| { |
| "run_date": "2026-04-25", |
| "config": { |
| "HF_DATA_REPO": "P2SAMAPA/fi-etf-macro-signal-master-data", |
| "HF_DATA_FILE": "master_data.parquet", |
| "HF_OUTPUT_REPO": "P2SAMAPA/p2-etf-normalizing-flow-results", |
| "FI_COMMODITIES_TICKERS": [ |
| "TLT", |
| "VCIT", |
| "LQD", |
| "HYG", |
| "VNQ", |
| "GLD", |
| "SLV" |
| ], |
| "EQUITY_SECTORS_TICKERS": [ |
| "SPY", |
| "QQQ", |
| "XLK", |
| "XLF", |
| "XLE", |
| "XLV", |
| "XLI", |
| "XLY", |
| "XLP", |
| "XLU", |
| "GDX", |
| "XME", |
| "IWF", |
| "XSD", |
| "XBI", |
| "IWM" |
| ], |
| "ALL_TICKERS": [ |
| "SLV", |
| "GDX", |
| "XSD", |
| "QQQ", |
| "XLK", |
| "HYG", |
| "VNQ", |
| "XLU", |
| "VCIT", |
| "XBI", |
| "IWM", |
| "XLP", |
| "XME", |
| "XLF", |
| "XLV", |
| "IWF", |
| "XLI", |
| "XLE", |
| "XLY", |
| "LQD", |
| "TLT", |
| "SPY", |
| "GLD" |
| ], |
| "UNIVERSES": { |
| "FI_COMMODITIES": [ |
| "TLT", |
| "VCIT", |
| "LQD", |
| "HYG", |
| "VNQ", |
| "GLD", |
| "SLV" |
| ], |
| "EQUITY_SECTORS": [ |
| "SPY", |
| "QQQ", |
| "XLK", |
| "XLF", |
| "XLE", |
| "XLV", |
| "XLI", |
| "XLY", |
| "XLP", |
| "XLU", |
| "GDX", |
| "XME", |
| "IWF", |
| "XSD", |
| "XBI", |
| "IWM" |
| ], |
| "COMBINED": [ |
| "SLV", |
| "GDX", |
| "XSD", |
| "QQQ", |
| "XLK", |
| "HYG", |
| "VNQ", |
| "XLU", |
| "VCIT", |
| "XBI", |
| "IWM", |
| "XLP", |
| "XME", |
| "XLF", |
| "XLV", |
| "IWF", |
| "XLI", |
| "XLE", |
| "XLY", |
| "LQD", |
| "TLT", |
| "SPY", |
| "GLD" |
| ] |
| }, |
| "MACRO_COLS": [ |
| "VIX", |
| "DXY", |
| "T10Y2Y", |
| "TBILL_3M" |
| ], |
| "NUM_COUPLING_LAYERS": 8, |
| "HIDDEN_FEATURES": 256, |
| "EPOCHS": 500, |
| "BATCH_SIZE": 128, |
| "LEARNING_RATE": 0.001, |
| "WEIGHT_DECAY": 1e-05, |
| "RANDOM_SEED": 42, |
| "MIN_OBSERVATIONS": 252, |
| "TRAIN_START": "2008-01-01", |
| "NUM_SAMPLES": 50000, |
| "TODAY": "2026-04-25" |
| }, |
| "risk_free_rate": 0.036000000000000004, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.9873939752578735, |
| "annualized_vol": 0.611133244665602 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.20725968480110168, |
| "annualized_vol": 0.321358902593943 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.27588707208633423, |
| "annualized_vol": 0.4525292116530574 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -0.1862020343542099, |
| "annualized_vol": 0.5340851667157643 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -1.137952446937561, |
| "annualized_vol": 1.2849834477257442 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.7708145380020142, |
| "annualized_vol": 0.6594723651562284 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -6.3056159019470215, |
| "annualized_vol": 1.3539606648349 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -1.5532480478286743, |
| "annualized_vol": 1.0641536199192094 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.8819795846939087, |
| "annualized_vol": 1.1447265677035896 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.8097035884857178, |
| "annualized_vol": 1.2388892325918675 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -1.2107447385787964, |
| "annualized_vol": 1.3300419348119374 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -2.579803705215454, |
| "annualized_vol": 1.4916459067457402 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -0.3930666446685791, |
| "annualized_vol": 0.868856848060364 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.8771964311599731, |
| "annualized_vol": 1.1676825449221506 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -1.5658122301101685, |
| "annualized_vol": 1.1418999302008388 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": 0.3846442997455597, |
| "annualized_vol": 0.8154823766461275 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -1.2699573040008545, |
| "annualized_vol": 1.0593157279399419 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 1.2167396545410156, |
| "annualized_vol": 1.5483990018222042 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -0.8835199475288391, |
| "annualized_vol": 1.4595443692568666 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -2.0568206310272217, |
| "annualized_vol": 1.1199600474961122 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -1.934804916381836, |
| "annualized_vol": 1.4920661353346882 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -0.5849488973617554, |
| "annualized_vol": 1.2375983868784477 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -1.4042221307754517, |
| "annualized_vol": 1.1781552611160735 |
| } |
| }, |
| "COMBINED": { |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -6.3056159019470215, |
| "annualized_vol": 1.3539606648349 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 1.2167396545410156, |
| "annualized_vol": 1.5483990018222042 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -1.934804916381836, |
| "annualized_vol": 1.4920661353346882 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.8819795846939087, |
| "annualized_vol": 1.1447265677035896 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.8097035884857178, |
| "annualized_vol": 1.2388892325918675 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -0.1862020343542099, |
| "annualized_vol": 0.5340851667157643 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -1.137952446937561, |
| "annualized_vol": 1.2849834477257442 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -1.2699573040008545, |
| "annualized_vol": 1.0593157279399419 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.20725968480110168, |
| "annualized_vol": 0.321358902593943 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -0.5849488973617554, |
| "annualized_vol": 1.2375983868784477 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -1.4042221307754517, |
| "annualized_vol": 1.1781552611160735 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": 0.3846442997455597, |
| "annualized_vol": 0.8154823766461275 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -0.8835199475288391, |
| "annualized_vol": 1.4595443692568666 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -1.2107447385787964, |
| "annualized_vol": 1.3300419348119374 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -0.3930666446685791, |
| "annualized_vol": 0.868856848060364 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -2.0568206310272217, |
| "annualized_vol": 1.1199600474961122 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.8771964311599731, |
| "annualized_vol": 1.1676825449221506 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -2.579803705215454, |
| "annualized_vol": 1.4916459067457402 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -1.5658122301101685, |
| "annualized_vol": 1.1418999302008388 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.27588707208633423, |
| "annualized_vol": 0.4525292116530574 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.9873939752578735, |
| "annualized_vol": 0.611133244665602 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -1.5532480478286743, |
| "annualized_vol": 1.0641536199192094 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.7708145380020142, |
| "annualized_vol": 0.6594723651562284 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 0.9873939752578735, |
| "annualized_vol": 0.611133244665602 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": 0.27588707208633423, |
| "annualized_vol": 0.4525292116530574 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": 0.20725968480110168, |
| "annualized_vol": 0.321358902593943 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "GDX", |
| "expected_return": 1.2167396545410156, |
| "annualized_vol": 1.5483990018222042 |
| }, |
| { |
| "ticker": "XLP", |
| "expected_return": 0.3846442997455597, |
| "annualized_vol": 0.8154823766461275 |
| }, |
| { |
| "ticker": "XLV", |
| "expected_return": -0.3930666446685791, |
| "annualized_vol": 0.868856848060364 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "GDX", |
| "expected_return": 1.2167396545410156, |
| "annualized_vol": 1.5483990018222042 |
| }, |
| { |
| "ticker": "TLT", |
| "expected_return": 0.9873939752578735, |
| "annualized_vol": 0.611133244665602 |
| }, |
| { |
| "ticker": "XLP", |
| "expected_return": 0.3846442997455597, |
| "annualized_vol": 0.8154823766461275 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "GLD", |
| 0.5543756088835387 |
| ], |
| [ |
| "HYG", |
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| ], |
| [ |
| "LQD", |
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| ], |
| [ |
| "TLT", |
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| ], |
| [ |
| "VNQ", |
| 0.02511671680775799 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "XLK", |
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| ], |
| [ |
| "XLP", |
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| ], |
| [ |
| "XLF", |
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| ], |
| [ |
| "XLY", |
| 0.12976406052278688 |
| ], |
| [ |
| "XLV", |
| 0.08882055525813085 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "XLK", |
| 0.3688005417929092 |
| ], |
| [ |
| "XLP", |
| 0.25333686202872513 |
| ], |
| [ |
| "HYG", |
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| ], |
| [ |
| "XLF", |
| 0.11221103638703114 |
| ], |
| [ |
| "GLD", |
| 0.10905782951363163 |
| ] |
| ] |
| } |
| } |
| } |
