| { |
| "run_date": "2026-04-30", |
| "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": [ |
| "XME", |
| "XSD", |
| "XBI", |
| "SLV", |
| "VCIT", |
| "XLV", |
| "XLY", |
| "IWF", |
| "VNQ", |
| "GLD", |
| "QQQ", |
| "IWM", |
| "TLT", |
| "XLE", |
| "XLK", |
| "XLI", |
| "XLF", |
| "SPY", |
| "GDX", |
| "HYG", |
| "XLU", |
| "LQD", |
| "XLP" |
| ], |
| "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": [ |
| "XME", |
| "XSD", |
| "XBI", |
| "SLV", |
| "VCIT", |
| "XLV", |
| "XLY", |
| "IWF", |
| "VNQ", |
| "GLD", |
| "QQQ", |
| "IWM", |
| "TLT", |
| "XLE", |
| "XLK", |
| "XLI", |
| "XLF", |
| "SPY", |
| "GDX", |
| "HYG", |
| "XLU", |
| "LQD", |
| "XLP" |
| ] |
| }, |
| "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": "2026-04-30" |
| }, |
| "risk_free_rate": 0.036000000000000004, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.3408777415752411, |
| "annualized_vol": 0.47859742924100657 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -1.1531816720962524, |
| "annualized_vol": 0.2543817630399262 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -1.2183566093444824, |
| "annualized_vol": 0.3549069939125749 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.33754563331604, |
| "annualized_vol": 0.39982656783307163 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -4.863637924194336, |
| "annualized_vol": 1.1126871242223708 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": 0.5870358347892761, |
| "annualized_vol": 0.5352062888082608 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -1.8616735935211182, |
| "annualized_vol": 1.199987632481832 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.394803285598755, |
| "annualized_vol": 0.8449807559226579 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.972623586654663, |
| "annualized_vol": 0.9235000478938652 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.4507346153259277, |
| "annualized_vol": 0.974205837133395 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -3.465895652770996, |
| "annualized_vol": 1.0774630269314083 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -5.152411460876465, |
| "annualized_vol": 1.3618449479668664 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.2376112937927246, |
| "annualized_vol": 0.7448164982145096 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.9425373077392578, |
| "annualized_vol": 0.931000412647074 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -2.8425095081329346, |
| "annualized_vol": 0.913625385699384 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -1.394152045249939, |
| "annualized_vol": 0.5920223649496321 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -3.2272372245788574, |
| "annualized_vol": 0.8455608322284548 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 4.024065017700195, |
| "annualized_vol": 1.1385992493025057 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -0.6693620085716248, |
| "annualized_vol": 1.3003096681065738 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -8.874738693237305, |
| "annualized_vol": 1.0622424255007423 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.2992615699768066, |
| "annualized_vol": 1.2137629219628927 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -2.109657049179077, |
| "annualized_vol": 1.071826665150849 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -3.363029718399048, |
| "annualized_vol": 1.0204588355154178 |
| } |
| }, |
| "COMBINED": { |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -0.6693620085716248, |
| "annualized_vol": 1.3003096681065738 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.2992615699768066, |
| "annualized_vol": 1.2137629219628927 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -2.109657049179077, |
| "annualized_vol": 1.071826665150849 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -1.8616735935211182, |
| "annualized_vol": 1.199987632481832 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -1.1531816720962524, |
| "annualized_vol": 0.2543817630399262 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.2376112937927246, |
| "annualized_vol": 0.7448164982145096 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -2.8425095081329346, |
| "annualized_vol": 0.913625385699384 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -8.874738693237305, |
| "annualized_vol": 1.0622424255007423 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -4.863637924194336, |
| "annualized_vol": 1.1126871242223708 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": 0.5870358347892761, |
| "annualized_vol": 0.5352062888082608 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.972623586654663, |
| "annualized_vol": 0.9235000478938652 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -3.363029718399048, |
| "annualized_vol": 1.0204588355154178 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.3408777415752411, |
| "annualized_vol": 0.47859742924100657 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -5.152411460876465, |
| "annualized_vol": 1.3618449479668664 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.4507346153259277, |
| "annualized_vol": 0.974205837133395 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -1.9425373077392578, |
| "annualized_vol": 0.931000412647074 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -3.465895652770996, |
| "annualized_vol": 1.0774630269314083 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.394803285598755, |
| "annualized_vol": 0.8449807559226579 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 4.024065017700195, |
| "annualized_vol": 1.1385992493025057 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.33754563331604, |
| "annualized_vol": 0.39982656783307163 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -3.2272372245788574, |
| "annualized_vol": 0.8455608322284548 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -1.2183566093444824, |
| "annualized_vol": 0.3549069939125749 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -1.394152045249939, |
| "annualized_vol": 0.5920223649496321 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "GLD", |
| "expected_return": 0.5870358347892761, |
| "annualized_vol": 0.5352062888082608 |
| }, |
| { |
| "ticker": "TLT", |
| "expected_return": 0.3408777415752411, |
| "annualized_vol": 0.47859742924100657 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": -1.1531816720962524, |
| "annualized_vol": 0.2543817630399262 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "GDX", |
| "expected_return": 4.024065017700195, |
| "annualized_vol": 1.1385992493025057 |
| }, |
| { |
| "ticker": "XME", |
| "expected_return": -0.6693620085716248, |
| "annualized_vol": 1.3003096681065738 |
| }, |
| { |
| "ticker": "XLP", |
| "expected_return": -1.394152045249939, |
| "annualized_vol": 0.5920223649496321 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "GDX", |
| "expected_return": 4.024065017700195, |
| "annualized_vol": 1.1385992493025057 |
| }, |
| { |
| "ticker": "GLD", |
| "expected_return": 0.5870358347892761, |
| "annualized_vol": 0.5352062888082608 |
| }, |
| { |
| "ticker": "TLT", |
| "expected_return": 0.3408777415752411, |
| "annualized_vol": 0.47859742924100657 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "LQD", |
| 0.5333036507143031 |
| ], |
| [ |
| "HYG", |
| 0.2668521791245252 |
| ], |
| [ |
| "GLD", |
| 0.19984417016117179 |
| ], |
| [ |
| "TLT", |
| 0.0 |
| ], |
| [ |
| "VCIT", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "QQQ", |
| 0.4283856327430587 |
| ], |
| [ |
| "XLF", |
| 0.22189427905662373 |
| ], |
| [ |
| "XLI", |
| 0.21192928760301116 |
| ], |
| [ |
| "XLP", |
| 0.09593737697037645 |
| ], |
| [ |
| "XSD", |
| 0.04185342362692998 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "QQQ", |
| 0.3368522830177466 |
| ], |
| [ |
| "LQD", |
| 0.302789503956963 |
| ], |
| [ |
| "XLF", |
| 0.14854467815908712 |
| ], |
| [ |
| "XLI", |
| 0.14146458492651526 |
| ], |
| [ |
| "XLP", |
| 0.0703489499396882 |
| ] |
| ] |
| } |
| } |
| } |
