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()