
 
diff --git a/streamlit-quant/strategy/momentum.py b/streamlit-quant/strategy/momentum.py
new file mode 100644
index 0000000..3baa50b
--- /dev/null
+++ b/streamlit-quant/strategy/momentum.py
@@ -0,0 +1,87 @@
+import pandas as pd
+import matplotlib.pyplot as plt
+import seaborn as sns
+import statsmodels.api as sm
+import numpy as np
+import quantcommon
+
+
+def print_graph(values):
+    plt.rc('font', family='Malgun Gothic')
+    g = sns.relplot(data=values,
+                    x='날짜',
+                    y='종가',
+                    col='종목코드',
+                    col_wrap=5,
+                    kind='line',
+                    facet_kws={
+                        'sharey': False,
+                        'sharex': True
+                    })
+    g.set(xticklabels=[])
+    g.set(xlabel=None)
+    g.set(ylabel=None)
+    g.fig.set_figwidth(15)
+    g.fig.set_figheight(8)
+    plt.subplots_adjust(wspace=0.5, hspace=0.2)
+    plt.show()
+
+# strategy/momentum에 구현
+# 모멘텀 포트폴리오. 최근 12개월 수익률이 높은 주식
+def get_momentum_top(count):
+    ticker_list = quantcommon.QuantCommon().get_ticker_list()
+    price_list = quantcommon.QuantCommon().get_price_list(interval_month=12)
+
+    price_pivot = price_list.pivot(index='날짜', columns='종목코드', values='종가')
+
+    # 가격 테이블에서 (가장 끝 행 / 가장 첫 행)으로 각 종목의 12개월 수익률을 구함
+    ret_list = pd.DataFrame(data=(price_pivot.iloc[-1] / price_pivot.iloc[0]) - 1,
+                            columns=['return'])
+    data_bind = ticker_list[['종목코드', '종목명']].merge(ret_list, how='left', on='종목코드')
+
+    # 12개월 수익률 열 순위를 구함. 지표가 높을 수록 좋으니 ascending=False
+    momentum_rank = data_bind['return'].rank(axis=0, ascending=False)
+    # 모멘텀만 가지고 순위 측정
+    price_momentum = price_list[price_list['종목코드'].isin(
+        data_bind.loc[momentum_rank <= count, '종목코드'])]
+    # 해당 종목들(모멘텀 상위 count 개)의 가격 그래프 확인
+    # print_graph(price_momentum)
+
+    # k-ratio(모멘텀의 꾸준함 지표)
+    # pct_change() 함수로 각 종목의 수익률 계산하고 수익률이 곗나되지 않는 첫 번째 행은 제외
+    ret = price_pivot.pct_change().iloc[1:]
+    # 로그 누적 수익률 계산
+    ret_cum = np.log(1 + ret).cumsum()
+
+    # x축은 기간
+    x = np.array(range(len(ret)))
+    k_ratio = {}
+
+    for i in range(0, len(ticker_list)):
+
+        ticker = data_bind.loc[i, '종목코드']
+
+        try:
+            y = ret_cum.loc[:, price_pivot.columns == ticker]
+            reg = sm.OLS(y, x).fit()
+            res = float(reg.params / reg.bse)
+        except:
+            res = np.nan
+
+        k_ratio[ticker] = res
+
+    k_ratio_bind = pd.DataFrame.from_dict(k_ratio, orient='index').reset_index()
+    k_ratio_bind.columns = ['종목코드', 'K_ratio']
+
+    k_ratio_bind.head()
+
+    data_bind = data_bind.merge(k_ratio_bind, how='left', on='종목코드')
+    k_ratio_rank = data_bind['K_ratio'].rank(axis=0, ascending=False)
+    momentum_top = data_bind[k_ratio_rank <= count]
+
+    k_ratio_momentum = price_list[price_list['종목코드'].isin(data_bind.loc[k_ratio_rank <= count, '종목코드'])]
+    print_graph(k_ratio_momentum)
+    return momentum_top
+
+if __name__ == '__main__':
+    print(get_momentum_top(20))
\ No newline at end of file