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

backtest/feed.py

@@ -10,3 +10,26 @@ def df_to_bt_feed(df: pd.DataFrame) -> bt.feeds.PandasData:
     df = df.set_index("date")
     df = df[["open", "high", "low", "close", "volume"]]
     return bt.feeds.PandasData(dataname=df)
+
+
+class SignalPandasData(bt.feeds.PandasData):
+    """PandasData feed carrying an extra ``signal`` line alongside OHLCV."""
+
+    lines = ("signal",)
+    params = (("signal", -1),)  # -1 -> match by column name
+
+
+def df_to_signal_feed(df: pd.DataFrame) -> "SignalPandasData":
+    """Convert an OHLCV+signal DataFrame to a SignalPandasData feed.
+
+    Args:
+        df: DataFrame with ``date``, OHLCV columns, and a ``signal`` column.
+
+    Returns:
+        A SignalPandasData feed (NaN signals are preserved for the strategy to skip).
+    """
+    df = df.copy()
+    df["date"] = pd.to_datetime(df["date"])
+    df = df.set_index("date")
+    df = df[["open", "high", "low", "close", "volume", "signal"]]
+    return SignalPandasData(dataname=df)