feat: signal abstraction layer + sizer + HS300 universe + PnL/IC reports

2026-06-07 09:44:33 +08:00
parent 085e51abf1
commit da01312292
20 changed files with 610 additions and 23 deletions
@@ -11,3 +11,4 @@ class BacktestConfig:
    commission: float = 0.0003  # 0.03% for Chinese A-shares
    stamp_duty: float = 0.001   # 0.1% stamp duty on sells only (handled in strategy)
    adjust: str = "qfq"
+    sizer_percent: float = 0.95  # fraction of portfolio per trade