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