From 7e31a630323fcdd4739f4badb8443d74c1b5e990 Mon Sep 17 00:00:00 2001
From: Ayuriel <zephyrdark@gmail.com>
Date: Fri, 14 Mar 2025 16:16:09 +0900
Subject: [PATCH] =?UTF-8?q?feat:=20=EB=A7=88=EB=B2=95=20=EA=B3=B5=EC=8B=9D?=
 =?UTF-8?q?=20=EC=B6=94=EA=B0=80?=
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---
 quantcommon.py                            | 15 +++++
 streamlit-quant/strategy/magic-formula.py | 79 +++++++++++++++++++++++
 2 files changed, 94 insertions(+)
 create mode 100644 streamlit-quant/strategy/magic-formula.py

diff --git a/quantcommon.py b/quantcommon.py
index 5a2da0b..2cc3ee3 100644
--- a/quantcommon.py
+++ b/quantcommon.py
@@ -81,4 +81,19 @@ class QuantCommon:
         finally:
             engine.dispose()
 
+        return fs_list
+
+    def get_expanded_fs_list(self):
+        engine = self.create_engine()
+
+        try:
+            fs_list = pd.read_sql("""
+            select * from kor_fs
+            where 계정 in ('매출액', '당기순이익', '법인세비용', '이자비용', '현금및현금성자산',
+                '부채', '유동부채', '유동자산', '비유동자산', '감가상각비')
+            and 공시구분 = 'q';
+            """, con=engine)
+        finally:
+            engine.dispose()
+
         return fs_list
\ No newline at end of file
diff --git a/streamlit-quant/strategy/magic-formula.py b/streamlit-quant/strategy/magic-formula.py
new file mode 100644
index 0000000..55f8d8c
--- /dev/null
+++ b/streamlit-quant/strategy/magic-formula.py
@@ -0,0 +1,79 @@
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+import seaborn as sns
+import quantcommon
+
+# 마법 공식 포트폴리오. 밸류와 퀄리티의 조합. 조엘 그린블라트의 '마법공식'
+def get_magic_formula_top(count):
+    qc = quantcommon.QuantCommon()
+    ticker_list = qc.get_ticker_list()
+    fs_list = qc.get_expanded_fs_list()
+
+    fs_list = fs_list.sort_values(['종목코드', '계정', '기준일'])
+    # TTM 값을 구하기 위해서 rolling() 메소드를 통해 4분기 합 구함. 4분기 데이터가 없는 경우 제외하기 위해서 min_periods=4
+    fs_list['ttm'] = fs_list.groupby(['종목코드', '계정'], as_index=False)['값'].rolling(
+        window=4, min_periods=4).sum()['값']
+    fs_list_clean = fs_list.copy()
+    # 재무상태표 현황(부채, 유동부채, 유동자산, 비유동자산)은 평균값 사용
+    fs_list_clean['ttm'] = np.where(
+        fs_list_clean['계정'].isin(['부채', '유동부채', '유동자산', '비유동자산']),
+        fs_list_clean['ttm'] / 4, fs_list_clean['ttm'])
+
+    fs_list_clean = fs_list_clean.groupby(['종목코드', '계정']).tail(1)
+    fs_list_pivot = fs_list_clean.pivot(index='종목코드', columns='계정', values='ttm')
+
+    data_bind = ticker_list[['종목코드', '종목명', '시가총액']].merge(fs_list_pivot,
+                                                           how='left',
+                                                           on='종목코드')
+    # 티커 테이블에 있는 시가총액은 원, 제무제표 테이블은 억 단위이므로 단위를 맞춤
+    data_bind['시가총액'] = data_bind['시가총액'] / 100000000
+
+    # 이익수익률 계산식: 이자 및 법인세 차감전 이익(EBIT) / 가입가치(시가총액 + 순차입금)
+    # 분자(EBIT)
+    magic_ebit = data_bind['당기순이익'] + data_bind['법인세비용'] + data_bind['이자비용']
+
+    # 분모
+    magic_cap = data_bind['시가총액']
+    magic_debt = data_bind['부채']
+
+    ## 분모: 여유자금
+    magic_excess_cash = data_bind['유동부채'] - data_bind['유동자산'] + data_bind[
+        '현금및현금성자산']
+    magic_excess_cash[magic_excess_cash < 0] = 0
+    magic_excess_cash_final = data_bind['현금및현금성자산'] - magic_excess_cash
+
+    magic_ev = magic_cap + magic_debt - magic_excess_cash_final
+
+    # 이익수익률
+    magic_ey = magic_ebit / magic_ev
+
+    # 투하자본 수익률
+    magic_ic = (data_bind['유동자산'] - data_bind['유동부채']) + (data_bind['비유동자산'] -
+                                                          data_bind['감가상각비'])
+    magic_roc = magic_ebit / magic_ic
+
+    # 열 입력하기
+    data_bind['이익 수익률'] = magic_ey
+    data_bind['투하자본 수익률'] = magic_roc
+
+    magic_rank = (magic_ey.rank(ascending=False, axis=0) +
+                  magic_roc.rank(ascending=False, axis=0)).rank(axis=0)
+    return data_bind.loc[magic_rank <= 20, ['종목코드', '종목명', '이익 수익률', '투하자본 수익률']].round(4)
+
+    # data_bind['투자구분'] = np.where(magic_rank <= 20, '마법공식', '기타')
+    #
+    # plt.rc('font', family='Malgun Gothic')
+    # plt.subplots(1, 1, figsize=(10, 6))
+    # sns.scatterplot(data=data_bind,
+    #                 x='이익 수익률',
+    #                 y='투하자본 수익률',
+    #                 hue='투자구분',
+    #                 style='투자구분',
+    #                 s=200)
+    # plt.xlim(0, 1)
+    # plt.ylim(0, 1)
+    # plt.show()
+
+if __name__ == '__main__':
+    print(get_magic_formula_top(20))
\ No newline at end of file