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

strategies/alpha_strategy.py

@@ -0,0 +1,26 @@
+"""Signal-driven multi-stock strategy."""
+import backtrader as bt
+import pandas as pd
+
+
+class AlphaStrategy(bt.Strategy):
+    """Trade each feed based on its precomputed ``signal`` line.
+
+    The strategy delegates the buy/sell/hold decision to a portfolio builder
+    (e.g. ``ThresholdBuilder``) and sizes entries with ``order_target_percent``.
+    """
+
+    def __init__(self, builder):
+        self.builder = builder
+
+    def next(self):
+        for data in self.datas:
+            sig = data.signal[0]
+            if pd.isna(sig):
+                continue
+            in_position = bool(self.getposition(data).size)
+            action = self.builder.build(float(sig), in_position)
+            if action.action == "buy":
+                self.order_target_percent(data=data, target=action.size_pct)
+            elif action.action == "sell":
+                self.close(data=data)