initial import: etf strategy project

configs/etf_universe_proxy.json

@@ -0,0 +1,73 @@
+{
+  "version": 1,
+  "description": "Default ETF universe for trend-following (edit ts_code list after verifying tradability).",
+  "assets": [
+    {
+      "ts_code": "510300.SH",
+      "asset_class": "equity_cn",
+      "name": "CSI300 ETF"
+    },
+    {
+      "ts_code": "510500.SH",
+      "asset_class": "equity_cn",
+      "name": "CSI500 ETF"
+    },
+    {
+      "ts_code": "159915.SZ",
+      "asset_class": "equity_cn",
+      "name": "ChiNext ETF"
+    },
+    {
+      "ts_code": "511010.SH",
+      "asset_class": "rates",
+      "name": "Treasury ETF"
+    },
+    {
+      "ts_code": "512480.SH",
+      "asset_class": "equity_cn_sector",
+      "name": "\u534a\u5bfc\u4f53ETF"
+    },
+    {
+      "ts_code": "512660.SH",
+      "asset_class": "equity_cn_sector",
+      "name": "\u519b\u5de5ETF"
+    },
+    {
+      "ts_code": "515070.SH",
+      "asset_class": "equity_cn_sector",
+      "name": "\u4eba\u5de5\u667a\u80fdAIETF"
+    },
+    {
+      "ts_code": "515790.SH",
+      "asset_class": "equity_cn_sector",
+      "name": "\u5149\u4f0fETF"
+    },
+    {
+      "ts_code": "159934.SZ",
+      "asset_class": "commodity_cn",
+      "name": "\u9ec4\u91d1ETF\u6613\u65b9\u8fbe"
+    },
+    {
+      "ts_code": "161226.SZ",
+      "asset_class": "commodity_cn",
+      "name": "\u56fd\u6295\u767d\u94f6LOF"
+    },
+    {
+      "ts_code": "515220.SH",
+      "asset_class": "commodity_cn",
+      "name": "\u7164\u70adETF"
+    }
+  ],
+  "constraints": {
+    "max_positions": 4,
+    "must_include": {
+      "equity": 1,
+      "rates": 1,
+      "commodity": 0
+    },
+    "risk_proxy": "510300.SH",
+    "rates_fallback": "511010.SH",
+    "backtest_default_start": "20200101",
+    "backtest_default_end": "20251231"
+  }
+}