feat: 13장 퀄리티 포트폴리오 추가(우량주)

example/13-kor-momentum-portfolio.py

@@ -1,6 +1,8 @@
 import pandas as pd
 import matplotlib.pyplot as plt
 import seaborn as sns
+import statsmodels.api as sm
+import numpy as np
 import quantcommon
 
 # 모멘텀 포트폴리오. 최근 12개월 수익률이 높은 주식
@@ -51,4 +53,60 @@ 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()
+
+# k-ratio(모멘텀의 꾸준함 지표)
+ret = price_pivot.pct_change().iloc[1:]
+ret_cum = np.log(1 + ret).cumsum()
+
+x = np.array(range(len(ret)))
+y = ret_cum.iloc[:, 0].values
+
+reg = sm.OLS(y, x).fit()
+reg.summary()
+
+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)
+print(data_bind[k_ratio_rank <= 20])
+
+k_ratio_momentum = price_list[price_list['종목코드'].isin(data_bind.loc[k_ratio_rank <= 20, '종목코드'])]
+
+plt.rc('font', family='Malgun Gothic')
+g = sns.relplot(data=k_ratio_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()

example/13-quality-portfolio.py

@@ -0,0 +1,60 @@
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+import seaborn as sns
+import quantcommon
+
+# 퀄리티(우량주) 포트폴리오. 영업수익성이 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)
+
+fs_list = pd.read_sql("""
+select * from kor_fs
+where 계정 in ('당기순이익', '매출총이익', '영업활동으로인한현금흐름', '자산', '자본')
+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(['자산', '자본']),
+                                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')
+fs_list_pivot['ROE'] = fs_list_pivot['당기순이익'] / fs_list_pivot['자본']
+fs_list_pivot['GPA'] = fs_list_pivot['매출총이익'] / fs_list_pivot['자산']
+fs_list_pivot['CFO'] = fs_list_pivot['영업활동으로인한현금흐름'] / fs_list_pivot['자산']
+
+quality_list = ticker_list[['종목코드', '종목명']].merge(fs_list_pivot,
+                                                  how='left',
+                                                  on='종목코드')
+# print(quality_list.round(4).head())
+
+quality_list_copy = quality_list[['ROE', 'GPA', 'CFO']].copy()
+quality_rank = quality_list_copy.rank(ascending=False, axis=0)
+
+mask = np.triu(quality_rank.corr())
+fig, ax = plt.subplots(figsize=(10, 6))
+sns.heatmap(quality_rank.corr(),
+            annot=True,
+            mask=mask,
+            annot_kws={"size": 16},
+            vmin=0,
+            vmax=1,
+            center=0.5,
+            cmap='coolwarm',
+            square=True)
+ax.invert_yaxis()
+
+quality_sum = quality_rank.sum(axis=1, skipna=False).rank()
+print(quality_list.loc[quality_sum <= 20,
+                 ['종목코드', '종목명', 'ROE', 'GPA', 'CFO']].round(4))