Video anomaly detection (VAD) is a critical yet challenging task due to the complex and diverse nature of real-world scenarios. Previous methods typically rely on domain-specific training data and manual adjustments when applying to new scenarios and unseen anomaly types, suffering from high labor costs and limited generalization. Therefore, we aim to achieve generalist VAD, \ie, automatically handle any scene and any anomaly types without training data or human involvement. In this work, we propose PANDA, an agentic AI engineer based on MLLMs. Specifically, we achieve PANDA by comprehensively devising four key capabilities: (1) self-adaptive scene-aware strategy planning, (2) goal-driven heuristic reasoning, (3) tool-augmented self-reflection, and (4) self-improving chain-of-memory. Concretely, we develop a self-adaptive scene-aware RAG mechanism, enabling PANDA to retrieve anomaly-specific knowledge for anomaly detection strategy planning. Next, we introduce a latent anomaly-guided heuristic prompt strategy to enhance reasoning precision. Furthermore, PANDA employs a progressive reflection mechanism alongside a suite of context-aware tools to iteratively refine decision-making in complex scenarios. Finally, a chain-of-memory mechanism enables PANDA to leverage historical experiences for continual performance improvement. Extensive experiments demonstrate that PANDA achieves state-of-the-art performance in multi-scenario, open-set, and complex scenario settings without training and manual involvement, validating its generalizable and robust anomaly detection capability. Code is released at https://github.com/showlab/PANDA.