| { |
| "run_date": "2026-04-28", |
| "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": [ |
| "VCIT", |
| "VNQ", |
| "HYG", |
| "XLV", |
| "XLY", |
| "LQD", |
| "XLI", |
| "XLU", |
| "IWF", |
| "GDX", |
| "QQQ", |
| "XLK", |
| "XLF", |
| "XLE", |
| "XSD", |
| "XLP", |
| "GLD", |
| "SPY", |
| "TLT", |
| "IWM", |
| "XBI", |
| "XME", |
| "SLV" |
| ], |
| "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": [ |
| "VCIT", |
| "VNQ", |
| "HYG", |
| "XLV", |
| "XLY", |
| "LQD", |
| "XLI", |
| "XLU", |
| "IWF", |
| "GDX", |
| "QQQ", |
| "XLK", |
| "XLF", |
| "XLE", |
| "XSD", |
| "XLP", |
| "GLD", |
| "SPY", |
| "TLT", |
| "IWM", |
| "XBI", |
| "XME", |
| "SLV" |
| ] |
| }, |
| "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": "2026-04-28" |
| }, |
| "risk_free_rate": 0.036000000000000004, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.9768041372299194, |
| "annualized_vol": 0.5580106975109939 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.19408643245697021, |
| "annualized_vol": 0.3372643713604674 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.07408024370670319, |
| "annualized_vol": 0.49317849196140234 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -0.9024500846862793, |
| "annualized_vol": 0.5420201303854072 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -2.428433656692505, |
| "annualized_vol": 1.2566975574386883 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -2.1614270210266113, |
| "annualized_vol": 0.6638902059579982 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -7.519288063049316, |
| "annualized_vol": 1.2965189767821184 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -1.3215124607086182, |
| "annualized_vol": 1.066299825372363 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.3550529479980469, |
| "annualized_vol": 1.140387438448666 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.1846554279327393, |
| "annualized_vol": 1.2549931064971367 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -1.5054454803466797, |
| "annualized_vol": 1.3250428349613679 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -1.6095634698867798, |
| "annualized_vol": 1.5882881923397032 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -1.0192315578460693, |
| "annualized_vol": 0.8919650443034048 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.3784562349319458, |
| "annualized_vol": 1.1864261829357043 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -1.3731383085250854, |
| "annualized_vol": 1.1367505037145942 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -0.428398996591568, |
| "annualized_vol": 0.801135940568942 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -1.157165765762329, |
| "annualized_vol": 1.0561341492620058 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -1.2340891361236572, |
| "annualized_vol": 1.5985196289610244 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -1.4849923849105835, |
| "annualized_vol": 1.547882143129915 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -1.8025119304656982, |
| "annualized_vol": 1.1374001844461146 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.095566511154175, |
| "annualized_vol": 1.4857848237946203 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -1.5979304313659668, |
| "annualized_vol": 1.222077250450732 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -1.297792911529541, |
| "annualized_vol": 1.2285881324076726 |
| } |
| }, |
| "COMBINED": { |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.19408643245697021, |
| "annualized_vol": 0.3372643713604674 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -2.428433656692505, |
| "annualized_vol": 1.2566975574386883 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -0.9024500846862793, |
| "annualized_vol": 0.5420201303854072 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -1.0192315578460693, |
| "annualized_vol": 0.8919650443034048 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -1.3731383085250854, |
| "annualized_vol": 1.1367505037145942 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.07408024370670319, |
| "annualized_vol": 0.49317849196140234 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.3784562349319458, |
| "annualized_vol": 1.1864261829357043 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -1.157165765762329, |
| "annualized_vol": 1.0561341492620058 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -1.8025119304656982, |
| "annualized_vol": 1.1374001844461146 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -1.2340891361236572, |
| "annualized_vol": 1.5985196289610244 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.3550529479980469, |
| "annualized_vol": 1.140387438448666 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.1846554279327393, |
| "annualized_vol": 1.2549931064971367 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -1.5054454803466797, |
| "annualized_vol": 1.3250428349613679 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -1.6095634698867798, |
| "annualized_vol": 1.5882881923397032 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.095566511154175, |
| "annualized_vol": 1.4857848237946203 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -0.428398996591568, |
| "annualized_vol": 0.801135940568942 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -2.1614270210266113, |
| "annualized_vol": 0.6638902059579982 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -1.3215124607086182, |
| "annualized_vol": 1.066299825372363 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.9768041372299194, |
| "annualized_vol": 0.5580106975109939 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -1.297792911529541, |
| "annualized_vol": 1.2285881324076726 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -1.5979304313659668, |
| "annualized_vol": 1.222077250450732 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -1.4849923849105835, |
| "annualized_vol": 1.547882143129915 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -7.519288063049316, |
| "annualized_vol": 1.2965189767821184 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 0.9768041372299194, |
| "annualized_vol": 0.5580106975109939 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": 0.19408643245697021, |
| "annualized_vol": 0.3372643713604674 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": 0.07408024370670319, |
| "annualized_vol": 0.49317849196140234 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "XLP", |
| "expected_return": -0.428398996591568, |
| "annualized_vol": 0.801135940568942 |
| }, |
| { |
| "ticker": "XLV", |
| "expected_return": -1.0192315578460693, |
| "annualized_vol": 0.8919650443034048 |
| }, |
| { |
| "ticker": "XLU", |
| "expected_return": -1.157165765762329, |
| "annualized_vol": 1.0561341492620058 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 0.9768041372299194, |
| "annualized_vol": 0.5580106975109939 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": 0.19408643245697021, |
| "annualized_vol": 0.3372643713604674 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": 0.07408024370670319, |
| "annualized_vol": 0.49317849196140234 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "VCIT", |
| 0.7023454355600866 |
| ], |
| [ |
| "GLD", |
| 0.24645772968839022 |
| ], |
| [ |
| "VNQ", |
| 0.04438412338042029 |
| ], |
| [ |
| "TLT", |
| 0.006812711371102903 |
| ], |
| [ |
| "LQD", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "XLK", |
| 0.3735271022863285 |
| ], |
| [ |
| "SPY", |
| 0.3364739716823764 |
| ], |
| [ |
| "XLY", |
| 0.12525975134755146 |
| ], |
| [ |
| "QQQ", |
| 0.11701897572042332 |
| ], |
| [ |
| "IWM", |
| 0.04772019896332031 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "XLK", |
| 0.51673393641393 |
| ], |
| [ |
| "QQQ", |
| 0.15654645625752084 |
| ], |
| [ |
| "XLY", |
| 0.11401457708452939 |
| ], |
| [ |
| "IWM", |
| 0.11271174233168184 |
| ], |
| [ |
| "VCIT", |
| 0.09999328791233786 |
| ] |
| ] |
| } |
| } |
| } |
