feat:添加了基本策略。

alpha/data_loader.py

@@ -0,0 +1,283 @@
+"""
+数据加载辅助模块 — 从量化数据库加载回测所需数据
+
+支持的数据源:
+  - 日线行情 (daily + adj_factor → 后复权价格)
+  - 每日指标 (daily_basic → PE / PB / 市值 / 换手率)
+  - 财务指标 (fina_indicator → ROE / ROA / 毛利率)
+  - 指数行情 (index_daily → 基准收益)
+
+若数据库连接失败，自动回退到随机模拟数据，便于 Notebook 演示完整研究流程。
+
+用法:
+    from data_loader import DataLoader
+
+    loader = DataLoader()
+    price_data = loader.load_prices('2020-01-01', '2024-12-31')
+    pe_data    = loader.load_factor('pe', '2020-01-01', '2024-12-31')
+    roe_data   = loader.load_factor('roe', '2020-01-01', '2024-12-31')
+    bench      = loader.load_benchmark('000300.SH', '2020-01-01', '2024-12-31')
+"""
+import sys
+from pathlib import Path
+from typing import Dict, List, Optional
+
+import numpy as np
+import pandas as pd
+
+# 项目根目录 (quanxiel/)
+_PROJECT_ROOT = Path(__file__).resolve().parent.parent
+
+
+class DataLoader:
+    """量化数据库数据加载器（数据库不可用时自动回退到模拟数据）"""
+
+    # 默认股票池（沪深300中代表性的蓝筹成分股）
+    DEFAULT_STOCKS: List[str] = [
+        # 银行 / 非银
+        "600000.SH", "600015.SH", "600016.SH", "600036.SH", "601166.SH",
+        "601288.SH", "601398.SH", "601318.SH", "601601.SH", "601628.SH",
+        # 消费 / 医药
+        "600519.SH", "000858.SZ", "000651.SZ", "000333.SZ", "600887.SH",
+        "600276.SH", "601888.SH",
+        # 工业 / 制造
+        "600031.SH", "600048.SH", "600104.SH", "600309.SH", "600585.SH",
+        "601668.SH", "601088.SH", "600028.SH", "601857.SH",
+        # 科技 / 成长
+        "000063.SZ", "002415.SZ", "300750.SZ", "600009.SH", "600050.SH",
+    ]
+
+    # daily_basic 表可用字段
+    DAILY_BASIC_FIELDS = {
+        "pe", "pe_ttm", "pb", "ps", "ps_ttm", "dv_ratio", "dv_ttm",
+        "total_mv", "circ_mv", "turnover_rate", "volume_ratio",
+    }
+
+    # fina_indicator 表可用字段
+    FINA_FIELDS = {
+        "roe", "roe_dt", "roa", "roa2", "roic", "gross_margin",
+        "eps", "dt_eps", "current_ratio", "quick_ratio", "debt_to_assets",
+        "assets_turn", "cfo_to_or", "ocfps",
+    }
+
+    def __init__(self, stocks: Optional[List[str]] = None, seed: int = 42):
+        self.stocks = stocks or self.DEFAULT_STOCKS
+        self.seed = seed
+        self._conn = None
+        self._db_ok: Optional[bool] = None
+
+    # ==================================================================
+    # 公开接口
+    # ==================================================================
+
+    def load_prices(self, start_date: str, end_date: str) -> pd.DataFrame:
+        """
+        加载后复权收盘价。
+        返回 DataFrame: index=date, columns=ts_code
+        """
+        if self._ensure_db():
+            try:
+                return self._load_prices_db(start_date, end_date)
+            except Exception as e:
+                print(f"[DataLoader] 价格数据加载失败，回退到模拟数据: {e}")
+        return self._simulate_prices(start_date, end_date)
+
+    def load_factor(self, name: str, start_date: str, end_date: str) -> pd.DataFrame:
+        """
+        加载指定因子/指标截面数据。
+        返回 DataFrame: index=date, columns=ts_code
+        """
+        if name in self.DAILY_BASIC_FIELDS and self._ensure_db():
+            try:
+                return self._load_daily_basic_field(name, start_date, end_date)
+            except Exception as e:
+                print(f"[DataLoader] 指标 {name} 加载失败，回退到模拟数据: {e}")
+        elif name in self.FINA_FIELDS and self._ensure_db():
+            try:
+                return self._load_fina_field(name, start_date, end_date)
+            except Exception as e:
+                print(f"[DataLoader] 财务指标 {name} 加载失败，回退到模拟数据: {e}")
+        return self._simulate_factor(name, start_date, end_date)
+
+    def load_factors(self, names: List[str], start_date: str, end_date: str) -> Dict[str, pd.DataFrame]:
+        """批量加载多个因子，返回 {name: DataFrame}"""
+        return {n: self.load_factor(n, start_date, end_date) for n in names}
+
+    def load_benchmark(
+        self, code: str = "000300.SH", start_date: str = "", end_date: str = ""
+    ) -> pd.Series:
+        """
+        加载基准指数收盘价。
+        返回 Series: index=date, values=close
+        """
+        if start_date and end_date and self._ensure_db():
+            try:
+                return self._load_index_db(code, start_date, end_date)
+            except Exception as e:
+                print(f"[DataLoader] 指数 {code} 加载失败，回退到模拟数据: {e}")
+        # 模拟基准：用股票池均值价格代替
+        prices = self._simulate_prices(start_date or "2020-01-01", end_date or "2024-12-31")
+        return prices.mean(axis=1).rename(code)
+
+    def get_trade_dates(self, start_date: str, end_date: str) -> pd.DatetimeIndex:
+        """获取交易日列表（数据库不可用时使用工作日）"""
+        if self._ensure_db():
+            try:
+                conn = self._get_conn()
+                query = """
+                    SELECT DISTINCT cal_date FROM trade_cal
+                    WHERE is_open = 1 AND cal_date BETWEEN %s AND %s
+                    ORDER BY cal_date
+                """
+                dates = pd.read_sql(query, conn, params=[start_date, end_date])
+                return pd.to_datetime(dates["cal_date"])
+            except Exception:
+                pass
+        return pd.bdate_range(start_date, end_date)
+
+    # ==================================================================
+    # 数据库连接
+    # ==================================================================
+
+    def _get_conn(self):
+        if self._conn is None:
+            sys.path.insert(0, str(_PROJECT_ROOT / "quantitative_data"))
+            from config import DB_CONFIG
+            import psycopg2
+            self._conn = psycopg2.connect(
+                host=DB_CONFIG["host"],
+                port=DB_CONFIG["port"],
+                database=DB_CONFIG["database"],
+                user=DB_CONFIG["user"],
+                password=DB_CONFIG["password"],
+                connect_timeout=5,
+            )
+        return self._conn
+
+    def _ensure_db(self) -> bool:
+        """检测数据库是否可用（结果缓存）"""
+        if self._db_ok is not None:
+            return self._db_ok
+        try:
+            self._get_conn()
+            self._db_ok = True
+        except Exception:
+            self._conn = None
+            self._db_ok = False
+            print("[DataLoader] 数据库连接失败，使用模拟数据。"
+                  "请检查 quantitative_data/.env 配置。")
+        return self._db_ok
+
+    # ==================================================================
+    # 数据库加载实现
+    # ==================================================================
+
+    def _stock_sql_placeholders(self) -> str:
+        return ",".join(["%s"] * len(self.stocks))
+
+    def _load_prices_db(self, start_date: str, end_date: str) -> pd.DataFrame:
+        conn = self._get_conn()
+        placeholders = self._stock_sql_placeholders()
+        query = f"""
+            SELECT d.ts_code, d.trade_date,
+                   d.close * a.adj_factor AS adj_close
+            FROM daily d
+            JOIN adj_factor a
+              ON d.ts_code = a.ts_code AND d.trade_date = a.trade_date
+            WHERE d.ts_code IN ({placeholders})
+              AND d.trade_date BETWEEN %s AND %s
+            ORDER BY d.trade_date, d.ts_code
+        """
+        df = pd.read_sql(query, conn, params=[*self.stocks, start_date, end_date])
+        if df.empty:
+            raise ValueError("查询无数据")
+        pivot = df.pivot(index="trade_date", columns="ts_code", values="adj_close")
+        pivot.index = pd.to_datetime(pivot.index)
+        pivot = pivot.sort_index()
+        # 只保留有数据的列
+        return pivot.dropna(how="all", axis=1)
+
+    def _load_daily_basic_field(self, field: str, start_date: str, end_date: str) -> pd.DataFrame:
+        conn = self._get_conn()
+        placeholders = self._stock_sql_placeholders()
+        query = f"""
+            SELECT ts_code, trade_date, {field}
+            FROM daily_basic
+            WHERE ts_code IN ({placeholders})
+              AND trade_date BETWEEN %s AND %s
+            ORDER BY trade_date, ts_code
+        """
+        df = pd.read_sql(query, conn, params=[*self.stocks, start_date, end_date])
+        if df.empty:
+            raise ValueError(f"查询 {field} 无数据")
+        pivot = df.pivot(index="trade_date", columns="ts_code", values=field)
+        pivot.index = pd.to_datetime(pivot.index)
+        pivot = pivot.sort_index()
+        return pivot.replace([np.inf, -np.inf], np.nan)
+
+    def _load_fina_field(self, field: str, start_date: str, end_date: str) -> pd.DataFrame:
+        conn = self._get_conn()
+        placeholders = self._stock_sql_placeholders()
+        query = f"""
+            SELECT ts_code, end_date, {field}
+            FROM fina_indicator
+            WHERE ts_code IN ({placeholders})
+              AND end_date BETWEEN %s AND %s
+            ORDER BY end_date, ts_code
+        """
+        df = pd.read_sql(query, conn, params=[*self.stocks, start_date, end_date])
+        if df.empty:
+            raise ValueError(f"查询财务指标 {field} 无数据")
+        pivot = df.pivot(index="end_date", columns="ts_code", values=field)
+        pivot.index = pd.to_datetime(pivot.index)
+        # 重采样到交易日并向前填充
+        trade_dates = self.get_trade_dates(start_date, end_date)
+        pivot = pivot.sort_index().reindex(trade_dates).ffill()
+        return pivot.replace([np.inf, -np.inf], np.nan)
+
+    def _load_index_db(self, code: str, start_date: str, end_date: str) -> pd.Series:
+        conn = self._get_conn()
+        query = """
+            SELECT trade_date, close
+            FROM index_daily
+            WHERE ts_code = %s AND trade_date BETWEEN %s AND %s
+            ORDER BY trade_date
+        """
+        df = pd.read_sql(query, conn, params=[code, start_date, end_date])
+        if df.empty:
+            raise ValueError(f"指数 {code} 无数据")
+        s = pd.Series(df["close"].values, index=pd.to_datetime(df["trade_date"]))
+        return s.sort_index().rename(code)
+
+    # ==================================================================
+    # 模拟数据（数据库不可用时的回退）
+    # ==================================================================
+
+    def _simulate_prices(self, start_date: str, end_date: str) -> pd.DataFrame:
+        np.random.seed(self.seed)
+        dates = pd.bdate_range(start_date, end_date)
+        n_dates, n_stocks = len(dates), len(self.stocks)
+        # 几何布朗运动模拟股价
+        rets = np.random.randn(n_dates, n_stocks) * 0.02
+        rets[:, 0] *= 0.5   # 让第一只股票波动小（制造多样化）
+        rets[:, 1] *= 1.5   # 让第二只股票波动大
+        prices = 100 * np.exp(np.cumsum(rets, axis=0))
+        df = pd.DataFrame(prices, index=dates, columns=self.stocks)
+        return df
+
+    def _simulate_factor(self, name: str, start_date: str, end_date: str) -> pd.DataFrame:
+        np.random.seed(self.seed)
+        dates = pd.bdate_range(start_date, end_date)
+        n = len(self.stocks)
+        data = np.random.randn(len(dates), n)
+        # 部分指标需要为正（估值/基本面）
+        positive_fields = {
+            "pe", "pe_ttm", "pb", "ps", "ps_ttm", "dv_ratio", "dv_ttm",
+            "total_mv", "circ_mv", "turnover_rate", "volume_ratio",
+            "roe", "roe_dt", "roa", "roa2", "roic", "gross_margin",
+            "eps", "dt_eps", "current_ratio", "quick_ratio", "debt_to_assets",
+            "assets_turn", "cfo_to_or", "ocfps",
+        }
+        if name in positive_fields:
+            data = np.abs(data) + 0.5
+        return pd.DataFrame(data, index=dates, columns=self.stocks)

alpha/价值投资策略.ipynb

@@ -0,0 +1,296 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# 价值投资策略 — 构建与回测\n",
+    "\n",
+    "## 策略思路\n",
+    "价值投资（Value Investing）：买入相对于基本面被低估的股票。\n",
+    "本策略使用 **市盈率 PE 倒数（EP）** 与 **市净率 PB 倒数（BP）** 合成价值因子，\n",
+    "每月调仓，持有估值最低（价值因子最高）的一批股票。\n",
+    "\n",
+    "## 研究流程\n",
+    "1. 加载数据（价格 + PE/PB 估值指标）\n",
+    "2. 价值因子计算与 IC 分析\n",
+    "3. 分层回测验证因子有效性\n",
+    "4. 构建策略并回测\n",
+    "5. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import sys\n",
+    "sys.path.insert(0, '..')\n",
+    "\n",
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import matplotlib.pyplot as plt\n",
+    "\n",
+    "from alpha.config import AlphaConfig\n",
+    "from alpha.factors import FactorAnalyzer\n",
+    "from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
+    "from alpha.backtest import BacktestEngine\n",
+    "from alpha.evaluation import PerformanceEvaluator\n",
+    "from alpha.data_loader import DataLoader\n",
+    "\n",
+    "%matplotlib inline\n",
+    "plt.rcParams['font.sans-serif'] = ['SimHei']\n",
+    "plt.rcParams['axes.unicode_minus'] = False\n",
+    "\n",
+    "print('模块导入成功')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 1. 加载数据\n",
+    "\n",
+    "价值因子需要估值数据（PE / PB），通过 `DataLoader.load_factor` 加载。"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "START_DATE = '2020-01-01'\n",
+    "END_DATE   = '2024-12-31'\n",
+    "\n",
+    "loader = DataLoader()\n",
+    "\n",
+    "# 价格数据 + 估值数据\n",
+    "price_data = loader.load_prices(START_DATE, END_DATE)\n",
+    "pe_data  = loader.load_factor('pe_ttm', START_DATE, END_DATE)   # 市盈率 TTM\n",
+    "pb_data  = loader.load_factor('pb', START_DATE, END_DATE)       # 市净率\n",
+    "\n",
+    "print(f'价格数据: {price_data.shape}')\n",
+    "print(f'PE(TTM)数据: {pe_data.shape}')\n",
+    "print(f'PB数据: {pb_data.shape}')\n",
+    "\n",
+    "# 展示某天的估值截面\n",
+    "sample = pd.DataFrame({\n",
+    "    'PE_TTM': pe_data.iloc[-1],\n",
+    "    'PB': pb_data.iloc[-1],\n",
+    "}).dropna()\n",
+    "sample.head(10)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 2. 价值因子计算与 IC 分析\n",
+    "\n",
+    "价值因子 = 标准化后的 (1/PE + 1/PB)：\n",
+    "$$\n",
+    "Value = Z\\left(\\frac{1}{PE}\\right) + Z\\left(\\frac{1}{PB}\\right)\n",
+    "$$\n",
+    "PE/PB 越低 → 价值因子越高 → 越被低估。"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 剔除 PE/PB 非正值（亏损或净资产为负）\n",
+    "ep = 1.0 / pe_data.where(pe_data > 0)\n",
+    "bp = 1.0 / pb_data.where(pb_data > 0)\n",
+    "\n",
+    "# 截面标准化后合成\n",
+    "def zscore_cross_section(df):\n",
+    "    return (df - df.mean(axis=1)) / (df.std(axis=1) + 1e-12)\n",
+    "\n",
+    "value_factor = zscore_cross_section(ep) + zscore_cross_section(bp)\n",
+    "\n",
+    "# 未来 20 日收益率（价值因子预测周期较长）\n",
+    "fwd_20d = price_data.pct_change(20).shift(-20)\n",
+    "\n",
+    "factor_stacked = value_factor.stack()\n",
+    "fwd_stacked = fwd_20d.stack()\n",
+    "\n",
+    "analyzer = FactorAnalyzer(factor_stacked, fwd_stacked)\n",
+    "ic = analyzer.compute_ic(method='rank')\n",
+    "\n",
+    "print('价值因子 IC 汇总:')\n",
+    "for k, v in analyzer.ic_summary().items():\n",
+    "    print(f'  {k}: {v:.4f}')\n",
+    "\n",
+    "ic.plot(figsize=(12, 3), title='价值因子 Rank IC 时间序列')\n",
+    "plt.axhline(y=0, color='r', linestyle='--')\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 3. 分层回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "quantile_ret = analyzer.quantile_returns(n_quantiles=5)\n",
+    "print('各分位组平均收益 (Q1=最贵, Q5=最便宜):')\n",
+    "print(quantile_ret)\n",
+    "\n",
+    "quantile_ret['avg_return'].plot(kind='bar', figsize=(8, 4), color='steelblue')\n",
+    "plt.title('价值因子分层收益 (未来20日)')\n",
+    "plt.ylabel('平均收益率')\n",
+    "plt.grid(True, alpha=0.3)\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 4. 构建策略并回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测配置\n",
+    "config = AlphaConfig(\n",
+    "    initial_cash=1_000_000,\n",
+    "    commission_rate=0.0003,\n",
+    "    slippage=0.001,\n",
+    "    stamp_tax=0.001,\n",
+    ")\n",
+    "\n",
+    "# 价值策略：持有价值因子最高的 20% 股票（最被低估）\n",
+    "strategy = Strategy(\n",
+    "    name='价值投资策略-EP+BP',\n",
+    "    factors=[],\n",
+    "    signal_generator=QuantileSignal(\n",
+    "        n_quantiles=5, long_quantile=5, short_quantile=0,\n",
+    "    ),\n",
+    "    weight_allocator=EqualWeightAllocator(max_positions=10),\n",
+    "    description='每月持有EP+BP合成的价值因子最高的20%股票'\n",
+    ")\n",
+    "\n",
+    "engine = BacktestEngine(config)\n",
+    "equity_curve = engine.run(\n",
+    "    strategy=strategy,\n",
+    "    price_data=price_data,\n",
+    "    factor_data={'value': value_factor},\n",
+    "    rebalance_freq='M',\n",
+    ")\n",
+    "\n",
+    "print(f'回测完成, 共 {len(equity_curve)} 个交易日')\n",
+    "print(f'累计收益率: {(equity_curve[\"nav\"].iloc[-1] - 1) * 100:.2f}%')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 5. 净值曲线与回撤"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "fig, axes = plt.subplots(2, 1, figsize=(14, 8))\n",
+    "\n",
+    "# 净值曲线\n",
+    "axes[0].plot(equity_curve.index, equity_curve['nav'], label='策略净值', color='purple')\n",
+    "axes[0].axhline(y=1.0, color='gray', linestyle='--')\n",
+    "axes[0].set_title('价值投资策略净值曲线')\n",
+    "axes[0].legend()\n",
+    "axes[0].grid(True, alpha=0.3)\n",
+    "\n",
+    "# 回撤曲线\n",
+    "nav = equity_curve['nav']\n",
+    "running_max = nav.cummax()\n",
+    "drawdown = (nav - running_max) / running_max\n",
+    "axes[1].fill_between(equity_curve.index, 0, drawdown.values, color='red', alpha=0.3)\n",
+    "axes[1].set_title('回撤曲线')\n",
+    "axes[1].grid(True, alpha=0.3)\n",
+    "\n",
+    "plt.tight_layout()\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 6. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 基准：股票池等权组合\n",
+    "bench_ret = price_data.pct_change().mean(axis=1)\n",
+    "\n",
+    "evaluator = PerformanceEvaluator(equity_curve, benchmark_returns=bench_ret, risk_free_rate=0.03)\n",
+    "print(evaluator.summary())\n",
+    "\n",
+    "report_df = evaluator.full_report()\n",
+    "pd.DataFrame(list(report_df.items()), columns=['指标', '数值']).set_index('指标')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "---\n",
+    "## 单独估值指标对比\n",
+    "\n",
+    "对比单独使用 EP、BP 与合成价值因子的效果："
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 单独因子的 IC 对比\n",
+    "for name, fac in [('EP', ep), ('BP', bp), ('EP+BP', value_factor)]:\n",
+    "    a = FactorAnalyzer(fac.stack(), fwd_stacked)\n",
+    "    s = a.ic_summary()\n",
+    "    print(f'{name}: IC均值={s[\"IC_Mean\"]:.4f}, ICIR={s[\"IR\"]:.4f}, '\n",
+    "          f'IC>0占比={s[\"IC>0_Ratio\"]:.2%}')"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.10.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

alpha/低波动率策略.ipynb

@@ -0,0 +1,277 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# 低波动率策略 — 构建与回测\n",
+    "\n",
+    "## 策略思路\n",
+    "低波动率异常（Low Volatility Anomaly）指波动率较低的股票，长期来看风险调整后收益往往优于高波动股票。\n",
+    "本策略使用 **20 日波动率倒数** 作为低波因子，每月调仓，买入波动率最低的一批股票。\n",
+    "\n",
+    "## 研究流程\n",
+    "1. 加载数据\n",
+    "2. 低波因子计算与 IC 分析\n",
+    "3. 分层回测验证因子有效性\n",
+    "4. 构建策略并回测\n",
+    "5. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import sys\n",
+    "sys.path.insert(0, '..')\n",
+    "\n",
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import matplotlib.pyplot as plt\n",
+    "\n",
+    "from alpha.config import AlphaConfig\n",
+    "from alpha.factors import FactorAnalyzer\n",
+    "from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
+    "from alpha.backtest import BacktestEngine\n",
+    "from alpha.evaluation import PerformanceEvaluator\n",
+    "from alpha.data_loader import DataLoader\n",
+    "\n",
+    "%matplotlib inline\n",
+    "plt.rcParams['font.sans-serif'] = ['SimHei']\n",
+    "plt.rcParams['axes.unicode_minus'] = False\n",
+    "\n",
+    "print('模块导入成功')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 1. 加载数据"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测区间\n",
+    "START_DATE = '2020-01-01'\n",
+    "END_DATE   = '2024-12-31'\n",
+    "\n",
+    "loader = DataLoader()\n",
+    "\n",
+    "# 后复权收盘价\n",
+    "price_data = loader.load_prices(START_DATE, END_DATE)\n",
+    "print(f'价格数据: {price_data.shape}, 日期: {price_data.index[0]} ~ {price_data.index[-1]}')\n",
+    "price_data.head()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 2. 低波因子计算与 IC 分析"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 低波因子: 20日波动率的倒数（波动越小 → 因子值越大）\n",
+    "VOL_WINDOW = 20\n",
+    "daily_ret = price_data.pct_change()\n",
+    "volatility = daily_ret.rolling(VOL_WINDOW).std()\n",
+    "low_vol_factor = -volatility  # 取负号使低波动为正\n",
+    "\n",
+    "# 未来 10 日收益率（验证预测能力，低波策略通常持有期较长）\n",
+    "fwd_10d = price_data.pct_change(10).shift(-10)\n",
+    "\n",
+    "factor_stacked = low_vol_factor.stack()\n",
+    "fwd_stacked = fwd_10d.stack()\n",
+    "\n",
+    "analyzer = FactorAnalyzer(factor_stacked, fwd_stacked)\n",
+    "ic = analyzer.compute_ic(method='rank')\n",
+    "\n",
+    "print('低波因子 IC 汇总:')\n",
+    "for k, v in analyzer.ic_summary().items():\n",
+    "    print(f'  {k}: {v:.4f}')\n",
+    "\n",
+    "# IC 曲线\n",
+    "ic.plot(figsize=(12, 3), title='低波因子 Rank IC 时间序列')\n",
+    "plt.axhline(y=0, color='r', linestyle='--')\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 3. 分层回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 分 5 组，观察单调性（Q1=高波动, Q5=低波动）\n",
+    "quantile_ret = analyzer.quantile_returns(n_quantiles=5)\n",
+    "print('各分位组平均收益 (Q1=最高波动, Q5=最低波动):')\n",
+    "print(quantile_ret)\n",
+    "\n",
+    "quantile_ret['avg_return'].plot(kind='bar', figsize=(8, 4), color='steelblue')\n",
+    "plt.title('低波因子分层收益 (未来10日)')\n",
+    "plt.ylabel('平均收益率')\n",
+    "plt.grid(True, alpha=0.3)\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 4. 构建策略并回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测配置\n",
+    "config = AlphaConfig(\n",
+    "    initial_cash=1_000_000,\n",
+    "    commission_rate=0.0003,\n",
+    "    slippage=0.001,\n",
+    "    stamp_tax=0.001,\n",
+    ")\n",
+    "\n",
+    "# 低波策略：持有波动率最低的 20% 股票，等权\n",
+    "strategy = Strategy(\n",
+    "    name='低波动率策略-20日',\n",
+    "    factors=[],\n",
+    "    signal_generator=QuantileSignal(\n",
+    "        n_quantiles=5, long_quantile=5, short_quantile=0,  # 只做多\n",
+    "    ),\n",
+    "    weight_allocator=EqualWeightAllocator(max_positions=10),\n",
+    "    description='每月持有过去20日波动率最低的20%股票，等权配置'\n",
+    ")\n",
+    "\n",
+    "engine = BacktestEngine(config)\n",
+    "equity_curve = engine.run(\n",
+    "    strategy=strategy,\n",
+    "    price_data=price_data,\n",
+    "    factor_data={'low_vol': low_vol_factor},\n",
+    "    rebalance_freq='M',\n",
+    ")\n",
+    "\n",
+    "print(f'回测完成, 共 {len(equity_curve)} 个交易日')\n",
+    "print(f'累计收益率: {(equity_curve[\"nav\"].iloc[-1] - 1) * 100:.2f}%')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 5. 净值曲线与回撤"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "fig, axes = plt.subplots(2, 1, figsize=(14, 8))\n",
+    "\n",
+    "# 净值曲线\n",
+    "axes[0].plot(equity_curve.index, equity_curve['nav'], label='策略净值', color='green')\n",
+    "axes[0].axhline(y=1.0, color='gray', linestyle='--')\n",
+    "axes[0].set_title('低波动率策略净值曲线')\n",
+    "axes[0].legend()\n",
+    "axes[0].grid(True, alpha=0.3)\n",
+    "\n",
+    "# 回撤曲线\n",
+    "nav = equity_curve['nav']\n",
+    "running_max = nav.cummax()\n",
+    "drawdown = (nav - running_max) / running_max\n",
+    "axes[1].fill_between(equity_curve.index, 0, drawdown.values, color='red', alpha=0.3)\n",
+    "axes[1].set_title('回撤曲线')\n",
+    "axes[1].grid(True, alpha=0.3)\n",
+    "\n",
+    "plt.tight_layout()\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 6. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 基准：股票池等权组合\n",
+    "bench_ret = price_data.pct_change().mean(axis=1)\n",
+    "\n",
+    "evaluator = PerformanceEvaluator(equity_curve, benchmark_returns=bench_ret, risk_free_rate=0.03)\n",
+    "print(evaluator.summary())\n",
+    "\n",
+    "report_df = evaluator.full_report()\n",
+    "pd.DataFrame(list(report_df.items()), columns=['指标', '数值']).set_index('指标')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "---\n",
+    "## 波动率窗口敏感性分析\n",
+    "\n",
+    "不同波动率计算窗口对因子表现的影响："
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 不同波动率窗口对比\n",
+    "for win in [5, 10, 20, 40]:\n",
+    "    vol = daily_ret.rolling(win).std()\n",
+    "    fac = -vol\n",
+    "    a = FactorAnalyzer(fac.stack(), fwd_stacked)\n",
+    "    summary = a.ic_summary()\n",
+    "    print(f'窗口 {win}日: IC均值={summary[\"IC_Mean\"]:.4f}, ICIR={summary[\"IR\"]:.4f}, '\n",
+    "          f'IC>0占比={summary[\"IC>0_Ratio\"]:.2%}')"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.10.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

alpha/动量策略.ipynb

@@ -0,0 +1,307 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# 动量策略 — 构建与回测\n",
+    "\n",
+    "## 策略思路\n",
+    "动量效应（Momentum Effect）指过去一段时间表现良好的股票，未来一段时间内往往继续表现良好。\n",
+    "本策略使用 **20 日收益率** 作为动量因子，每月调仓，买入过去表现最好的一个分位组股票。\n",
+    "\n",
+    "## 研究流程\n",
+    "1. 加载数据\n",
+    "2. 动量因子计算与 IC 分析\n",
+    "3. 分层回测验证因子有效性\n",
+    "4. 构建策略并回测\n",
+    "5. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import sys\n",
+    "sys.path.insert(0, '..')\n",
+    "\n",
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import matplotlib.pyplot as plt\n",
+    "\n",
+    "from alpha.config import AlphaConfig\n",
+    "from alpha.factors import FactorAnalyzer\n",
+    "from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
+    "from alpha.backtest import BacktestEngine\n",
+    "from alpha.evaluation import PerformanceEvaluator, ReportGenerator\n",
+    "from alpha.data_loader import DataLoader\n",
+    "\n",
+    "%matplotlib inline\n",
+    "plt.rcParams['font.sans-serif'] = ['SimHei']\n",
+    "plt.rcParams['axes.unicode_minus'] = False\n",
+    "\n",
+    "print('模块导入成功')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 1. 加载数据"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测区间\n",
+    "START_DATE = '2020-01-01'\n",
+    "END_DATE   = '2024-12-31'\n",
+    "\n",
+    "loader = DataLoader()\n",
+    "\n",
+    "# 后复权收盘价\n",
+    "price_data = loader.load_prices(START_DATE, END_DATE)\n",
+    "print(f'价格数据: {price_data.shape}, 日期: {price_data.index[0]} ~ {price_data.index[-1]}')\n",
+    "print(f'股票数量: {price_data.shape[1]}')\n",
+    "price_data.head()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 2. 动量因子计算与 IC 分析"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 动量因子: 20日收益率（过去20个交易日涨跌幅）\n",
+    "MOM_WINDOW = 20\n",
+    "momentum = price_data.pct_change(MOM_WINDOW)\n",
+    "\n",
+    "# 未来 5 日收益率（验证短期预测能力）\n",
+    "fwd_5d = price_data.pct_change(5).shift(-5)\n",
+    "\n",
+    "# 堆叠为长表 (MultiIndex: date, stock)\n",
+    "factor_stacked = momentum.stack()\n",
+    "fwd_stacked = fwd_5d.stack()\n",
+    "\n",
+    "analyzer = FactorAnalyzer(factor_stacked, fwd_stacked)\n",
+    "ic = analyzer.compute_ic(method='rank')\n",
+    "\n",
+    "print('动量因子 IC 汇总:')\n",
+    "for k, v in analyzer.ic_summary().items():\n",
+    "    print(f'  {k}: {v:.4f}')\n",
+    "\n",
+    "# IC 曲线\n",
+    "ic.plot(figsize=(12, 3), title='动量因子 Rank IC 时间序列')\n",
+    "plt.axhline(y=0, color='r', linestyle='--')\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 3. 分层回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 分 5 组，观察单调性\n",
+    "quantile_ret = analyzer.quantile_returns(n_quantiles=5)\n",
+    "print('各分位组平均收益 (Q1=最低动量, Q5=最高动量):')\n",
+    "print(quantile_ret)\n",
+    "\n",
+    "# 绘制分组收益条形图\n",
+    "quantile_ret['avg_return'].plot(kind='bar', figsize=(8, 4), color='steelblue')\n",
+    "plt.title('动量因子分层收益 (未来5日)')\n",
+    "plt.ylabel('平均收益率')\n",
+    "plt.grid(True, alpha=0.3)\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 4. 构建策略并回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测配置\n",
+    "config = AlphaConfig(\n",
+    "    initial_cash=1_000_000,\n",
+    "    commission_rate=0.0003,\n",
+    "    slippage=0.001,\n",
+    "    stamp_tax=0.001,\n",
+    ")\n",
+    "\n",
+    "# 动量策略：Top 20% (Q5) 长期持有，等权\n",
+    "strategy = Strategy(\n",
+    "    name='动量策略-20日Top20%',\n",
+    "    factors=[],\n",
+    "    signal_generator=QuantileSignal(\n",
+    "        n_quantiles=5, long_quantile=5, short_quantile=0,  # 只做多\n",
+    "    ),\n",
+    "    weight_allocator=EqualWeightAllocator(max_positions=10),\n",
+    "    description='每月持有过去20日涨幅最高的20%股票，等权配置'\n",
+    ")\n",
+    "\n",
+    "# 回测引擎\n",
+    "engine = BacktestEngine(config)\n",
+    "equity_curve = engine.run(\n",
+    "    strategy=strategy,\n",
+    "    price_data=price_data,\n",
+    "    factor_data={'momentum': momentum},\n",
+    "    rebalance_freq='M',  # 月频调仓\n",
+    ")\n",
+    "\n",
+    "print(f'回测完成, 共 {len(equity_curve)} 个交易日')\n",
+    "print(f'累计收益率: {(equity_curve[\"nav\"].iloc[-1] - 1) * 100:.2f}%')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 5. 净值曲线与回撤"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "fig, axes = plt.subplots(2, 1, figsize=(14, 8))\n",
+    "\n",
+    "# 净值曲线\n",
+    "axes[0].plot(equity_curve.index, equity_curve['nav'], label='策略净值', color='steelblue')\n",
+    "axes[0].axhline(y=1.0, color='gray', linestyle='--')\n",
+    "axes[0].set_title('动量策略净值曲线')\n",
+    "axes[0].legend()\n",
+    "axes[0].grid(True, alpha=0.3)\n",
+    "\n",
+    "# 回撤曲线\n",
+    "nav = equity_curve['nav']\n",
+    "running_max = nav.cummax()\n",
+    "drawdown = (nav - running_max) / running_max\n",
+    "axes[1].fill_between(equity_curve.index, 0, drawdown.values, color='red', alpha=0.3)\n",
+    "axes[1].set_title('回撤曲线')\n",
+    "axes[1].grid(True, alpha=0.3)\n",
+    "\n",
+    "plt.tight_layout()\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 6. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 基准：股票池等权组合\n",
+    "bench_ret = price_data.pct_change().mean(axis=1)\n",
+    "\n",
+    "evaluator = PerformanceEvaluator(equity_curve, benchmark_returns=bench_ret, risk_free_rate=0.03)\n",
+    "print(evaluator.summary())\n",
+    "\n",
+    "# 导出报告\n",
+    "report_df = evaluator.full_report()\n",
+    "pd.DataFrame(list(report_df.items()), columns=['指标', '数值']).set_index('指标')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 7. 交易记录分析"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "trades = engine.portfolio.trades\n",
+    "if trades:\n",
+    "    trade_df = pd.DataFrame([\n",
+    "        {'日期': t.date, '股票': t.stock, '方向': t.side,\n",
+    "         '数量': t.quantity, '价格': t.price, '佣金': t.commission}\n",
+    "        for t in trades\n",
+    "    ])\n",
+    "    print(f'总交易数: {len(trade_df)}')\n",
+    "    print(f'买入: {(trade_df[\"方向\"]==\"buy\").sum()}, 卖出: {(trade_df[\"方向\"]==\"sell\").sum()}')\n",
+    "    display(trade_df.head(20))\n",
+    "else:\n",
+    "    print('无交易记录（可能数据量不足）')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "---\n",
+    "## 参数敏感性分析\n",
+    "\n",
+    "动量窗口是影响策略表现的关键参数，可尝试不同窗口："
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 不同动量窗口对比\n",
+    "for win in [10, 20, 40, 60]:\n",
+    "    mom = price_data.pct_change(win)\n",
+    "    fwd = price_data.pct_change(5).shift(-5)\n",
+    "    a = FactorAnalyzer(mom.stack(), fwd.stack())\n",
+    "    summary = a.ic_summary()\n",
+    "    print(f'窗口 {win}日: IC均值={summary[\"IC_Mean\"]:.4f}, ICIR={summary[\"IR\"]:.4f}, '\n",
+    "          f'IC>0占比={summary[\"IC>0_Ratio\"]:.2%}')"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.10.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

alpha/均线趋势策略.ipynb

@@ -0,0 +1,274 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# 均线趋势策略 — 构建与回测\n",
+    "\n",
+    "## 策略思路\n",
+    "趋势跟踪（Trend Following）：价格位于均线上方且均线向上时做多，反之做空/空仓。\n",
+    "本策略使用 **股价偏离 20 日均线的 Z-Score** 作为趋势强度因子，\n",
+    "每月调仓，买入趋势强度排名靠前的股票。\n",
+    "\n",
+    "## 研究流程\n",
+    "1. 加载数据\n",
+    "2. 趋势因子计算与 IC 分析\n",
+    "3. 分层回测验证因子有效性\n",
+    "4. 构建策略并回测\n",
+    "5. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import sys\n",
+    "sys.path.insert(0, '..')\n",
+    "\n",
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import matplotlib.pyplot as plt\n",
+    "\n",
+    "from alpha.config import AlphaConfig\n",
+    "from alpha.factors import FactorAnalyzer\n",
+    "from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
+    "from alpha.backtest import BacktestEngine\n",
+    "from alpha.evaluation import PerformanceEvaluator\n",
+    "from alpha.data_loader import DataLoader\n",
+    "\n",
+    "%matplotlib inline\n",
+    "plt.rcParams['font.sans-serif'] = ['SimHei']\n",
+    "plt.rcParams['axes.unicode_minus'] = False\n",
+    "\n",
+    "print('模块导入成功')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 1. 加载数据"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "START_DATE = '2020-01-01'\n",
+    "END_DATE   = '2024-12-31'\n",
+    "\n",
+    "loader = DataLoader()\n",
+    "price_data = loader.load_prices(START_DATE, END_DATE)\n",
+    "print(f'价格数据: {price_data.shape}, 日期: {price_data.index[0]} ~ {price_data.index[-1]}')\n",
+    "price_data.head()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 2. 趋势因子计算与 IC 分析\n",
+    "\n",
+    "趋势因子 = 价格偏离 20 日均线的幅度（百分比）：\n",
+    "$$Trend = \\frac{Close}{MA_{20}} - 1$$"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "MA_WINDOW = 20\n",
+    "ma = price_data.rolling(MA_WINDOW).mean()\n",
+    "trend_factor = price_data / ma - 1  # 正偏离 = 上升趋势\n",
+    "\n",
+    "# 未来 5 日收益率\n",
+    "fwd_5d = price_data.pct_change(5).shift(-5)\n",
+    "\n",
+    "factor_stacked = trend_factor.stack()\n",
+    "fwd_stacked = fwd_5d.stack()\n",
+    "\n",
+    "analyzer = FactorAnalyzer(factor_stacked, fwd_stacked)\n",
+    "ic = analyzer.compute_ic(method='rank')\n",
+    "\n",
+    "print('趋势因子 IC 汇总:')\n",
+    "for k, v in analyzer.ic_summary().items():\n",
+    "    print(f'  {k}: {v:.4f}')\n",
+    "\n",
+    "ic.plot(figsize=(12, 3), title='趋势因子 Rank IC 时间序列')\n",
+    "plt.axhline(y=0, color='r', linestyle='--')\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 3. 分层回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "quantile_ret = analyzer.quantile_returns(n_quantiles=5)\n",
+    "print('各分位组平均收益 (Q1=最强下跌趋势, Q5=最强上升趋势):')\n",
+    "print(quantile_ret)\n",
+    "\n",
+    "quantile_ret['avg_return'].plot(kind='bar', figsize=(8, 4), color='steelblue')\n",
+    "plt.title('趋势因子分层收益 (未来5日)')\n",
+    "plt.ylabel('平均收益率')\n",
+    "plt.grid(True, alpha=0.3)\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 4. 构建策略并回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测配置\n",
+    "config = AlphaConfig(\n",
+    "    initial_cash=1_000_000,\n",
+    "    commission_rate=0.0003,\n",
+    "    slippage=0.001,\n",
+    "    stamp_tax=0.001,\n",
+    ")\n",
+    "\n",
+    "# 趋势策略：持有趋势最强（均线偏离最大）的 20% 股票\n",
+    "strategy = Strategy(\n",
+    "    name='均线趋势策略-MA20',\n",
+    "    factors=[],\n",
+    "    signal_generator=QuantileSignal(\n",
+    "        n_quantiles=5, long_quantile=5, short_quantile=0,\n",
+    "    ),\n",
+    "    weight_allocator=EqualWeightAllocator(max_positions=10),\n",
+    "    description='每月持有价格高于20日均线幅度最大的20%股票'\n",
+    ")\n",
+    "\n",
+    "engine = BacktestEngine(config)\n",
+    "equity_curve = engine.run(\n",
+    "    strategy=strategy,\n",
+    "    price_data=price_data,\n",
+    "    factor_data={'trend': trend_factor},\n",
+    "    rebalance_freq='M',\n",
+    ")\n",
+    "\n",
+    "print(f'回测完成, 共 {len(equity_curve)} 个交易日')\n",
+    "print(f'累计收益率: {(equity_curve[\"nav\"].iloc[-1] - 1) * 100:.2f}%')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 5. 净值曲线与回撤"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "fig, axes = plt.subplots(2, 1, figsize=(14, 8))\n",
+    "\n",
+    "# 净值曲线\n",
+    "axes[0].plot(equity_curve.index, equity_curve['nav'], label='策略净值', color='orange')\n",
+    "axes[0].axhline(y=1.0, color='gray', linestyle='--')\n",
+    "axes[0].set_title('均线趋势策略净值曲线')\n",
+    "axes[0].legend()\n",
+    "axes[0].grid(True, alpha=0.3)\n",
+    "\n",
+    "# 回撤曲线\n",
+    "nav = equity_curve['nav']\n",
+    "running_max = nav.cummax()\n",
+    "drawdown = (nav - running_max) / running_max\n",
+    "axes[1].fill_between(equity_curve.index, 0, drawdown.values, color='red', alpha=0.3)\n",
+    "axes[1].set_title('回撤曲线')\n",
+    "axes[1].grid(True, alpha=0.3)\n",
+    "\n",
+    "plt.tight_layout()\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 6. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 基准：股票池等权组合\n",
+    "bench_ret = price_data.pct_change().mean(axis=1)\n",
+    "\n",
+    "evaluator = PerformanceEvaluator(equity_curve, benchmark_returns=bench_ret, risk_free_rate=0.03)\n",
+    "print(evaluator.summary())\n",
+    "\n",
+    "report_df = evaluator.full_report()\n",
+    "pd.DataFrame(list(report_df.items()), columns=['指标', '数值']).set_index('指标')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "---\n",
+    "## 均线周期敏感性分析\n",
+    "\n",
+    "不同均线周期对趋势因子的影响："
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 不同均线周期对比\n",
+    "for win in [5, 10, 20, 60]:\n",
+    "    ma_tmp = price_data.rolling(win).mean()\n",
+    "    fac = price_data / ma_tmp - 1\n",
+    "    a = FactorAnalyzer(fac.stack(), fwd_stacked)\n",
+    "    summary = a.ic_summary()\n",
+    "    print(f'MA{win}: IC均值={summary[\"IC_Mean\"]:.4f}, ICIR={summary[\"IR\"]:.4f}, '\n",
+    "          f'IC>0占比={summary[\"IC>0_Ratio\"]:.2%}')"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.10.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

alpha/多因子选股策略.ipynb

@@ -0,0 +1,320 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# 多因子选股策略 — 构建与回测\n",
+    "\n",
+    "## 策略思路\n",
+    "多因子模型（Multi-Factor Model）综合多个维度的因子，分散单一因子的风险，提升选股稳健性。\n",
+    "本策略合成 **四大类因子**：\n",
+    "\n",
+    "| 因子类别 | 具体因子 | 代表逻辑 |\n",
+    "|---------|---------|---------|\n",
+    "| 动量 | 20日收益率 | 强者恒强 |\n",
+    "| 低波 | 20日波动率倒数 | 低波动溢价 |\n",
+    "| 价值 | EP (PE倒数) | 低估值 |\n",
+    "| 质量 | ROE | 高盈利能力 |\n",
+    "\n",
+    "每月调仓，综合得分最高的股票入选。\n",
+    "\n",
+    "## 研究流程\n",
+    "1. 加载数据\n",
+    "2. 各因子计算与 IC 分析\n",
+    "3. 等权合成多因子 + 分层回测\n",
+    "4. 构建策略并回测\n",
+    "5. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import sys\n",
+    "sys.path.insert(0, '..')\n",
+    "\n",
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import matplotlib.pyplot as plt\n",
+    "\n",
+    "from alpha.config import AlphaConfig\n",
+    "from alpha.factors import FactorAnalyzer\n",
+    "from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
+    "from alpha.backtest import BacktestEngine\n",
+    "from alpha.evaluation import PerformanceEvaluator\n",
+    "from alpha.data_loader import DataLoader\n",
+    "\n",
+    "%matplotlib inline\n",
+    "plt.rcParams['font.sans-serif'] = ['SimHei']\n",
+    "plt.rcParams['axes.unicode_minus'] = False\n",
+    "\n",
+    "print('模块导入成功')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 1. 加载数据"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "START_DATE = '2020-01-01'\n",
+    "END_DATE   = '2024-12-31'\n",
+    "\n",
+    "loader = DataLoader()\n",
+    "\n",
+    "# 价格 + 估值 + 财务\n",
+    "price_data = loader.load_prices(START_DATE, END_DATE)\n",
+    "pe_data = loader.load_factor('pe_ttm', START_DATE, END_DATE)\n",
+    "roe_data = loader.load_factor('roe', START_DATE, END_DATE)\n",
+    "\n",
+    "print(f'价格数据: {price_data.shape}')\n",
+    "print(f'PE(TTM)数据: {pe_data.shape}')\n",
+    "print(f'ROE数据: {roe_data.shape}')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 2. 各因子计算与 IC 分析"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# ---- 截面标准化函数 ----\n",
+    "def zscore_cross_section(df):\n",
+    "    return (df - df.mean(axis=1)) / (df.std(axis=1) + 1e-12)\n",
+    "\n",
+    "# ---- 1. 动量因子 (20日收益率) ----\n",
+    "momentum = price_data.pct_change(20)\n",
+    "z_mom = zscore_cross_section(momentum)\n",
+    "\n",
+    "# ---- 2. 低波因子 (20日波动率倒数) ----\n",
+    "daily_ret = price_data.pct_change()\n",
+    "volatility = daily_ret.rolling(20).std()\n",
+    "z_lowvol = -zscore_cross_section(volatility)  # 波动越小越好\n",
+    "\n",
+    "# ---- 3. 价值因子 (EP = 1/PE) ----\n",
+    "ep = 1.0 / pe_data.where(pe_data > 0)\n",
+    "z_value = zscore_cross_section(ep)\n",
+    "\n",
+    "# ---- 4. 质量因子 (ROE) ----\n",
+    "z_quality = zscore_cross_section(roe_data)\n",
+    "\n",
+    "# ---- 汇总各因子 ----\n",
+    "factors = {\n",
+    "    '动量': momentum,\n",
+    "    '低波': -volatility,\n",
+    "    '价值': ep,\n",
+    "    '质量': roe_data,\n",
+    "}\n",
+    "\n",
+    "# 未来 10 日收益率\n",
+    "fwd_10d = price_data.pct_change(10).shift(-10)\n",
+    "\n",
+    "# 各因子 IC 对比\n",
+    "print('各因子 IC 汇总 (未来10日):')\n",
+    "ic_results = {}\n",
+    "for name, fac in factors.items():\n",
+    "    a = FactorAnalyzer(fac.stack(), fwd_10d.stack())\n",
+    "    s = a.ic_summary()\n",
+    "    ic_results[name] = s\n",
+    "    print(f'  {name}: IC均值={s[\"IC_Mean\"]:.4f}, ICIR={s[\"IR\"]:.4f}, '\n",
+    "          f'IC>0占比={s[\"IC>0_Ratio\"]:.2%}')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 3. 合成多因子与分层回测\n",
+    "\n",
+    "等权合成综合得分：\n",
+    "$$Score = \\frac{1}{4}(Z_{Momentum} + Z_{LowVol} + Z_{Value} + Z_{Quality})$$"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 等权合成综合得分\n",
+    "multi_factor = (z_mom + z_lowvol + z_value + z_quality) / 4\n",
+    "\n",
+    "# 分层回测\n",
+    "analyzer = FactorAnalyzer(multi_factor.stack(), fwd_10d.stack())\n",
+    "quantile_ret = analyzer.quantile_returns(n_quantiles=5)\n",
+    "print('多因子分层收益 (Q1=综合得分最低, Q5=最高):')\n",
+    "print(quantile_ret)\n",
+    "\n",
+    "quantile_ret['avg_return'].plot(kind='bar', figsize=(8, 4), color='steelblue')\n",
+    "plt.title('多因子合成分层收益 (未来10日)')\n",
+    "plt.ylabel('平均收益率')\n",
+    "plt.grid(True, alpha=0.3)\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 4. 构建策略并回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测配置\n",
+    "config = AlphaConfig(\n",
+    "    initial_cash=1_000_000,\n",
+    "    commission_rate=0.0003,\n",
+    "    slippage=0.001,\n",
+    "    stamp_tax=0.001,\n",
+    ")\n",
+    "\n",
+    "# 多因子策略：持有综合得分最高的 20% 股票\n",
+    "strategy = Strategy(\n",
+    "    name='多因子选股策略-动量+低波+价值+质量',\n",
+    "    factors=[],\n",
+    "    signal_generator=QuantileSignal(\n",
+    "        n_quantiles=5, long_quantile=5, short_quantile=0,\n",
+    "    ),\n",
+    "    weight_allocator=EqualWeightAllocator(max_positions=10),\n",
+    "    description='每月持有动量/低波/价值/质量四因子综合得分最高的20%股票'\n",
+    ")\n",
+    "\n",
+    "engine = BacktestEngine(config)\n",
+    "equity_curve = engine.run(\n",
+    "    strategy=strategy,\n",
+    "    price_data=price_data,\n",
+    "    factor_data={'multi': multi_factor},\n",
+    "    rebalance_freq='M',\n",
+    ")\n",
+    "\n",
+    "print(f'回测完成, 共 {len(equity_curve)} 个交易日')\n",
+    "print(f'累计收益率: {(equity_curve[\"nav\"].iloc[-1] - 1) * 100:.2f}%')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 5. 净值曲线与回撤"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "fig, axes = plt.subplots(2, 1, figsize=(14, 8))\n",
+    "\n",
+    "# 净值曲线\n",
+    "axes[0].plot(equity_curve.index, equity_curve['nav'], label='策略净值', color='darkred')\n",
+    "axes[0].axhline(y=1.0, color='gray', linestyle='--')\n",
+    "axes[0].set_title('多因子选股策略净值曲线')\n",
+    "axes[0].legend()\n",
+    "axes[0].grid(True, alpha=0.3)\n",
+    "\n",
+    "# 回撤曲线\n",
+    "nav = equity_curve['nav']\n",
+    "running_max = nav.cummax()\n",
+    "drawdown = (nav - running_max) / running_max\n",
+    "axes[1].fill_between(equity_curve.index, 0, drawdown.values, color='red', alpha=0.3)\n",
+    "axes[1].set_title('回撤曲线')\n",
+    "axes[1].grid(True, alpha=0.3)\n",
+    "\n",
+    "plt.tight_layout()\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 6. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 基准：股票池等权组合\n",
+    "bench_ret = price_data.pct_change().mean(axis=1)\n",
+    "\n",
+    "evaluator = PerformanceEvaluator(equity_curve, benchmark_returns=bench_ret, risk_free_rate=0.03)\n",
+    "print(evaluator.summary())\n",
+    "\n",
+    "report_df = evaluator.full_report()\n",
+    "pd.DataFrame(list(report_df.items()), columns=['指标', '数值']).set_index('指标')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "---\n",
+    "## 因子权重敏感性分析\n",
+    "\n",
+    "对比等权合成与单因子策略的 IC 表现："
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 单因子 vs 多因子 IC 对比\n",
+    "all_factors = {\n",
+    "    '动量': z_mom,\n",
+    "    '低波': z_lowvol,\n",
+    "    '价值': z_value,\n",
+    "    '质量': z_quality,\n",
+    "    '多因子(等权)': multi_factor,\n",
+    "}\n",
+    "\n",
+    "print(f\"{'因子':<12} {'IC均值':>8} {'ICIR':>8} {'IC>0占比':>10}\")\n",
+    "print('-' * 42)\n",
+    "for name, fac in all_factors.items():\n",
+    "    a = FactorAnalyzer(fac.stack(), fwd_10d.stack())\n",
+    "    s = a.ic_summary()\n",
+    "    print(f\"{name:<12} {s['IC_Mean']:>8.4f} {s['IR']:>8.4f} {s['IC>0_Ratio']:>10.2%}\")"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.10.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

alpha/质量因子策略.ipynb

@@ -0,0 +1,298 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# 质量因子策略 — 构建与回测\n",
+    "\n",
+    "## 策略思路\n",
+    "质量投资（Quality Investing）：买入盈利能力强、财务稳健的公司。\n",
+    "本策略使用 **ROE、毛利率、资产负债率** 合成质量因子：\n",
+    "- ROE（净资产收益率）越高 → 质量越好\n",
+    "- 毛利率越高 → 质量越好\n",
+    "- 资产负债率越低 → 财务更稳健\n",
+    "\n",
+    "每月调仓，持有质量因子最高的一批股票。\n",
+    "\n",
+    "## 研究流程\n",
+    "1. 加载数据（价格 + 财务指标）\n",
+    "2. 质量因子计算与 IC 分析\n",
+    "3. 分层回测验证因子有效性\n",
+    "4. 构建策略并回测\n",
+    "5. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import sys\n",
+    "sys.path.insert(0, '..')\n",
+    "\n",
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import matplotlib.pyplot as plt\n",
+    "\n",
+    "from alpha.config import AlphaConfig\n",
+    "from alpha.factors import FactorAnalyzer\n",
+    "from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
+    "from alpha.backtest import BacktestEngine\n",
+    "from alpha.evaluation import PerformanceEvaluator\n",
+    "from alpha.data_loader import DataLoader\n",
+    "\n",
+    "%matplotlib inline\n",
+    "plt.rcParams['font.sans-serif'] = ['SimHei']\n",
+    "plt.rcParams['axes.unicode_minus'] = False\n",
+    "\n",
+    "print('模块导入成功')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 1. 加载数据\n",
+    "\n",
+    "质量因子需要财务指标（ROE / 毛利率 / 资产负债率），通过 `DataLoader.load_factor` 加载。"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "START_DATE = '2020-01-01'\n",
+    "END_DATE   = '2024-12-31'\n",
+    "\n",
+    "loader = DataLoader()\n",
+    "\n",
+    "# 价格数据 + 财务数据\n",
+    "price_data = loader.load_prices(START_DATE, END_DATE)\n",
+    "roe_data = loader.load_factor('roe', START_DATE, END_DATE)          # 净资产收益率\n",
+    "gross_margin_data = loader.load_factor('gross_margin', START_DATE, END_DATE)  # 毛利率\n",
+    "debt_data = loader.load_factor('debt_to_assets', START_DATE, END_DATE)  # 资产负债率\n",
+    "\n",
+    "print(f'价格数据: {price_data.shape}')\n",
+    "print(f'ROE数据: {roe_data.shape}')\n",
+    "print(f'毛利率数据: {gross_margin_data.shape}')\n",
+    "print(f'资产负债率数据: {debt_data.shape}')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 2. 质量因子计算与 IC 分析\n",
+    "\n",
+    "质量因子 = Z(ROE) + Z(毛利率) + Z(-资产负债率)\n",
+    "\n",
+    "财务指标为季度数据，`DataLoader` 已重采样到交易日并做向前填充。"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 截面标准化函数\n",
+    "def zscore_cross_section(df):\n",
+    "    return (df - df.mean(axis=1)) / (df.std(axis=1) + 1e-12)\n",
+    "\n",
+    "z_roe   = zscore_cross_section(roe_data)\n",
+    "z_gm    = zscore_cross_section(gross_margin_data)\n",
+    "z_debt  = -zscore_cross_section(debt_data)  # 负债率越低越好\n",
+    "\n",
+    "quality_factor = z_roe + z_gm + z_debt\n",
+    "\n",
+    "# 未来 20 日收益率（质量因子预测周期较长）\n",
+    "fwd_20d = price_data.pct_change(20).shift(-20)\n",
+    "\n",
+    "factor_stacked = quality_factor.stack()\n",
+    "fwd_stacked = fwd_20d.stack()\n",
+    "\n",
+    "analyzer = FactorAnalyzer(factor_stacked, fwd_stacked)\n",
+    "ic = analyzer.compute_ic(method='rank')\n",
+    "\n",
+    "print('质量因子 IC 汇总:')\n",
+    "for k, v in analyzer.ic_summary().items():\n",
+    "    print(f'  {k}: {v:.4f}')\n",
+    "\n",
+    "ic.plot(figsize=(12, 3), title='质量因子 Rank IC 时间序列')\n",
+    "plt.axhline(y=0, color='r', linestyle='--')\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 3. 分层回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "quantile_ret = analyzer.quantile_returns(n_quantiles=5)\n",
+    "print('各分位组平均收益 (Q1=质量最差, Q5=质量最好):')\n",
+    "print(quantile_ret)\n",
+    "\n",
+    "quantile_ret['avg_return'].plot(kind='bar', figsize=(8, 4), color='steelblue')\n",
+    "plt.title('质量因子分层收益 (未来20日)')\n",
+    "plt.ylabel('平均收益率')\n",
+    "plt.grid(True, alpha=0.3)\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 4. 构建策略并回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 回测配置\n",
+    "config = AlphaConfig(\n",
+    "    initial_cash=1_000_000,\n",
+    "    commission_rate=0.0003,\n",
+    "    slippage=0.001,\n",
+    "    stamp_tax=0.001,\n",
+    ")\n",
+    "\n",
+    "# 质量策略：持有质量因子最高的 20% 股票\n",
+    "strategy = Strategy(\n",
+    "    name='质量因子策略-ROE+毛利率+低负债',\n",
+    "    factors=[],\n",
+    "    signal_generator=QuantileSignal(\n",
+    "        n_quantiles=5, long_quantile=5, short_quantile=0,\n",
+    "    ),\n",
+    "    weight_allocator=EqualWeightAllocator(max_positions=10),\n",
+    "    description='每月持有ROE高、毛利率高、负债率低的优质公司'\n",
+    ")\n",
+    "\n",
+    "engine = BacktestEngine(config)\n",
+    "equity_curve = engine.run(\n",
+    "    strategy=strategy,\n",
+    "    price_data=price_data,\n",
+    "    factor_data={'quality': quality_factor},\n",
+    "    rebalance_freq='M',\n",
+    ")\n",
+    "\n",
+    "print(f'回测完成, 共 {len(equity_curve)} 个交易日')\n",
+    "print(f'累计收益率: {(equity_curve[\"nav\"].iloc[-1] - 1) * 100:.2f}%')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 5. 净值曲线与回撤"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "fig, axes = plt.subplots(2, 1, figsize=(14, 8))\n",
+    "\n",
+    "# 净值曲线\n",
+    "axes[0].plot(equity_curve.index, equity_curve['nav'], label='策略净值', color='brown')\n",
+    "axes[0].axhline(y=1.0, color='gray', linestyle='--')\n",
+    "axes[0].set_title('质量因子策略净值曲线')\n",
+    "axes[0].legend()\n",
+    "axes[0].grid(True, alpha=0.3)\n",
+    "\n",
+    "# 回撤曲线\n",
+    "nav = equity_curve['nav']\n",
+    "running_max = nav.cummax()\n",
+    "drawdown = (nav - running_max) / running_max\n",
+    "axes[1].fill_between(equity_curve.index, 0, drawdown.values, color='red', alpha=0.3)\n",
+    "axes[1].set_title('回撤曲线')\n",
+    "axes[1].grid(True, alpha=0.3)\n",
+    "\n",
+    "plt.tight_layout()\n",
+    "plt.show()"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 6. 绩效评估"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 基准：股票池等权组合\n",
+    "bench_ret = price_data.pct_change().mean(axis=1)\n",
+    "\n",
+    "evaluator = PerformanceEvaluator(equity_curve, benchmark_returns=bench_ret, risk_free_rate=0.03)\n",
+    "print(evaluator.summary())\n",
+    "\n",
+    "report_df = evaluator.full_report()\n",
+    "pd.DataFrame(list(report_df.items()), columns=['指标', '数值']).set_index('指标')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "---\n",
+    "## 质量分项指标对比\n",
+    "\n",
+    "对比各质量指标单独用于选股的效果："
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 各分项因子 IC 对比\n",
+    "for name, fac in [\n",
+    "    ('ROE', z_roe),\n",
+    "    ('毛利率', z_gm),\n",
+    "    ('低负债率', z_debt),\n",
+    "    ('质量合成', quality_factor),\n",
+    "]:\n",
+    "    a = FactorAnalyzer(fac.stack(), fwd_stacked)\n",
+    "    s = a.ic_summary()\n",
+    "    print(f'{name}: IC均值={s[\"IC_Mean\"]:.4f}, ICIR={s[\"IR\"]:.4f}, '\n",
+    "          f'IC>0占比={s[\"IC>0_Ratio\"]:.2%}')"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.10.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}