换手率策略

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

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

    # 参数
    security_select = ''
    security_map = {
        '沪深300': '000300.SH',
        '中小综指': '399101.SZ',
        '上证50': '000016.SH',
        '中证1000': '000852.SH',
    }
    g.stock_num =  
    g.index_code = security_map.get(security_select, '')   # 中小综指，可自行改成全市场或别的指数
    g.min_list_days = 375          # 次新过滤天数

    # 每周一开盘后调仓
    run_weekly(weekly_adjustment, , time='09:30')


def weekly_adjustment(context):
    # 1. 获取股票池
    print(g.index_code)
    stock_list = get_index_stocks(g.index_code)
    
    # 2. 基础过滤
    stock_list = filter_new_stock(context, stock_list, g.min_list_days)
    stock_list = filter_kcbj_cyb_stock(stock_list)
    stock_list = filter_st_stock(stock_list)
    stock_list = filter_paused_stock(stock_list)

    if len(stock_list) == 0:
        log.info('过滤后股票池为空')
        return

    # 3. 计算最近N日平均换手率，并从小到大排序
    df = get_Nd_avg_turnover(context, stock_list)