量化交易策略四_多因子选股

def initialize(context):
    set_benchmark('000300.XSHG')
    set_option('use_real_price',True)
    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, open_commission=0.0003, close_commission=0.0003,close_today_commission=0, min_commission=5),type='stock')
    g.security = get_index_stocks('000300.XSHG')
    
    g.q = query(valuation,indicator).filter(valuation.code.in_(g.security))
    g.N = 20
    
    run_monthly(handle,1)
    
    
def handle(context):
    df = get_fundamentals(g.q)[['code','market_cap','roe']]
    #归一化
    df['market_cap'] =(df['market_cap'] - df['market_cap'].min())/(df['market_cap'].max() - df['market_cap'].min())
    df['roe'] =(df['roe'] - df['roe'].min())/(df['roe'].max() - df['roe'].min())
    
    df['score'] = df['roe