From dbe17d50cb622847ac699d6674fe8f4d113873e8 Mon Sep 17 00:00:00 2001
From: ayuriel <zephyrdark@gmail.com>
Date: Fri, 31 Jan 2025 23:31:02 +0900
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---
 example/13-magic-formula-portfolio.py | 83 +++++++++++++++++++++++++++
 1 file changed, 83 insertions(+)
 create mode 100644 example/13-magic-formula-portfolio.py

diff --git a/example/13-magic-formula-portfolio.py b/example/13-magic-formula-portfolio.py
new file mode 100644
index 0000000..f67f232
--- /dev/null
+++ b/example/13-magic-formula-portfolio.py
@@ -0,0 +1,83 @@
+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
+engine = quantcommon.QuantCommon().create_engine()
+
+ticker_list = pd.read_sql("""
+select * from kor_ticker
+where 기준일 = (select max(기준일) from kor_ticker) 
+and 종목구분 = '보통주';
+""", con=engine)
+
+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)
+
+engine.dispose()
+
+fs_list = fs_list.sort_values(['종목코드', '계정', '기준일'])
+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()
+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')
+data_bind['시가총액'] = data_bind['시가총액'] / 100000000
+
+# 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)
+print(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.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()
\ No newline at end of file