82 lines
2.8 KiB
Python
82 lines
2.8 KiB
Python
"""HygieneGate — pre-filter for screener."""
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from __future__ import annotations
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import pandas as pd
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from .base import GateNode
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class HygieneGate(GateNode):
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name = "hygiene"
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label = "위생 게이트"
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default_params = {
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"min_market_cap_won": 50_000_000_000,
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"min_avg_value_won": 500_000_000,
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"min_listed_days": 60,
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"skip_managed": True,
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"skip_preferred": True,
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"skip_spac": True,
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"skip_halted_days": 3,
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}
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param_schema = {
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"type": "object",
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"properties": {
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"min_market_cap_won": {"type": "integer", "minimum": 0},
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"min_avg_value_won": {"type": "integer", "minimum": 0},
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"min_listed_days": {"type": "integer", "minimum": 0},
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"skip_managed": {"type": "boolean"},
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"skip_preferred": {"type": "boolean"},
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"skip_spac": {"type": "boolean"},
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"skip_halted_days": {"type": "integer", "minimum": 0},
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},
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}
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def filter(self, ctx, params: dict) -> pd.Index:
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master = ctx.master.copy()
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prices = ctx.prices
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# 시총
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master = master[master["market_cap"].fillna(0) >= params["min_market_cap_won"]]
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# 우선주·관리·스팩
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if params.get("skip_preferred", True):
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master = master[master["is_preferred"] == 0]
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if params.get("skip_managed", True):
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master = master[master["is_managed"] == 0]
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if params.get("skip_spac", True):
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master = master[master["is_spac"] == 0]
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candidates = master.index
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# 20일 평균 거래대금
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if not prices.empty:
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recent20 = (
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prices[prices["ticker"].isin(candidates)]
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.sort_values("date")
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.groupby("ticker")
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.tail(20)
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)
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avg_value = recent20.groupby("ticker")["value"].mean()
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ok = avg_value[avg_value >= params["min_avg_value_won"]].index
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candidates = candidates.intersection(ok)
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# 최근 N일 거래정지 (volume==0 N일 이상)
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halted_days = params.get("skip_halted_days", 3)
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if halted_days > 0 and not prices.empty:
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recent = (
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prices[prices["ticker"].isin(candidates)]
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.sort_values("date")
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.groupby("ticker")
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.tail(halted_days)
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)
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zero_count = (
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recent.assign(z=lambda d: (d["volume"] == 0).astype(int))
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.groupby("ticker")["z"].sum()
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)
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healthy = zero_count[zero_count < halted_days].index
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candidates = candidates.intersection(healthy)
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# 상장 N일 — MVP에선 listed_date null 허용, null이면 통과
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return pd.Index(candidates)
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