| { |
| "run_date": "2026-05-01", |
| "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": [ |
| "HYG", |
| "LQD", |
| "QQQ", |
| "VNQ", |
| "SLV", |
| "GDX", |
| "XLI", |
| "XLP", |
| "XLF", |
| "XLK", |
| "VCIT", |
| "XLV", |
| "XME", |
| "IWF", |
| "XLE", |
| "SPY", |
| "IWM", |
| "XBI", |
| "XLY", |
| "TLT", |
| "XLU", |
| "GLD", |
| "XSD" |
| ], |
| "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": [ |
| "HYG", |
| "LQD", |
| "QQQ", |
| "VNQ", |
| "SLV", |
| "GDX", |
| "XLI", |
| "XLP", |
| "XLF", |
| "XLK", |
| "VCIT", |
| "XLV", |
| "XME", |
| "IWF", |
| "XLE", |
| "SPY", |
| "IWM", |
| "XBI", |
| "XLY", |
| "TLT", |
| "XLU", |
| "GLD", |
| "XSD" |
| ] |
| }, |
| "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": "2026-05-01" |
| }, |
| "risk_free_rate": 0.036000000000000004, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 2.7773265838623047, |
| "annualized_vol": 0.5183410832319926 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.21519140899181366, |
| "annualized_vol": 0.28512347132973287 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.12324604392051697, |
| "annualized_vol": 0.41361093486668016 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.7778173685073853, |
| "annualized_vol": 0.5082202922185974 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -4.785434722900391, |
| "annualized_vol": 1.2876383509444667 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": 0.3874305188655853, |
| "annualized_vol": 0.5280301139121607 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -2.7572197914123535, |
| "annualized_vol": 0.99016766360401 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.6124680042266846, |
| "annualized_vol": 1.0119811702188712 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -2.8291571140289307, |
| "annualized_vol": 1.0903059601032434 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.2169244289398193, |
| "annualized_vol": 1.1665057156342151 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -5.457337379455566, |
| "annualized_vol": 1.233581081994627 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -6.906252861022949, |
| "annualized_vol": 1.5675911359824768 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -3.282315969467163, |
| "annualized_vol": 0.7867993212586809 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -4.931122303009033, |
| "annualized_vol": 1.1381373881598535 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.407531261444092, |
| "annualized_vol": 1.1021059504950772 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -3.158167839050293, |
| "annualized_vol": 0.6878312306865664 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -3.7864742279052734, |
| "annualized_vol": 0.9443822626682036 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 0.47091102600097656, |
| "annualized_vol": 1.3264932327058856 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -4.635968208312988, |
| "annualized_vol": 1.3904055894535077 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.302178144454956, |
| "annualized_vol": 1.0781574153484403 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.6574034690856934, |
| "annualized_vol": 1.447349224427747 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -2.0601348876953125, |
| "annualized_vol": 1.1598715918563671 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -4.071671485900879, |
| "annualized_vol": 1.1704129071444611 |
| } |
| }, |
| "COMBINED": { |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.7778173685073853, |
| "annualized_vol": 0.5082202922185974 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.12324604392051697, |
| "annualized_vol": 0.41361093486668016 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -2.8291571140289307, |
| "annualized_vol": 1.0903059601032434 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -4.785434722900391, |
| "annualized_vol": 1.2876383509444667 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -2.7572197914123535, |
| "annualized_vol": 0.99016766360401 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 0.47091102600097656, |
| "annualized_vol": 1.3264932327058856 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -4.931122303009033, |
| "annualized_vol": 1.1381373881598535 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -3.158167839050293, |
| "annualized_vol": 0.6878312306865664 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -5.457337379455566, |
| "annualized_vol": 1.233581081994627 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.2169244289398193, |
| "annualized_vol": 1.1665057156342151 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.21519140899181366, |
| "annualized_vol": 0.28512347132973287 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -3.282315969467163, |
| "annualized_vol": 0.7867993212586809 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -4.635968208312988, |
| "annualized_vol": 1.3904055894535077 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.302178144454956, |
| "annualized_vol": 1.0781574153484403 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -6.906252861022949, |
| "annualized_vol": 1.5675911359824768 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.6124680042266846, |
| "annualized_vol": 1.0119811702188712 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -4.071671485900879, |
| "annualized_vol": 1.1704129071444611 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -2.0601348876953125, |
| "annualized_vol": 1.1598715918563671 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.407531261444092, |
| "annualized_vol": 1.1021059504950772 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 2.7773265838623047, |
| "annualized_vol": 0.5183410832319926 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -3.7864742279052734, |
| "annualized_vol": 0.9443822626682036 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": 0.3874305188655853, |
| "annualized_vol": 0.5280301139121607 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.6574034690856934, |
| "annualized_vol": 1.447349224427747 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 2.7773265838623047, |
| "annualized_vol": 0.5183410832319926 |
| }, |
| { |
| "ticker": "GLD", |
| "expected_return": 0.3874305188655853, |
| "annualized_vol": 0.5280301139121607 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": -0.12324604392051697, |
| "annualized_vol": 0.41361093486668016 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "GDX", |
| "expected_return": 0.47091102600097656, |
| "annualized_vol": 1.3264932327058856 |
| }, |
| { |
| "ticker": "XBI", |
| "expected_return": -2.0601348876953125, |
| "annualized_vol": 1.1598715918563671 |
| }, |
| { |
| "ticker": "XSD", |
| "expected_return": -2.6574034690856934, |
| "annualized_vol": 1.447349224427747 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 2.7773265838623047, |
| "annualized_vol": 0.5183410832319926 |
| }, |
| { |
| "ticker": "GDX", |
| "expected_return": 0.47091102600097656, |
| "annualized_vol": 1.3264932327058856 |
| }, |
| { |
| "ticker": "GLD", |
| "expected_return": 0.3874305188655853, |
| "annualized_vol": 0.5280301139121607 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "TLT", |
| 0.40284528002601605 |
| ], |
| [ |
| "LQD", |
| 0.3105234989923854 |
| ], |
| [ |
| "GLD", |
| 0.152678947515502 |
| ], |
| [ |
| "HYG", |
| 0.1003080294411756 |
| ], |
| [ |
| "VNQ", |
| 0.03364424402492095 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "SPY", |
| 0.5054613727781327 |
| ], |
| [ |
| "QQQ", |
| 0.22857795356970376 |
| ], |
| [ |
| "XSD", |
| 0.10412350163799913 |
| ], |
| [ |
| "XBI", |
| 0.09263196963068415 |
| ], |
| [ |
| "XLU", |
| 0.06920520238348024 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "LQD", |
| 0.37337301835323494 |
| ], |
| [ |
| "QQQ", |
| 0.2610590507382386 |
| ], |
| [ |
| "SPY", |
| 0.14743358976124185 |
| ], |
| [ |
| "TLT", |
| 0.1295465118352922 |
| ], |
| [ |
| "XBI", |
| 0.08858782931199238 |
| ] |
| ] |
| } |
| } |
| } |
