feat(stock-lab): Momentum20 노드 — N일 수익률 백분위

stock-lab/app/screener/nodes/momentum.py

@@ -0,0 +1,34 @@
+"""20일 모멘텀."""
+
+import pandas as pd
+
+from .base import ScoreNode, percentile_rank
+
+
+class Momentum20(ScoreNode):
+    name  = "momentum"
+    label = "20일 모멘텀"
+    default_params = {"window_days": 20}
+    param_schema = {
+        "type": "object",
+        "properties": {
+            "window_days": {"type": "integer", "minimum": 5, "maximum": 120, "default": 20}
+        },
+    }
+
+    def compute(self, ctx, params: dict) -> pd.Series:
+        window = int(params.get("window_days", 20))
+        prices = ctx.prices
+        if prices.empty:
+            return pd.Series(dtype=float)
+
+        ordered = prices.sort_values("date")
+        last = ordered.groupby("ticker").tail(window + 1)
+
+        def _ret(s):
+            if len(s) < window + 1:
+                return float("nan")
+            return s.iloc[-1] / s.iloc[0] - 1
+
+        raw = last.groupby("ticker")["close"].apply(_ret)
+        return percentile_rank(raw).fillna(50.0)