| { |
| "run_date": "2026-04-27", |
| "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": [ |
| "XBI", |
| "HYG", |
| "IWF", |
| "SPY", |
| "XSD", |
| "IWM", |
| "VCIT", |
| "GDX", |
| "XME", |
| "LQD", |
| "GLD", |
| "VNQ", |
| "SLV", |
| "QQQ", |
| "XLP", |
| "TLT", |
| "XLV", |
| "XLK", |
| "XLI", |
| "XLF", |
| "XLY", |
| "XLE", |
| "XLU" |
| ], |
| "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": [ |
| "XBI", |
| "HYG", |
| "IWF", |
| "SPY", |
| "XSD", |
| "IWM", |
| "VCIT", |
| "GDX", |
| "XME", |
| "LQD", |
| "GLD", |
| "VNQ", |
| "SLV", |
| "QQQ", |
| "XLP", |
| "TLT", |
| "XLV", |
| "XLK", |
| "XLI", |
| "XLF", |
| "XLY", |
| "XLE", |
| "XLU" |
| ] |
| }, |
| "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": "2026-04-27" |
| }, |
| "risk_free_rate": 0.036000000000000004, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.615767002105713, |
| "annualized_vol": 0.5771699514157844 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.2398490011692047, |
| "annualized_vol": 0.3366949101731219 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.2061871588230133, |
| "annualized_vol": 0.4831820959433425 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.9293726682662964, |
| "annualized_vol": 0.49104828310736376 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -3.1564810276031494, |
| "annualized_vol": 1.2446340519057972 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.22760356962680817, |
| "annualized_vol": 0.6403028805244623 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -3.2914397716522217, |
| "annualized_vol": 1.1508255002726027 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.5495107173919678, |
| "annualized_vol": 0.9869143515629449 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -3.06978440284729, |
| "annualized_vol": 1.0155301088735238 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -2.8159584999084473, |
| "annualized_vol": 1.093986774602725 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -4.50065279006958, |
| "annualized_vol": 1.295511752840806 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -5.2519989013671875, |
| "annualized_vol": 1.485592628056641 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -3.727146863937378, |
| "annualized_vol": 0.8087723799046402 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -3.7669525146484375, |
| "annualized_vol": 1.1130353237624393 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.668166399002075, |
| "annualized_vol": 1.0106350904072137 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -2.3751118183135986, |
| "annualized_vol": 0.7782547127081674 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -2.7017951011657715, |
| "annualized_vol": 0.9815382523801849 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -2.160142183303833, |
| "annualized_vol": 1.5549991808758676 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -4.843565464019775, |
| "annualized_vol": 1.4778498009878274 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.745030164718628, |
| "annualized_vol": 1.018579811706631 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -3.6331491470336914, |
| "annualized_vol": 1.3710359255684923 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -3.889145851135254, |
| "annualized_vol": 1.1910013876940166 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -4.612591743469238, |
| "annualized_vol": 1.1991833672398258 |
| } |
| }, |
| "COMBINED": { |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -3.889145851135254, |
| "annualized_vol": 1.1910013876940166 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.9293726682662964, |
| "annualized_vol": 0.49104828310736376 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.745030164718628, |
| "annualized_vol": 1.018579811706631 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.5495107173919678, |
| "annualized_vol": 0.9869143515629449 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -3.6331491470336914, |
| "annualized_vol": 1.3710359255684923 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -4.612591743469238, |
| "annualized_vol": 1.1991833672398258 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.2398490011692047, |
| "annualized_vol": 0.3366949101731219 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -2.160142183303833, |
| "annualized_vol": 1.5549991808758676 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -4.843565464019775, |
| "annualized_vol": 1.4778498009878274 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.2061871588230133, |
| "annualized_vol": 0.4831820959433425 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.22760356962680817, |
| "annualized_vol": 0.6403028805244623 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -3.1564810276031494, |
| "annualized_vol": 1.2446340519057972 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -3.2914397716522217, |
| "annualized_vol": 1.1508255002726027 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -3.06978440284729, |
| "annualized_vol": 1.0155301088735238 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -2.3751118183135986, |
| "annualized_vol": 0.7782547127081674 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.615767002105713, |
| "annualized_vol": 0.5771699514157844 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -3.727146863937378, |
| "annualized_vol": 0.8087723799046402 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -2.8159584999084473, |
| "annualized_vol": 1.093986774602725 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -3.7669525146484375, |
| "annualized_vol": 1.1130353237624393 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -4.50065279006958, |
| "annualized_vol": 1.295511752840806 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.668166399002075, |
| "annualized_vol": 1.0106350904072137 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -5.2519989013671875, |
| "annualized_vol": 1.485592628056641 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -2.7017951011657715, |
| "annualized_vol": 0.9815382523801849 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.615767002105713, |
| "annualized_vol": 0.5771699514157844 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": -0.2061871588230133, |
| "annualized_vol": 0.4831820959433425 |
| }, |
| { |
| "ticker": "GLD", |
| "expected_return": -0.22760356962680817, |
| "annualized_vol": 0.6403028805244623 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "GDX", |
| "expected_return": -2.160142183303833, |
| "annualized_vol": 1.5549991808758676 |
| }, |
| { |
| "ticker": "XLP", |
| "expected_return": -2.3751118183135986, |
| "annualized_vol": 0.7782547127081674 |
| }, |
| { |
| "ticker": "XLU", |
| "expected_return": -2.7017951011657715, |
| "annualized_vol": 0.9815382523801849 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.615767002105713, |
| "annualized_vol": 0.5771699514157844 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": -0.2061871588230133, |
| "annualized_vol": 0.4831820959433425 |
| }, |
| { |
| "ticker": "GLD", |
| "expected_return": -0.22760356962680817, |
| "annualized_vol": 0.6403028805244623 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "LQD", |
| 0.5586704373648209 |
| ], |
| [ |
| "VNQ", |
| 0.19031845091944655 |
| ], |
| [ |
| "GLD", |
| 0.1712217815006509 |
| ], |
| [ |
| "TLT", |
| 0.07978933021508167 |
| ], |
| [ |
| "VCIT", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "XLK", |
| 0.3408783913211751 |
| ], |
| [ |
| "QQQ", |
| 0.30388662732707766 |
| ], |
| [ |
| "XLI", |
| 0.136380372902717 |
| ], |
| [ |
| "SPY", |
| 0.12188191161651207 |
| ], |
| [ |
| "XLF", |
| 0.0969726968325183 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "QQQ", |
| 0.3195147144628305 |
| ], |
| [ |
| "LQD", |
| 0.22121136703075678 |
| ], |
| [ |
| "XLK", |
| 0.1997142709758305 |
| ], |
| [ |
| "VNQ", |
| 0.15579328007066734 |
| ], |
| [ |
| "XLI", |
| 0.1037663674599151 |
| ] |
| ] |
| } |
| } |
| } |
