最大股价振幅比率策略

# 导入函数库
from nmapi import *
import pandas as pd
import numpy as np

def initialize(context):
    set_order_cost(
        OrderCost(
            close_tax=0.001,
            open_commission=0.0003,
            close_commission=0.0003,
            min_commission=5
        ),
        type='stock'
    )

    g.stock_num = 
    g.min_list_days = 365   # 次新过滤天数

    # 每周一调仓
    run_schedule(weekly_adjustment, "weekly", , time='09:30')


def weekly_adjustment(context):
    stock_list = get_stock_pool(context)
    if len(stock_list) == 0:
        log.info('股票池为空')
        return

    df = get_amplitude_factor_N(context, stock_list)
    if df is None or df.empty:
        log.info('因子结果为空')
        return

    # 按 N 日振幅比率均值从大到小排序，取前 持仓个数
    target_list = list(df.index[:(g.stock_num+20)])

    target_list = filter_limitup_stock(context, target_list)
    target_list = list(df.index[:g.stock_num])
    #log.info('本期目标持仓: {}'.format(target_list))

    adjust_position(context, target_list)


def get_stock_pool(context):
    """
    股票池 + 基础过滤
    """
    select_security = ''
    if select_security == '全市场':