feat: 13장 모멘텀 포트폴리오 계산 추가(12개월 수익률이 높은 주식 20개)

example/13-kor-momentum-portfolio.py

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+import pandas as pd
+import matplotlib.pyplot as plt
+import seaborn as sns
+import quantcommon
+
+# 모멘텀 포트폴리오. 최근 12개월 수익률이 높은 주식
+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)
+
+
+price_list = pd.read_sql(
+"""
+select 날짜, 종가, 종목코드
+from kor_price
+where 날짜 >= (select (select max(날짜) from kor_price) - interval 1 year);
+""", con=engine)
+
+engine.dispose()
+
+price_pivot = price_list.pivot(index='날짜', columns='종목코드', values='종가')
+
+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')
+
+momentum_rank = data_bind['return'].rank(axis=0, ascending=False)
+
+price_momentum = price_list[price_list['종목코드'].isin(
+    data_bind.loc[momentum_rank <= 20, '종목코드'])]
+
+plt.rc('font', family='Malgun Gothic')
+g = sns.relplot(data=price_momentum,
+                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()