# CLAUDE-backtest.md — 回测引擎 + 参数优化

## VectorBTEngine (`finance/backtest/vectorbt/engine.py`)

只做多，10万/万三。

```python
from backtest.vectorbt.engine import VectorBTEngine
engine_bt = VectorBTEngine(initial_capital=100_000, commission=0.0003)

report = engine_bt.run(strategy, price_df, factor_df)
# → BacktestReport
report = engine_bt.run_cross_section(strategy, price_univ, factor_univ)
```

信号流：`1=buy, 0=sell, -1=hold` → `_signals_to_entries` → vbt.Portfolio.from_signals（direction="longonly"）。

## 策略 (`finance/backtest/strategies/`)

| 策略 | 参数 | 逻辑 |
|------|------|------|
| `SMACrossStrategy` | fast=5, slow=20 | 金叉买/死叉卖 |
| `RSIMeanRevertStrategy` | oversold=30, overbought=70 | 超卖买/超买卖 |
| `MomentumBreakoutStrategy` | lookback=20, exit=10 | 新高买/跌破卖 |
| `FactorCrossStrategy` | factor_column, buy/sell_threshold | 阈值交叉（通用） |
| `FactorRotationStrategy` | factor_name, top_n=5 | 排序选股 |

## 自定义策略

继承 `backtest/base.py:BaseStrategy`，实现 `generate_signals(factor_df) → pd.Series`。

## 信号工具 (`backtest/signal.py`)

```python
factor_to_threshold_signal(series, buy, sell, direction)
cross_signal(fast, slow)         # 金叉/死叉
factor_to_quantile_signal(...)   # 分位数信号
```

## BacktestReport (`backtest/report.py`)

字段：total_return, cagr, max_drawdown, sharpe_ratio, calmar_ratio, annual_volatility, win_rate, profit_factor, total_trades, avg_hold_days, best/worst_trade_pct, equity_curve, drawdown_curve, monthly_returns, trades_df, stats_dict。`summary()` 一行摘要。

## OptunaEngine (`finance/optimizer/engine.py`)

```python
from optimizer.engine import OptunaEngine
from optimizer.space import rsi_revert_space

opt = OptunaEngine(bt_engine)
result = opt.optimize(StrategyClass, space, price_df, factor_df, metric="sharpe", n_trials=200)
# → OptimizationResult(best_params, best_value, best_report, trial_df, param_importance)

wf = opt.optimize_walk_forward(StrategyClass, space, price_df, factor_df,
                                train_window=756, test_window=252)
```

预置空间：`sma_cross_space`, `rsi_revert_space`, `momentum_breakout_space`, `factor_cross_space`（`optimizer/space.py`）。
目标指标：sharpe/cagr/calmar/total_return/return_over_dd。
