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

signals/reversal.py

@@ -0,0 +1,22 @@
+"""Short-horizon reversal signal."""
+import pandas as pd
+
+from signals.base import AlphaSignal
+
+
+class ReversalSignal(AlphaSignal):
+    """Negative trailing return: oversold stocks score high.
+
+    The signal is ``-close.pct_change(lookback)``, so a stock that fell over the
+    lookback window gets a positive (bullish) score.
+    """
+
+    def __init__(self, lookback: int = 5):
+        self.lookback = lookback
+
+    def compute(self, df: pd.DataFrame) -> pd.Series:
+        return -df["close"].pct_change(self.lookback)
+
+    @property
+    def name(self) -> str:
+        return f"reversal_{self.lookback}d"