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You're right that some sort of iterative macro would probably be needed, however before doing that, since the Python code is literally right there ready to cut and paste, I would consider using the Python tool, or perhaps the R if that works better for you. I've attached a workflow that duplicates their example in Alteryx with both R and Python.
I did rearrange things a little
I output only the "total reward" figures that are calculated
I commented out anything that wasn't contributing to that calculation
Python's "Alteryx.read" didn't play nice with my laptop's crazy security, so I read the physical file from within the Python, rather than grabbing input #1... you can comment out the physical file read and comment back in the Alteryx.read(#1) and it should work for you.