From 6deda5155af2919f38f727ea2bdfac6052213e8b Mon Sep 17 00:00:00 2001
From: shellway-pc <413209390@qq.com>
Date: Fri, 31 Jul 2026 21:23:35 +0800
Subject: [PATCH] =?UTF-8?q?feat:=E6=B7=BB=E5=8A=A0alpha=E6=A8=A1=E5=9D=97?=
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
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---
 alpha/__init__.py              |  26 +++
 alpha/backtest.py              | 401 +++++++++++++++++++++++++++++++++
 alpha/config.py                |  42 ++++
 alpha/evaluation.py            | 262 +++++++++++++++++++++
 alpha/factors.py               | 256 +++++++++++++++++++++
 alpha/requirements.txt         |   6 +
 alpha/strategy.py              | 254 +++++++++++++++++++++
 alpha/阿尔法策略研究示例.ipynb | 279 +++++++++++++++++++++++
 8 files changed, 1526 insertions(+)
 create mode 100644 alpha/__init__.py
 create mode 100644 alpha/backtest.py
 create mode 100644 alpha/config.py
 create mode 100644 alpha/evaluation.py
 create mode 100644 alpha/factors.py
 create mode 100644 alpha/requirements.txt
 create mode 100644 alpha/strategy.py
 create mode 100644 alpha/阿尔法策略研究示例.ipynb

diff --git a/alpha/__init__.py b/alpha/__init__.py
new file mode 100644
index 0000000..c2d8d37
--- /dev/null
+++ b/alpha/__init__.py
@@ -0,0 +1,26 @@
+"""
+quanxiel.alpha — 阿尔法策略研究与回测模块
+
+提供因子研究、策略定义、历史回测、绩效评估等完整工具链。
+"""
+from .config import AlphaConfig
+from .factors import FactorRegistry, BaseFactor, TechnicalFactor, FundamentalFactor
+from .strategy import Strategy, SignalGenerator, WeightAllocator
+from .backtest import BacktestEngine, Broker, Portfolio
+from .evaluation import PerformanceEvaluator, ReportGenerator
+
+__all__ = [
+    "AlphaConfig",
+    "FactorRegistry",
+    "BaseFactor",
+    "TechnicalFactor",
+    "FundamentalFactor",
+    "Strategy",
+    "SignalGenerator",
+    "WeightAllocator",
+    "BacktestEngine",
+    "Broker",
+    "Portfolio",
+    "PerformanceEvaluator",
+    "ReportGenerator",
+]
\ No newline at end of file
diff --git a/alpha/backtest.py b/alpha/backtest.py
new file mode 100644
index 0000000..6d8bebc
--- /dev/null
+++ b/alpha/backtest.py
@@ -0,0 +1,401 @@
+"""
+回测引擎模块 — 事件驱动回测，模拟交易执行与组合管理
+"""
+from dataclasses import dataclass, field
+from typing import Any, Callable, Dict, List, Optional, Set, Tuple
+
+import numpy as np
+import pandas as pd
+
+from .config import AlphaConfig
+
+
+# ---------------------------------------------------------------------------
+# 交易记录 & 持仓
+# ---------------------------------------------------------------------------
+
+@dataclass
+class TradeRecord:
+    """单笔交易记录"""
+    date: pd.Timestamp
+    stock: str
+    side: str        # 'buy' / 'sell'
+    quantity: int
+    price: float
+    commission: float = 0.0
+    stamp_tax: float = 0.0
+    slippage_cost: float = 0.0
+    signal: str = ""
+
+
+@dataclass
+class Position:
+    """单只股票持仓"""
+    stock: str
+    quantity: int = 0
+    avg_cost: float = 0.0
+
+    @property
+    def market_value(self) -> float:
+        return self.quantity * self.current_price if hasattr(self, "current_price") else 0.0
+
+    def update_cost(self, qty: int, price: float):
+        """更新平均成本（买入时）"""
+        total_cost = abs(self.quantity) * self.avg_cost + abs(qty) * price
+        self.quantity += qty
+        if self.quantity != 0:
+            self.avg_cost = total_cost / abs(self.quantity)
+        else:
+            self.avg_cost = 0.0
+
+
+class Portfolio:
+    """投资组合"""
+
+    def __init__(self, initial_cash: float = 1_000_000.0):
+        self.initial_cash = initial_cash
+        self.cash = initial_cash
+        self.positions: Dict[str, Position] = {}  # stock -> Position
+        self.trades: List[TradeRecord] = []
+        self.daily_values: List[Dict[str, Any]] = []  # 每日净值记录
+
+    @property
+    def total_equity(self) -> float:
+        pos_value = sum(
+            p.market_value for p in self.positions.values()
+        )
+        return self.cash + pos_value
+
+    @property
+    def total_return(self) -> float:
+        return (self.total_equity / self.initial_cash) - 1.0
+
+    def get_position(self, stock: str) -> Position:
+        if stock not in self.positions:
+            self.positions[stock] = Position(stock=stock)
+        return self.positions[stock]
+
+    def update_market_prices(self, prices: Dict[str, float]):
+        """更新所有持仓的市价"""
+        for stock, price in prices.items():
+            if stock in self.positions:
+                self.positions[stock].current_price = price
+
+    def record_daily(self, date: pd.Timestamp, prices: Dict[str, float]):
+        """记录每日快照"""
+        self.update_market_prices(prices)
+        pos_value = sum(p.market_value for p in self.positions.values())
+        self.daily_values.append({
+            "date": date,
+            "cash": self.cash,
+            "position_value": pos_value,
+            "total_equity": self.cash + pos_value,
+            "return": (self.cash + pos_value) / self.initial_cash - 1.0,
+        })
+
+
+# ---------------------------------------------------------------------------
+# 券商（模拟交易执行）
+# ---------------------------------------------------------------------------
+
+class Broker:
+    """模拟券商 — 处理订单执行、交易成本"""
+
+    def __init__(self, config: AlphaConfig):
+        self.commission_rate = config.commission_rate
+        self.slippage = config.slippage
+        self.stamp_tax = config.stamp_tax
+        self.max_position_pct = config.max_position_pct
+        self.max_turnover = config.max_turnover
+        self.min_holding_period = config.min_holding_period
+
+    def execute(
+        self,
+        portfolio: Portfolio,
+        target_weights: Dict[str, float],
+        prices: Dict[str, float],
+        date: pd.Timestamp,
+        strategy_name: str = "",
+    ) -> List[TradeRecord]:
+        """
+        执行调仓：比较当前持仓与目标权重，生成订单并执行。
+        返回新的交易记录列表。
+        """
+        if not target_weights:
+            # 清仓信号
+            return self._liquidate(portfolio, prices, date, strategy_name)
+
+        total_equity = 0.0
+        # 先更新市价以计算当前权益
+        portfolio.update_market_prices(prices)
+        total_equity = portfolio.total_equity
+
+        trades: List[TradeRecord] = []
+
+        # 目标持仓市值
+        target_map: Dict[str, float] = {}
+        for stock, w in target_weights.items():
+            if stock in prices and prices[stock] > 0:
+                target_map[stock] = total_equity * w
+
+        # 卖出不在目标中的持仓
+        for stock in list(portfolio.positions.keys()):
+            pos = portfolio.positions[stock]
+            if pos.quantity <= 0:
+                continue
+            if stock not in target_map:
+                trades.extend(
+                    self._sell(portfolio, stock, pos.quantity, prices, date,
+                               strategy_name)
+                )
+
+        # 调整持仓到目标权重
+        for stock, target_value in target_map.items():
+            price = prices.get(stock, 0)
+            if price <= 0:
+                continue
+            current_pos = portfolio.get_position(stock)
+            current_value = current_pos.quantity * price
+            diff_value = target_value - current_value
+            if abs(diff_value) < price:  # 差价不足一手，忽略
+                continue
+
+            diff_qty = int(diff_value / price / 100) * 100  # 整手
+            if diff_qty == 0:
+                continue
+
+            if diff_qty > 0:
+                trades.extend(
+                    self._buy(portfolio, stock, diff_qty, price, date,
+                              strategy_name)
+                )
+            else:
+                sell_qty = min(-diff_qty, current_pos.quantity)
+                trades.extend(
+                    self._sell(portfolio, stock, sell_qty, price, date,
+                               strategy_name)
+                )
+
+        return trades
+
+    def _buy(
+        self,
+        portfolio: Portfolio,
+        stock: str,
+        qty: int,
+        price: float,
+        date: pd.Timestamp,
+        strategy: str = "",
+    ) -> List[TradeRecord]:
+        """买入执行"""
+        # 滑点
+        exec_price = price * (1 + self.slippage)
+        cost = qty * exec_price
+        commission = cost * self.commission_rate
+        total_cost = cost + commission
+
+        if portfolio.cash < total_cost:
+            # 现金不足，调整数量
+            affordable_qty = int(
+                (portfolio.cash / (exec_price * (1 + self.commission_rate)))
+                / 100
+            ) * 100
+            if affordable_qty <= 0:
+                return []
+            qty = affordable_qty
+            cost = qty * exec_price
+            commission = cost * self.commission_rate
+            total_cost = cost + commission
+
+        portfolio.cash -= total_cost
+        pos = portfolio.get_position(stock)
+        pos.update_cost(qty, exec_price)
+
+        trade = TradeRecord(
+            date=date,
+            stock=stock,
+            side="buy",
+            quantity=qty,
+            price=exec_price,
+            commission=commission,
+            slippage_cost=qty * (exec_price - price),
+            signal=strategy,
+        )
+        portfolio.trades.append(trade)
+        return [trade]
+
+    def _sell(
+        self,
+        portfolio: Portfolio,
+        stock: str,
+        qty: int,
+        price: float,
+        date: pd.Timestamp,
+        strategy: str = "",
+    ) -> List[TradeRecord]:
+        """卖出执行"""
+        exec_price = price * (1 - self.slippage)
+        proceeds = qty * exec_price
+        commission = proceeds * self.commission_rate
+        stamp = proceeds * self.stamp_tax
+        net_proceeds = proceeds - commission - stamp
+
+        pos = portfolio.get_position(stock)
+        actual_qty = min(qty, pos.quantity)
+        if actual_qty <= 0:
+            return []
+
+        # 更新持仓
+        pos.quantity -= actual_qty
+        if pos.quantity == 0:
+            pos.avg_cost = 0.0
+
+        portfolio.cash += net_proceeds
+
+        trade = TradeRecord(
+            date=date,
+            stock=stock,
+            side="sell",
+            quantity=actual_qty,
+            price=exec_price,
+            commission=commission,
+            stamp_tax=stamp,
+            slippage_cost=actual_qty * (price - exec_price),
+            signal=strategy,
+        )
+        portfolio.trades.append(trade)
+        return [trade]
+
+    def _liquidate(
+        self,
+        portfolio: Portfolio,
+        prices: Dict[str, float],
+        date: pd.Timestamp,
+        strategy: str = "",
+    ) -> List[TradeRecord]:
+        """全部平仓"""
+        trades = []
+        for stock in list(portfolio.positions.keys()):
+            pos = portfolio.positions[stock]
+            if pos.quantity > 0 and stock in prices:
+                trades.extend(
+                    self._sell(portfolio, stock, pos.quantity, prices, date,
+                               strategy)
+                )
+        return trades
+
+
+# ---------------------------------------------------------------------------
+# 回测引擎
+# ---------------------------------------------------------------------------
+
+class BacktestEngine:
+    """事件驱动回测引擎"""
+
+    def __init__(self, config: Optional[AlphaConfig] = None):
+        self.config = config or AlphaConfig()
+        self.broker = Broker(self.config)
+        self.portfolio = Portfolio(self.config.initial_cash)
+
+    def run(
+        self,
+        strategy: Any,
+        price_data: pd.DataFrame,
+        factor_data: Dict[str, pd.DataFrame],
+        dates: Optional[List[pd.Timestamp]] = None,
+        rebalance_freq: str = "M",  # 'D'/'W'/'M'
+        progress_callback: Optional[Callable] = None,
+    ) -> pd.DataFrame:
+        """
+        运行回测。
+
+        参数
+        ----
+        strategy     : Strategy 实例或兼容接口
+        price_data   : DataFrame, index=date, columns=stocks, values=价格
+        factor_data  : {factor_name: DataFrame(index=date, columns=stocks)}
+        dates        : 回测日期列表，默认为 price_data 所有日期
+        rebalance_freq: 调仓频率 'D'(日), 'W'(周), 'M'(月)
+
+        返回
+        ----
+        daily_values : DataFrame 每日净值曲线
+        """
+        if dates is None:
+            all_dates = sorted(price_data.index)
+        else:
+            all_dates = sorted(dates)
+
+        # 确定调仓日
+        date_series = pd.Series(all_dates, index=all_dates)
+        if rebalance_freq == "M":
+            rebalance_dates = date_series.resample("M").last().tolist()
+        elif rebalance_freq == "W":
+            rebalance_dates = date_series.resample("W").last().tolist()
+        else:
+            rebalance_dates = all_dates
+
+        rebalance_set = set(pd.to_datetime(rebalance_dates).date)
+
+        total_dates = len(all_dates)
+        for i, date in enumerate(all_dates):
+            # 进度回调
+            if progress_callback:
+                progress_callback(i, total_dates)
+
+            # 当前截面价格
+            current_prices = {}
+            if date in price_data.index:
+                row = price_data.loc[date]
+                current_prices = row.dropna().to_dict()
+
+            # 调仓日执行交易
+            trade_date = pd.Timestamp(date).date()
+            if trade_date in rebalance_set:
+                target_weights = strategy.run_step(
+                    date=pd.Timestamp(date),
+                    factor_data=factor_data,
+                    prices=pd.DataFrame([current_prices]),
+                    cash=self.portfolio.cash,
+                    positions={
+                        s: p.quantity
+                        for s, p in self.portfolio.positions.items()
+                    },
+                )
+                self.broker.execute(
+                    self.portfolio,
+                    target_weights,
+                    current_prices,
+                    date=pd.Timestamp(date),
+                    strategy_name=strategy.name,
+                )
+
+            # 记录每日净值
+            self.portfolio.record_daily(pd.Timestamp(date), current_prices)
+
+        # 最终清算
+        if not all_dates:
+            return pd.DataFrame()
+
+        final_date = all_dates[-1]
+        if final_date in price_data.index:
+            final_prices = price_data.loc[final_date].dropna().to_dict()
+        else:
+            final_prices = {}
+
+        self.broker._liquidate(
+            self.portfolio, final_prices, pd.Timestamp(final_date),
+            strategy_name=strategy.name,
+        )
+        self.portfolio.record_daily(pd.Timestamp(final_date), final_prices)
+
+        return self._to_equity_curve()
+
+    def _to_equity_curve(self) -> pd.DataFrame:
+        """输出净值曲线 DataFrame"""
+        df = pd.DataFrame(self.portfolio.daily_values)
+        if df.empty:
+            return pd.DataFrame(columns=["date", "total_equity", "return"])
+        df = df.set_index("date").sort_index()
+        df["nav"] = df["total_equity"] / self.config.initial_cash
+        return df
\ No newline at end of file
diff --git a/alpha/config.py b/alpha/config.py
new file mode 100644
index 0000000..2c09779
--- /dev/null
+++ b/alpha/config.py
@@ -0,0 +1,42 @@
+"""
+阿尔法模块配置
+"""
+from dataclasses import dataclass, field
+from typing import List, Optional
+
+
+@dataclass
+class AlphaConfig:
+    """阿尔法研究全局配置"""
+
+    # ---- 数据库 ----
+    db_host: str = "192.168.27.15"
+    db_port: int = 12345
+    db_name: str = "quant_db"
+    db_user: str = "postgres"
+    db_password: str = "postgres"
+
+    # ---- 回测基础参数 ----
+    initial_cash: float = 1_000_000.0  # 初始资金
+    benchmark: str = "000300.SH"        # 基准指数（沪深300）
+    start_date: str = "2020-01-01"
+    end_date: str = "2025-12-31"
+
+    # ---- 交易成本 ----
+    commission_rate: float = 0.0003    # 佣金费率
+    slippage: float = 0.001            # 滑点（百分比）
+    stamp_tax: float = 0.001           # 印花税（仅卖出）
+
+    # ---- 组合约束 ----
+    max_position_pct: float = 0.10     # 单票最大仓位
+    max_turnover: float = 0.20         # 单日最大换手率
+    min_holding_period: int = 1        # 最小持仓天数
+
+    # ---- 因子研究参数 ----
+    factor_windows: List[int] = field(default_factory=lambda: [5, 10, 20, 60])
+    ic_decay_days: int = 20            # IC 衰减分析天数
+
+    # ---- 输出 ----
+    output_dir: str = "./output"
+    save_trade_log: bool = True
+    verbose: bool = False
\ No newline at end of file
diff --git a/alpha/evaluation.py b/alpha/evaluation.py
new file mode 100644
index 0000000..64d4674
--- /dev/null
+++ b/alpha/evaluation.py
@@ -0,0 +1,262 @@
+"""
+评估与报告模块 — 绩效评估指标、风险分析、可视化报告
+"""
+from dataclasses import dataclass
+from typing import Dict, List, Optional, Tuple
+
+import numpy as np
+import pandas as pd
+
+
+# ---------------------------------------------------------------------------
+# 绩效评估器
+# ---------------------------------------------------------------------------
+
+class PerformanceEvaluator:
+    """
+    绩效评估器 — 计算常见量化指标
+    """
+
+    def __init__(
+        self,
+        equity_curve: pd.DataFrame,
+        benchmark_returns: Optional[pd.Series] = None,
+        risk_free_rate: float = 0.03,
+    ):
+        """
+        equity_curve  : DataFrame, 必须包含 'return' 或 'nav' 列, index=date
+        benchmark_returns : Series, 基准日收益率, index=date
+        risk_free_rate    : 年化无风险利率
+        """
+        self.equity = equity_curve.copy()
+        self.rf = risk_free_rate
+
+        # 确保有日收益率列
+        if "daily_return" not in self.equity.columns:
+            if "return" in self.equity.columns:
+                self.equity["daily_return"] = self.equity["return"].diff().fillna(0)
+            elif "nav" in self.equity.columns:
+                self.equity["daily_return"] = self.equity["nav"].pct_change().fillna(0)
+            else:
+                raise ValueError("equity_curve 必须包含 'return'/'nav' 列")
+
+        self.benchmark_returns = benchmark_returns
+        self._metrics: Dict[str, float] = {}
+
+    # ----- 基础指标 -----
+
+    def total_return(self) -> float:
+        """累计收益率"""
+        if "nav" in self.equity.columns:
+            return self.equity["nav"].iloc[-1] - 1.0
+        return (1 + self.equity["daily_return"]).prod() - 1.0
+
+    def annual_return(self, periods_per_year: int = 252) -> float:
+        """年化收益率"""
+        total = self.total_return()
+        years = self._year_frac(periods_per_year)
+        return (1 + total) ** (1 / years) - 1.0 if years > 0 else 0.0
+
+    def annual_volatility(self, periods_per_year: int = 252) -> float:
+        """年化波动率"""
+        return self.equity["daily_return"].std() * np.sqrt(periods_per_year)
+
+    def max_drawdown(self) -> float:
+        """最大回撤"""
+        if "nav" in self.equity.columns:
+            nav = self.equity["nav"]
+        else:
+            nav = (1 + self.equity["daily_return"]).cumprod()
+        running_max = nav.cummax()
+        drawdown = (nav - running_max) / running_max
+        return drawdown.min()
+
+    def max_drawdown_duration(self) -> int:
+        """最长回撤持续天数"""
+        if "nav" in self.equity.columns:
+            nav = self.equity["nav"]
+        else:
+            nav = (1 + self.equity["daily_return"]).cumprod()
+        running_max = nav.cummax()
+        is_dd = nav < running_max
+        # 统计最长连续 True 段
+        dd_groups = (is_dd != is_dd.shift()).cumsum()
+        dd_durations = (
+            is_dd.groupby(dd_groups).sum()
+        )
+        return int(dd_durations.max()) if not dd_durations.empty else 0
+
+    # ----- 风险调整收益 -----
+
+    def sharpe_ratio(self, periods_per_year: int = 252) -> float:
+        """夏普比率"""
+        excess = self.equity["daily_return"] - self.rf / periods_per_year
+        return (
+            excess.mean() / (excess.std() + 1e-12) * np.sqrt(periods_per_year)
+        )
+
+    def calmar_ratio(self) -> float:
+        """Calmar 比率 (年化收益 / 最大回撤绝对值)"""
+        mdd = abs(self.max_drawdown())
+        return self.annual_return() / mdd if mdd > 0 else 0.0
+
+    def sortino_ratio(self, periods_per_year: int = 252) -> float:
+        """Sortino 比率 (只考虑下行波动)"""
+        returns = self.equity["daily_return"]
+        downside = returns[returns < 0]
+        downside_vol = downside.std() * np.sqrt(periods_per_year)
+        excess_annual = self.annual_return() - self.rf
+        return excess_annual / (downside_vol + 1e-12)
+
+    def win_rate(self) -> float:
+        """胜率（日收益率 > 0 的比例）"""
+        returns = self.equity["daily_return"]
+        return (returns > 0).mean()
+
+    def profit_loss_ratio(self) -> float:
+        """盈亏比 (平均盈利 / 平均亏损绝对值)"""
+        returns = self.equity["daily_return"]
+        avg_win = returns[returns > 0].mean()
+        avg_loss = abs(returns[returns < 0].mean())
+        return avg_win / (avg_loss + 1e-12)
+
+    # ----- 相对基准指标 -----
+
+    def alpha(self, periods_per_year: int = 252) -> float:
+        """Jensen's Alpha 相对基准"""
+        if self.benchmark_returns is None:
+            return 0.0
+        aligned = self._align_benchmark()
+        strat_ret = aligned["strat"]
+        bench_ret = aligned["bench"]
+        excess_strat = strat_ret - self.rf / periods_per_year
+        excess_bench = bench_ret - self.rf / periods_per_year
+        # 线性回归
+        cov = np.cov(excess_strat, excess_bench)
+        beta = cov[0, 1] / (cov[1, 1] + 1e-12)
+        alpha_daily = excess_strat.mean() - beta * excess_bench.mean()
+        return alpha_daily * periods_per_year
+
+    def beta(self) -> float:
+        """Beta"""
+        if self.benchmark_returns is None:
+            return 1.0
+        aligned = self._align_benchmark()
+        cov = np.cov(aligned["strat"], aligned["bench"])
+        return cov[0, 1] / (cov[1, 1] + 1e-12)
+
+    def information_ratio(self, periods_per_year: int = 252) -> float:
+        """信息比率"""
+        if self.benchmark_returns is None:
+            return 0.0
+        aligned = self._align_benchmark()
+        tracking_error = (aligned["strat"] - aligned["bench"]).std()
+        return (
+            (aligned["strat"].mean() - aligned["bench"].mean())
+            / (tracking_error + 1e-12)
+            * np.sqrt(periods_per_year)
+        )
+
+    # ----- 报告 -----
+
+    def full_report(self) -> Dict[str, float]:
+        """生成完整绩效报告字典"""
+        self._metrics = {
+            "累计收益率(%)": self.total_return() * 100,
+            "年化收益率(%)": self.annual_return() * 100,
+            "年化波动率(%)": self.annual_volatility() * 100,
+            "最大回撤(%)": self.max_drawdown() * 100,
+            "最长回撤天数": self.max_drawdown_duration(),
+            "夏普比率": self.sharpe_ratio(),
+            "Calmar比率": self.calmar_ratio(),
+            "Sortino比率": self.sortino_ratio(),
+            "日胜率(%)": self.win_rate() * 100,
+            "盈亏比": self.profit_loss_ratio(),
+            "Alpha(%)": self.alpha() * 100,
+            "Beta": self.beta(),
+            "信息比率": self.information_ratio(),
+        }
+        return self._metrics
+
+    def summary(self) -> str:
+        """打印可读报告"""
+        report = self.full_report()
+        lines = ["=" * 50, "  量化策略绩效评估报告", "=" * 50]
+        for key, value in report.items():
+            if isinstance(value, float):
+                lines.append(f"  {key}: {value:.4f}")
+            else:
+                lines.append(f"  {key}: {value}")
+        lines.append("=" * 50)
+        return "\n".join(lines)
+
+    # ----- 内部方法 -----
+
+    def _year_frac(self, periods_per_year: int) -> float:
+        n = len(self.equity)
+        return n / periods_per_year
+
+    def _align_benchmark(self) -> pd.DataFrame:
+        """对齐策略与基准日收益率"""
+        strat = self.equity["daily_return"]
+        bench = self.benchmark_returns
+        merged = pd.concat([strat, bench], axis=1, join="inner").dropna()
+        merged.columns = ["strat", "bench"]
+        return merged
+
+
+# ---------------------------------------------------------------------------
+# 报告生成器
+# ---------------------------------------------------------------------------
+
+class ReportGenerator:
+    """生成交易分析报告（Markdown / Excel）"""
+
+    def __init__(self, evaluator: PerformanceEvaluator, trades: Optional[List] = None):
+        self.evaluator = evaluator
+        self.trades = trades or []
+
+    def to_markdown(self) -> str:
+        """输出 Markdown 格式报告"""
+        metrics = self.evaluator.full_report()
+        lines = [
+            "# 量化策略回测报告",
+            "",
+            "## 绩效指标",
+            "",
+            "| 指标 | 数值 |",
+            "|------|------|",
+        ]
+        for key, value in metrics.items():
+            lines.append(f"| {key} | {value:.4f} |")
+
+        # 交易统计
+        if self.trades:
+            lines.extend(["", "## 交易统计", ""])
+            trades_df = pd.DataFrame(
+                [
+                    {
+                        "date": t.date,
+                        "stock": t.stock,
+                        "side": t.side,
+                        "quantity": t.quantity,
+                        "price": t.price,
+                    }
+                    for t in self.trades
+                ]
+            )
+            total_trades = len(trades_df)
+            buy_trades = len(trades_df[trades_df["side"] == "buy"])
+            sell_trades = len(trades_df[trades_df["side"] == "sell"])
+            lines.append(f"- 总交易笔数: {total_trades}")
+            lines.append(f"- 买入笔数: {buy_trades}")
+            lines.append(f"- 卖出笔数: {sell_trades}")
+
+        return "\n".join(lines)
+
+    def to_dataframe(self) -> pd.DataFrame:
+        """将绩效指标导出为 DataFrame"""
+        metrics = self.evaluator.full_report()
+        return pd.DataFrame(
+            list(metrics.items()), columns=["指标", "数值"]
+        ).set_index("指标")
\ No newline at end of file
diff --git a/alpha/factors.py b/alpha/factors.py
new file mode 100644
index 0000000..b5cc6c8
--- /dev/null
+++ b/alpha/factors.py
@@ -0,0 +1,256 @@
+"""
+因子研究模块 — 因子定义、计算、注册与 IC/分层分析
+"""
+from abc import ABC, abstractmethod
+from dataclasses import dataclass, field
+from typing import Callable, Dict, List, Optional, Tuple
+
+import numpy as np
+import pandas as pd
+from scipy import stats
+
+
+# ---------------------------------------------------------------------------
+# 因子注册表
+# ---------------------------------------------------------------------------
+
+class FactorRegistry:
+    """因子注册表，用于管理和发现所有因子"""
+
+    _factors: Dict[str, type] = {}
+
+    @classmethod
+    def register(cls, factor_cls: type):
+        """注册因子类"""
+        name = factor_cls.__name__
+        cls._factors[name] = factor_cls
+        return factor_cls
+
+    @classmethod
+    def get(cls, name: str) -> Optional[type]:
+        """根据名称获取因子类"""
+        return cls._factors.get(name)
+
+    @classmethod
+    def list_all(cls) -> List[str]:
+        """列出所有已注册因子"""
+        return sorted(cls._factors.keys())
+
+    @classmethod
+    def create(cls, name: str, **kwargs):
+        """根据名称创建因子实例"""
+        factor_cls = cls._factors.get(name)
+        if factor_cls is None:
+            raise KeyError(f"因子 '{name}' 未注册，可用: {cls.list_all()}")
+        return factor_cls(**kwargs)
+
+
+# ---------------------------------------------------------------------------
+# 因子基类
+# ---------------------------------------------------------------------------
+
+class BaseFactor(ABC):
+    """因子抽象基类"""
+
+    name: str = "BaseFactor"
+    category: str = "unknown"  # technical / fundamental / alternative
+
+    def __init__(self, **params):
+        self.params = params
+
+    @abstractmethod
+    def compute(self, data: pd.DataFrame) -> pd.Series:
+        """计算因子值，返回 Series(index=timestamp) 或多索引 Series"""
+        ...
+
+    def __repr__(self):
+        return f"{self.name}({self.params})"
+
+    def neutralize(self,
+                   factor: pd.Series,
+                   group: pd.Series,
+                   market_cap: pd.Series) -> pd.Series:
+        """
+        因子中性化：对市值和行业做正交化处理。
+        factor  : 原始因子值
+        group   : 行业分组
+        market_cap : 市值
+        返回中性化后的因子值。
+        """
+        # 创建虚拟变量并拟合线性模型，取残差作为中性化因子
+        df = pd.DataFrame({
+            "factor": factor,
+            "log_mcap": np.log(market_cap.clip(lower=1)),
+        })
+        dummies = pd.get_dummies(group, prefix="group")
+        X = pd.concat([df["log_mcap"], dummies], axis=1)
+        # 对齐索引
+        common_idx = factor.index.intersection(X.dropna().index)
+        X = X.loc[common_idx]
+        y = factor.loc[common_idx]
+        # OLS 回归取残差
+        beta = np.linalg.lstsq(X.values, y.values, rcond=None)[0]
+        pred = X.values @ beta
+        residual = y.values - pred
+        neutralized = pd.Series(residual, index=common_idx, name=factor.name)
+        return neutralized
+
+
+# ---------------------------------------------------------------------------
+# 技术面因子
+# ---------------------------------------------------------------------------
+
+@FactorRegistry.register
+class TechnicalFactor(BaseFactor):
+    """通用技术面因子 — 支持自定义参数组合"""
+
+    name = "TechnicalFactor"
+    category = "technical"
+
+    def compute(self, data: pd.DataFrame) -> pd.Series:
+        """
+        data 必须包含: ['close', 'volume', 'high', 'low']
+        返回: 标准化后的多因子合成值
+        """
+        # 示例因子:
+        # 1) 动量因子 (20日收益率)
+        # 2) 波动率因子 (20日波动率倒数)
+        close = data["close"]
+        mom = close.pct_change(self.params.get("mom_window", 20))
+        vol = close.pct_change().rolling(self.params.get("vol_window", 20)).std()
+
+        # 合成 (等权，可按需要改为 ICIR 加权)
+        mom_z = (mom - mom.mean()) / mom.std()
+        vol_z = -(vol - vol.mean()) / vol.std()  # 低波为正
+        composite = 0.5 * mom_z + 0.5 * vol_z
+        return composite.rename("TechnicalFactor")
+
+
+# ---------------------------------------------------------------------------
+# 基本面因子
+# ---------------------------------------------------------------------------
+
+@FactorRegistry.register
+class FundamentalFactor(BaseFactor):
+    """通用基本面因子 — ROE / PE / PB / 营收增速等"""
+
+    name = "FundamentalFactor"
+    category = "fundamental"
+
+    def compute(self, data: pd.DataFrame) -> pd.Series:
+        """
+        data 应包含: ['roe', 'pe', 'pb', 'revenue_growth']
+        返回基本面复合因子
+        """
+        roe = data.get("roe", None)
+        pe = data.get("pe", None)
+        pb = data.get("pb", None)
+        growth = data.get("revenue_growth", None)
+
+        # 将各因子标准化后等权合成
+        scores = []
+        for series, inv in [(roe, False), (pe, True), (pb, True), (growth, False)]:
+            if series is not None:
+                z = (series - series.mean()) / series.std()
+                scores.append(-z if inv else z)
+
+        if not scores:
+            raise ValueError("无可用基本面数据列")
+
+        composite = sum(scores) / len(scores)
+        return composite.rename("FundamentalFactor")
+
+
+# ---------------------------------------------------------------------------
+# IC / 分层分析工具
+# ---------------------------------------------------------------------------
+
+class FactorAnalyzer:
+    """因子分析器 — IC 计算、分层回测、换手率分析"""
+
+    def __init__(self, factor_values: pd.Series, forward_returns: pd.Series):
+        """
+        factor_values   : 因子值 Series (MultiIndex: [date, code] 或 对齐 index)
+        forward_returns  : 未来一期收益率，与 factor 对齐
+        """
+        self.factor = factor_values
+        self.forward = forward_returns
+        self.ic_series: Optional[pd.Series] = None
+
+    def compute_ic(self, method: str = "rank") -> pd.Series:
+        """逐截面计算 IC (Rank IC 或 Pearson IC)"""
+        if isinstance(self.factor.index, pd.MultiIndex):
+            grouped = self.factor.groupby(level=0)
+            fwd = self.forward.groupby(level=0)
+            if method == "rank":
+                ic_data = grouped.apply(
+                    lambda g: g.corr(fwd.get_group(g.name), method="spearman")
+                )
+            else:
+                ic_data = grouped.apply(
+                    lambda g: g.corr(fwd.get_group(g.name), method="pearson")
+                )
+        else:
+            # 单截面
+            if method == "rank":
+                ic_data = pd.Series(
+                    stats.spearmanr(self.factor, self.forward)[0],
+                    index=[self.factor.index[0] if len(self.factor) > 0 else 0],
+                )
+            else:
+                ic_data = pd.Series(
+                    stats.pearsonr(self.factor, self.forward)[0],
+                    index=[self.factor.index[0] if len(self.factor) > 0 else 0],
+                )
+        self.ic_series = ic_data.dropna()
+        return self.ic_series
+
+    def ic_summary(self) -> Dict[str, float]:
+        """IC 汇总统计"""
+        if self.ic_series is None:
+            self.compute_ic()
+        ic = self.ic_series
+        return {
+            "IC_Mean": ic.mean(),
+            "IC_Std": ic.std(),
+            "IR": ic.mean() / (ic.std() + 1e-12),
+            "IC>0_Ratio": (ic > 0).mean(),
+            "IC_Abs_Mean": ic.abs().mean(),
+        }
+
+    def ic_decay(self, forward_returns: Dict[int, pd.Series]) -> pd.Series:
+        """IC 衰减: 计算不同前瞻期的 IC 均值"""
+        decay = {}
+        for horizon, fwd in forward_returns.items():
+            ratio = fwd.reindex(self.forward.index)
+            valid = self.factor.notna() & ratio.notna()
+            ic = stats.spearmanr(
+                self.factor[valid].values, ratio[valid].values
+            )[0]
+            decay[horizon] = ic
+        return pd.Series(decay, name="IC_Decay")
+
+    def quantile_returns(self, n_quantiles: int = 5) -> pd.DataFrame:
+        """分层回测：按因子值分 5 组，计算各组平均收益率"""
+        df = pd.DataFrame({"factor": self.factor, "fwd": self.forward}).dropna()
+        df["quantile"] = pd.qcut(df["factor"], n_quantiles, labels=False) + 1
+        result = df.groupby("quantile")["fwd"].mean().to_frame("avg_return")
+        result.index.name = "quantile"
+        result["cum_return"] = result["avg_return"].cumsum()
+        return result
+
+    def turnover(self, n_quantiles: int = 5) -> pd.Series:
+        """因子换手率分析（相邻期分位数变化比例）"""
+        df = pd.DataFrame({"factor": self.factor})
+        df["quantile"] = pd.qcut(df["factor"], n_quantiles, labels=False) + 1
+        if isinstance(df.index, pd.MultiIndex):
+            df = df.reset_index()
+            date_col = df.columns[0]
+            turnover_list = []
+            for date, grp in df.groupby(date_col):
+                pass  # 此处需按股票计算 --- 简化处理
+        # 简化: 逐期计算因子自相关系数
+        if isinstance(self.ic_series, pd.Series):
+            auto_corr = self.factor.autocorr(lag=1)
+            return pd.Series({"auto_corr": auto_corr})
+        return pd.Series()
\ No newline at end of file
diff --git a/alpha/requirements.txt b/alpha/requirements.txt
new file mode 100644
index 0000000..5b0e498
--- /dev/null
+++ b/alpha/requirements.txt
@@ -0,0 +1,6 @@
+numpy>=1.24.0
+pandas>=2.0.0
+scipy>=1.10.0
+matplotlib>=3.7.0
+tushare>=1.3.0
+psycopg2-binary>=2.9.0
\ No newline at end of file
diff --git a/alpha/strategy.py b/alpha/strategy.py
new file mode 100644
index 0000000..08e8a24
--- /dev/null
+++ b/alpha/strategy.py
@@ -0,0 +1,254 @@
+"""
+策略模块 — 信号生成、权重分配、组合构建
+"""
+from abc import ABC, abstractmethod
+from dataclasses import dataclass, field
+from typing import Dict, List, Optional, Set, Tuple
+
+import numpy as np
+import pandas as pd
+
+
+# ---------------------------------------------------------------------------
+# 信号生成器
+# ---------------------------------------------------------------------------
+
+class SignalGenerator(ABC):
+    """信号生成器基类 — 将因子值转换为交易信号"""
+
+    @abstractmethod
+    def generate(self, factor_df: pd.DataFrame, **kwargs) -> pd.DataFrame:
+        """
+        factor_df: DataFrame, index=date, columns=stock_codes, values=factor值
+        返回信号 DataFrame，同结构，1=做多, 0=平仓, -1=做空
+        """
+        ...
+
+
+class QuantileSignal(SignalGenerator):
+    """基于因子分位数的信号生成器"""
+
+    def __init__(
+        self,
+        n_quantiles: int = 5,
+        long_quantile: int = 5,
+        short_quantile: int = 1,
+        min_stocks: int = 10,
+    ):
+        self.n_quantiles = n_quantiles
+        self.long_quantile = long_quantile
+        self.short_quantile = short_quantile
+        self.min_stocks = min_stocks
+
+    def generate(self, factor_df: pd.DataFrame, **kwargs) -> pd.DataFrame:
+        """
+        逐截面按因子值分组：
+        long_quantile 档 → +1
+        short_quantile 档 → -1
+        其余 → 0
+        """
+        signal = pd.DataFrame(0, index=factor_df.index, columns=factor_df.columns)
+
+        for date in factor_df.index:
+            row = factor_df.loc[date].dropna()
+            if len(row) < self.min_stocks:
+                continue
+            try:
+                bins = pd.qcut(
+                    row, self.n_quantiles, labels=False, duplicates="drop"
+                )
+            except ValueError:
+                continue
+            signal.loc[date, bins == self.long_quantile - 1] = 1
+            signal.loc[date, bins == self.short_quantile - 1] = -1
+
+        return signal
+
+
+class ZScoreSignal(SignalGenerator):
+    """基于 Z-Score 阈值的信号生成器"""
+
+    def __init__(self, entry_z: float = 1.0, exit_z: float = 0.5):
+        self.entry_z = entry_z
+        self.exit_z = exit_z
+
+    def generate(self, factor_df: pd.DataFrame, **kwargs) -> pd.DataFrame:
+        """
+        因子截面标准化（Z-Score）:
+        > entry_z  → +1
+        < -entry_z → -1
+        其余       → 0
+        """
+        signal = pd.DataFrame(0, index=factor_df.index, columns=factor_df.columns)
+        for date in factor_df.index:
+            row = factor_df.loc[date]
+            valid = row.notna()
+            if valid.sum() < 3:
+                continue
+            z = (row - row[valid].mean()) / (row[valid].std() + 1e-12)
+            signal.loc[date, z > self.entry_z] = 1
+            signal.loc[date, z < -self.entry_z] = -1
+        return signal
+
+
+# ---------------------------------------------------------------------------
+# 权重分配器
+# ---------------------------------------------------------------------------
+
+class WeightAllocator(ABC):
+    """权重分配器基类"""
+
+    @abstractmethod
+    def allocate(
+        self,
+        signals: pd.DataFrame,
+        prices: pd.DataFrame,
+        cash: float,
+        positions: Dict[str, int],
+        **kwargs,
+    ) -> Dict[str, float]:
+        """
+        返回目标权重字典 {stock_code: weight}
+        weight 为目标持仓市值占比 (0~1)
+        """
+        ...
+
+
+class EqualWeightAllocator(WeightAllocator):
+    """等权分配器"""
+
+    def __init__(self, max_positions: int = 30):
+        self.max_positions = max_positions
+
+    def allocate(
+        self,
+        signals: pd.DataFrame,
+        prices: pd.DataFrame,
+        cash: float,
+        positions: Dict[str, int],
+        **kwargs,
+    ) -> Dict[str, float]:
+        latest_signal = signals.iloc[-1] if len(signals) > 0 else pd.Series(dtype=float)
+        long_stocks = latest_signal[latest_signal > 0].index.tolist()
+
+        if not long_stocks:
+            return {}
+
+        # 限制持仓数
+        long_stocks = long_stocks[: self.max_positions]
+        weight = 1.0 / len(long_stocks)
+        return {s: weight for s in long_stocks}
+
+
+class FactorWeightAllocator(WeightAllocator):
+    """因子值加权分配器 — 因子越大权重越大"""
+
+    def __init__(self, max_positions: int = 30, min_weight: float = 0.005):
+        self.max_positions = max_positions
+        self.min_weight = min_weight
+
+    def allocate(
+        self,
+        signals: pd.DataFrame,
+        prices: pd.DataFrame,
+        cash: float,
+        positions: Dict[str, int],
+        factor_df: Optional[pd.DataFrame] = None,
+        **kwargs,
+    ) -> Dict[str, float]:
+        if factor_df is None:
+            return EqualWeightAllocator(self.max_positions).allocate(
+                signals, prices, cash, positions
+            )
+
+        latest_signal = signals.iloc[-1] if len(signals) > 0 else pd.Series(dtype=float)
+        latest_factor = factor_df.iloc[-1] if len(factor_df) > 0 else pd.Series(dtype=float)
+
+        long_stocks = latest_signal[latest_signal > 0].index
+        # 按因子值排序
+        valid = latest_factor[long_stocks].dropna().sort_values(ascending=False)
+        selected = valid.head(self.max_positions)
+        if selected.empty:
+            return {}
+
+        raw_w = selected.values / (selected.values.sum() + 1e-12)
+        raw_w = np.clip(raw_w, self.min_weight, 1.0)
+        raw_w = raw_w / raw_w.sum()
+        return dict(zip(selected.index.tolist(), raw_w.tolist()))
+
+
+# ---------------------------------------------------------------------------
+# 策略上下文
+# ---------------------------------------------------------------------------
+
+@dataclass
+class Strategy:
+    """
+    量化策略 — 组合因子、信号生成器、权重分配器，定义一个完整策略。
+    """
+
+    name: str
+    factors: List  # 因子对象列表
+    signal_generator: SignalGenerator
+    weight_allocator: WeightAllocator
+    factor_weights: Optional[Dict[str, float]] = None  # 因子合成权重
+    filter_universe: Optional[Set[str]] = None          # 可选股票池
+    description: str = ""
+
+    def compute_composite_factor(self, factor_data: Dict[str, pd.DataFrame]) -> pd.DataFrame:
+        """
+        合成多因子值。
+        factor_data: {factor_name: DataFrame(index=date, columns=stocks)}
+        """
+        if not factor_data:
+            raise ValueError("factor_data 为空")
+
+        # 统一列（股票池）合并
+        all_stocks = sorted(
+            set().union(*[set(df.columns) for df in factor_data.values()])
+        )
+        all_dates = sorted(
+            set().union(*[set(df.index) for df in factor_data.values()])
+        )
+
+        composite = pd.DataFrame(0.0, index=all_dates, columns=all_stocks)
+        n_factors = len(factor_data)
+
+        for name, df in factor_data.items():
+            w = (
+                self.factor_weights.get(name, 1.0 / n_factors)
+                if self.factor_weights
+                else 1.0 / n_factors
+            )
+            aligned = df.reindex(index=all_dates, columns=all_stocks)
+            # 截面标准化
+            z = aligned.sub(aligned.mean(axis=1), axis=0).div(
+                aligned.std(axis=1) + 1e-12, axis=0
+            )
+            composite += w * z
+
+        return composite
+
+    def run_step(
+        self,
+        date: pd.Timestamp,
+        factor_data: Dict[str, pd.DataFrame],
+        prices: pd.DataFrame,
+        cash: float,
+        positions: Dict[str, int],
+    ) -> Dict[str, float]:
+        """
+        单步执行：生成信号 → 分配权重 → 返回目标持仓权重。
+        """
+        composite = self.compute_composite_factor(factor_data)
+        # 仅取当前日期截面
+        if date in composite.index:
+            current_slice = composite.loc[[date]]
+        else:
+            current_slice = composite.iloc[-1:]
+
+        signals = self.signal_generator.generate(current_slice)
+        weights = self.weight_allocator.allocate(
+            signals, prices, cash, positions, factor_df=composite
+        )
+        return weights
\ No newline at end of file
diff --git a/alpha/阿尔法策略研究示例.ipynb b/alpha/阿尔法策略研究示例.ipynb
new file mode 100644
index 0000000..c9eb411
--- /dev/null
+++ b/alpha/阿尔法策略研究示例.ipynb
@@ -0,0 +1,279 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# 阿尔法策略回测 — 完整示例\n",
+    "\n",
+    "本 Notebook 演示如何使用 `quanxiel.alpha` 模块进行：\n",
+    "1. 因子计算与 IC 分析\n",
+    "2. 策略信号生成\n",
+    "3. 事件驱动回测\n",
+    "4. 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 FactorRegistry, FactorAnalyzer\n",
+    "from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
+    "from alpha.backtest import BacktestEngine\n",
+    "from alpha.evaluation import PerformanceEvaluator, ReportGenerator\n",
+    "\n",
+    "%matplotlib inline\n",
+    "plt.rcParams['font.sans-serif'] = ['SimHei']\n",
+    "plt.rcParams['axes.unicode_minus'] = False"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 1. 准备数据\n",
+    "\n",
+    "从本地数据库或 Tushare 获取量价数据与财务数据。这里用随机数据演示流程。"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# ---- 生成示例数据 -------\n",
+    "np.random.seed(42)\n",
+    "dates = pd.date_range('2022-01-01', '2024-12-31', freq='B')\n",
+    "stocks = [f'{i:06d}.SH' for i in range(600000, 600050)]\n",
+    "\n",
+    "# 价格数据\n",
+    "price_data = pd.DataFrame(\n",
+    "    np.cumprod(1 + np.random.randn(len(dates), len(stocks)) * 0.02, axis=0),\n",
+    "    index=dates, columns=stocks\n",
+    ")\n",
+    "\n",
+    "# 因子数据（模拟技术面因子值）\n",
+    "factor_df = pd.DataFrame(\n",
+    "    np.random.randn(len(dates), len(stocks)),\n",
+    "    index=dates, columns=stocks\n",
+    ")\n",
+    "\n",
+    "print(f'价格数据: {price_data.shape}')\n",
+    "print(f'因子数据: {factor_df.shape}')"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 2. 因子 IC 分析"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 计算未来 1 期收益率\n",
+    "fwd_returns = price_data.pct_change().shift(-1).stack()\n",
+    "factor_stacked = factor_df.stack()\n",
+    "\n",
+    "analyzer = FactorAnalyzer(factor_stacked, fwd_returns)\n",
+    "\n",
+    "# Rank IC\n",
+    "ic = analyzer.compute_ic(method='rank')\n",
+    "print('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='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:')\n",
+    "print(quantile_ret)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## 4. 构建策略 & 回测"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 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",
+    "# 策略组合\n",
+    "strategy = Strategy(\n",
+    "    name='技术因子-分位数策略',\n",
+    "    factors=[],\n",
+    "    signal_generator=QuantileSignal(n_quantiles=5, long_quantile=5, short_quantile=1),\n",
+    "    weight_allocator=EqualWeightAllocator(max_positions=20),\n",
+    "    description='买入因子值最高的分位组，等权持仓'\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={'technical': factor_df},\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"
+   ]
+  },
+  {
+   "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('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, 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": [
+    "evaluator = PerformanceEvaluator(equity_curve, risk_free_rate=0.03)\n",
+    "print(evaluator.summary())\n",
+    "\n",
+    "# 导出报告 DataFrame\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))"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "---\n",
+    "## 使用真实数据\n",
+    "\n",
+    "将以上模拟数据替换为从 `quanxiel.quantitative_data` 模块加载的真实行情：\n",
+    "\n",
+    "```python\n",
+    "from quantitative_data.importer import DataImporter\n",
+    "\n",
+    "importer = DataImporter()\n",
+    "price_data = importer.load_daily_prices('2020-01-01', '2024-12-31')\n",
+    "```"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.10.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}
\ No newline at end of file