| { |
| "run_date": "2026-04-29", |
| "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": [ |
| "XLY", |
| "VCIT", |
| "VNQ", |
| "XBI", |
| "GDX", |
| "IWM", |
| "XSD", |
| "XLK", |
| "XLP", |
| "XME", |
| "GLD", |
| "QQQ", |
| "IWF", |
| "HYG", |
| "TLT", |
| "SPY", |
| "LQD", |
| "XLU", |
| "XLV", |
| "XLF", |
| "XLE", |
| "SLV", |
| "XLI" |
| ], |
| "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": [ |
| "XLY", |
| "VCIT", |
| "VNQ", |
| "XBI", |
| "GDX", |
| "IWM", |
| "XSD", |
| "XLK", |
| "XLP", |
| "XME", |
| "GLD", |
| "QQQ", |
| "IWF", |
| "HYG", |
| "TLT", |
| "SPY", |
| "LQD", |
| "XLU", |
| "XLV", |
| "XLF", |
| "XLE", |
| "SLV", |
| "XLI" |
| ] |
| }, |
| "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": "2026-04-29" |
| }, |
| "risk_free_rate": 0.036000000000000004, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.397223711013794, |
| "annualized_vol": 0.5732166920655735 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.25614339113235474, |
| "annualized_vol": 0.38358395817355634 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.08848709613084793, |
| "annualized_vol": 0.5487917480373482 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -0.2635219097137451, |
| "annualized_vol": 0.671365319148094 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -2.3566997051239014, |
| "annualized_vol": 1.5692997265245388 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.7929703593254089, |
| "annualized_vol": 0.7036546762258361 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -6.645301818847656, |
| "annualized_vol": 1.3571082987886514 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -1.8525245189666748, |
| "annualized_vol": 1.2966489602381426 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.445923924446106, |
| "annualized_vol": 1.3315612864735273 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.8961219787597656, |
| "annualized_vol": 1.492324564680833 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -2.537888526916504, |
| "annualized_vol": 1.5883540711249675 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -3.2104175090789795, |
| "annualized_vol": 1.9499267680535692 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.0947823524475098, |
| "annualized_vol": 1.0208561188901089 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.7691116333007812, |
| "annualized_vol": 1.4487822358501217 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -0.8004900813102722, |
| "annualized_vol": 1.3339307938056377 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -1.7596101760864258, |
| "annualized_vol": 0.9187908383533187 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -1.8484106063842773, |
| "annualized_vol": 1.303128499505505 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -0.6196454167366028, |
| "annualized_vol": 1.6474215577096047 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -1.9903541803359985, |
| "annualized_vol": 1.7137954391949668 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -2.002919912338257, |
| "annualized_vol": 1.356465477966548 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": 1.1896357536315918, |
| "annualized_vol": 1.7352289896201303 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": 0.5424058437347412, |
| "annualized_vol": 1.3491341271884607 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -1.3542027473449707, |
| "annualized_vol": 1.4606291811391725 |
| } |
| }, |
| "COMBINED": { |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -0.8004900813102722, |
| "annualized_vol": 1.3339307938056377 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.25614339113235474, |
| "annualized_vol": 0.38358395817355634 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -2.3566997051239014, |
| "annualized_vol": 1.5692997265245388 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": 0.5424058437347412, |
| "annualized_vol": 1.3491341271884607 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -0.6196454167366028, |
| "annualized_vol": 1.6474215577096047 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -1.3542027473449707, |
| "annualized_vol": 1.4606291811391725 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": 1.1896357536315918, |
| "annualized_vol": 1.7352289896201303 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.8961219787597656, |
| "annualized_vol": 1.492324564680833 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -1.7596101760864258, |
| "annualized_vol": 0.9187908383533187 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -1.9903541803359985, |
| "annualized_vol": 1.7137954391949668 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.7929703593254089, |
| "annualized_vol": 0.7036546762258361 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.445923924446106, |
| "annualized_vol": 1.3315612864735273 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -2.002919912338257, |
| "annualized_vol": 1.356465477966548 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -0.2635219097137451, |
| "annualized_vol": 0.671365319148094 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.397223711013794, |
| "annualized_vol": 0.5732166920655735 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -1.8525245189666748, |
| "annualized_vol": 1.2966489602381426 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.08848709613084793, |
| "annualized_vol": 0.5487917480373482 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -1.8484106063842773, |
| "annualized_vol": 1.303128499505505 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.0947823524475098, |
| "annualized_vol": 1.0208561188901089 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -2.537888526916504, |
| "annualized_vol": 1.5883540711249675 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -3.2104175090789795, |
| "annualized_vol": 1.9499267680535692 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -6.645301818847656, |
| "annualized_vol": 1.3571082987886514 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.7691116333007812, |
| "annualized_vol": 1.4487822358501217 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.397223711013794, |
| "annualized_vol": 0.5732166920655735 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": 0.25614339113235474, |
| "annualized_vol": 0.38358395817355634 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": 0.08848709613084793, |
| "annualized_vol": 0.5487917480373482 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "XSD", |
| "expected_return": 1.1896357536315918, |
| "annualized_vol": 1.7352289896201303 |
| }, |
| { |
| "ticker": "XBI", |
| "expected_return": 0.5424058437347412, |
| "annualized_vol": 1.3491341271884607 |
| }, |
| { |
| "ticker": "GDX", |
| "expected_return": -0.6196454167366028, |
| "annualized_vol": 1.6474215577096047 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.397223711013794, |
| "annualized_vol": 0.5732166920655735 |
| }, |
| { |
| "ticker": "XSD", |
| "expected_return": 1.1896357536315918, |
| "annualized_vol": 1.7352289896201303 |
| }, |
| { |
| "ticker": "XBI", |
| "expected_return": 0.5424058437347412, |
| "annualized_vol": 1.3491341271884607 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "VCIT", |
| 0.4583062959756307 |
| ], |
| [ |
| "GLD", |
| 0.24846895322894721 |
| ], |
| [ |
| "HYG", |
| 0.23667624724295117 |
| ], |
| [ |
| "TLT", |
| 0.05654850355247083 |
| ], |
| [ |
| "LQD", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "XLY", |
| 0.2656709093357755 |
| ], |
| [ |
| "XSD", |
| 0.25221513731333545 |
| ], |
| [ |
| "SPY", |
| 0.2187384943839409 |
| ], |
| [ |
| "XBI", |
| 0.19142302945353748 |
| ], |
| [ |
| "XLU", |
| 0.07195242951341067 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "HYG", |
| 0.27649665639917004 |
| ], |
| [ |
| "VCIT", |
| 0.2383555578641226 |
| ], |
| [ |
| "GLD", |
| 0.18627227125793605 |
| ], |
| [ |
| "XSD", |
| 0.15714236586808966 |
| ], |
| [ |
| "XBI", |
| 0.14173314861068168 |
| ] |
| ] |
| } |
| } |
| } |
