references/strategy-optimizer.md

# longbridge-strategy-optimizer

Quantitative strategy generation and optimisation framework — grid search, walk-forward validation, and overfitting detection.

## Workflow

1. Clarify the strategy type (momentum / mean-reversion / breakout / factor) and target universe.
2. Fetch historical daily OHLCV data for the symbol(s).
3. Define the parameter search space.
4. Generate a Python framework that:
   - Implements the strategy logic
   - Runs `GridSearchCV`-style parameter sweep
   - Splits data into in-sample (IS) and out-of-sample (OOS) windows
   - Applies walk-forward validation (rolling IS/OOS windows)
   - Computes Sharpe, Calmar, max drawdown, and IS/OOS degradation ratio
   - Flags overfitting if OOS Sharpe < 0.5 × IS Sharpe
5. For multi-strategy combination: compute correlation matrix and suggest weights.
6. Present results as a parameter heatmap description and key metrics table.

> If unsure of exact flag names, run `longbridge <subcommand> --help` before proceeding.

## CLI

```bash
# Daily OHLCV — backtest data (up to 500 trading days)
longbridge kline <SYMBOL> --period day --count 500 --format json
```

## Output structure

```
STRATEGY OPTIMISATION REPORT — <SYMBOL>  <Date>

STRATEGY: <Name / Type>
Universe:  <SYMBOL>
Period:    <start> – <end>  (xxx days)

PARAMETER SEARCH
Parameter       Range         Step    Best Value
fast_ma         5–50          5       xx
slow_ma         20–200        10      xxx
stop_loss       0.5%–5%       0.5%    x.x%

BEST RESULT (IN-SAMPLE)
Sharpe:  x.xx   Calmar:  x.xx   Max DD:  -xx.x%
CAGR:    xx.x%  Win Rate: xx.x%  Trades: xxx

OUT-OF-SAMPLE VALIDATION
Sharpe:  x.xx   Calmar:  x.xx   Max DD:  -xx.x%
IS/OOS Degradation: xx%  → [Acceptable | Possible Overfit | Overfit]

WALK-FORWARD SUMMARY
Window 1: IS Sharpe x.xx → OOS Sharpe x.xx
Window 2: IS Sharpe x.xx → OOS Sharpe x.xx
...

PYTHON CODE FRAMEWORK
<generated Python code>
```

## Error handling

| Situation                       | 简体回复                                     | 繁體回復                                     | English reply                                           |
| ------------------------------- | -------------------------------------------- | -------------------------------------------- | ------------------------------------------------------- |
| Symbol not found                | 未找到该代码，请确认市场和格式。             | 找不到該代碼，請確認市場和格式。             | Symbol not found — verify exchange and ticker.          |
| Insufficient history            | 历史数据不足，回测结果可靠性下降。           | 歷史數據不足，回測結果可靠性下降。           | Insufficient history — backtest reliability is reduced. |
| `command not found: longbridge` | 请安装 longbridge-terminal 或通过 MCP 连接。 | 請安裝 longbridge-terminal 或透過 MCP 連線。 | Install longbridge-terminal or connect via MCP.         |
| `not logged in`                 | 请运行 `longbridge auth login`。             | 請執行 `longbridge auth login`。             | Run `longbridge auth login`.                            |