| { |
| "run_date": "2026-05-04", |
| "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": [ |
| "TLT", |
| "XBI", |
| "IWF", |
| "HYG", |
| "SLV", |
| "VNQ", |
| "XME", |
| "XLE", |
| "SPY", |
| "QQQ", |
| "GDX", |
| "LQD", |
| "XLP", |
| "XSD", |
| "XLF", |
| "XLK", |
| "XLI", |
| "GLD", |
| "XLU", |
| "XLV", |
| "XLY", |
| "VCIT", |
| "IWM" |
| ], |
| "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": [ |
| "TLT", |
| "XBI", |
| "IWF", |
| "HYG", |
| "SLV", |
| "VNQ", |
| "XME", |
| "XLE", |
| "SPY", |
| "QQQ", |
| "GDX", |
| "LQD", |
| "XLP", |
| "XSD", |
| "XLF", |
| "XLK", |
| "XLI", |
| "GLD", |
| "XLU", |
| "XLV", |
| "XLY", |
| "VCIT", |
| "IWM" |
| ] |
| }, |
| "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": "2026-05-04" |
| }, |
| "risk_free_rate": 0.0359, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.301792860031128, |
| "annualized_vol": 0.5484149852537584 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.06788254529237747, |
| "annualized_vol": 0.32320409995284566 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.009896894916892052, |
| "annualized_vol": 0.4506195252319189 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.1986818313598633, |
| "annualized_vol": 0.5596084058965292 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -3.1286122798919678, |
| "annualized_vol": 1.427804041481094 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -1.2247934341430664, |
| "annualized_vol": 0.631259272701004 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -5.435840606689453, |
| "annualized_vol": 1.2829497211321714 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -2.6756763458251953, |
| "annualized_vol": 1.1812514457491967 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.9673138856887817, |
| "annualized_vol": 1.269485729609487 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.9786059856414795, |
| "annualized_vol": 1.397306776601422 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -4.519392013549805, |
| "annualized_vol": 1.4604963590999411 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -7.583083629608154, |
| "annualized_vol": 1.60890517699563 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.2816367149353027, |
| "annualized_vol": 0.9470570951065256 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -3.8057875633239746, |
| "annualized_vol": 1.2600762993752161 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.015287160873413, |
| "annualized_vol": 1.2856511061509097 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -1.7642934322357178, |
| "annualized_vol": 0.8145134735781107 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -2.0212631225585938, |
| "annualized_vol": 1.0856832090762125 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -1.2958544492721558, |
| "annualized_vol": 1.4941300218748363 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -4.895144462585449, |
| "annualized_vol": 1.530411727959037 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -2.4522597789764404, |
| "annualized_vol": 1.255019245117502 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -0.47667697072029114, |
| "annualized_vol": 1.5943459654522136 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -1.3558692932128906, |
| "annualized_vol": 1.3327715873884463 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -3.6089141368865967, |
| "annualized_vol": 1.3521232735798168 |
| } |
| }, |
| "COMBINED": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.301792860031128, |
| "annualized_vol": 0.5484149852537584 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -1.3558692932128906, |
| "annualized_vol": 1.3327715873884463 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -2.4522597789764404, |
| "annualized_vol": 1.255019245117502 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.1986818313598633, |
| "annualized_vol": 0.5596084058965292 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -5.435840606689453, |
| "annualized_vol": 1.2829497211321714 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -3.1286122798919678, |
| "annualized_vol": 1.427804041481094 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -4.895144462585449, |
| "annualized_vol": 1.530411727959037 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -7.583083629608154, |
| "annualized_vol": 1.60890517699563 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -2.6756763458251953, |
| "annualized_vol": 1.1812514457491967 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.9673138856887817, |
| "annualized_vol": 1.269485729609487 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -1.2958544492721558, |
| "annualized_vol": 1.4941300218748363 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 0.009896894916892052, |
| "annualized_vol": 0.4506195252319189 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -1.7642934322357178, |
| "annualized_vol": 0.8145134735781107 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -0.47667697072029114, |
| "annualized_vol": 1.5943459654522136 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -4.519392013549805, |
| "annualized_vol": 1.4604963590999411 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.9786059856414795, |
| "annualized_vol": 1.397306776601422 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -3.8057875633239746, |
| "annualized_vol": 1.2600762993752161 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -1.2247934341430664, |
| "annualized_vol": 0.631259272701004 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -2.0212631225585938, |
| "annualized_vol": 1.0856832090762125 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.2816367149353027, |
| "annualized_vol": 0.9470570951065256 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.015287160873413, |
| "annualized_vol": 1.2856511061509097 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.06788254529237747, |
| "annualized_vol": 0.32320409995284566 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -3.6089141368865967, |
| "annualized_vol": 1.3521232735798168 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.301792860031128, |
| "annualized_vol": 0.5484149852537584 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": 0.009896894916892052, |
| "annualized_vol": 0.4506195252319189 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": -0.06788254529237747, |
| "annualized_vol": 0.32320409995284566 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "XSD", |
| "expected_return": -0.47667697072029114, |
| "annualized_vol": 1.5943459654522136 |
| }, |
| { |
| "ticker": "GDX", |
| "expected_return": -1.2958544492721558, |
| "annualized_vol": 1.4941300218748363 |
| }, |
| { |
| "ticker": "XBI", |
| "expected_return": -1.3558692932128906, |
| "annualized_vol": 1.3327715873884463 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.301792860031128, |
| "annualized_vol": 0.5484149852537584 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": 0.009896894916892052, |
| "annualized_vol": 0.4506195252319189 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": -0.06788254529237747, |
| "annualized_vol": 0.32320409995284566 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "LQD", |
| 0.7160598544805055 |
| ], |
| [ |
| "GLD", |
| 0.12583619626040973 |
| ], |
| [ |
| "VNQ", |
| 0.07961288952276008 |
| ], |
| [ |
| "TLT", |
| 0.07849105973632482 |
| ], |
| [ |
| "VCIT", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "SPY", |
| 0.6709620604645329 |
| ], |
| [ |
| "XSD", |
| 0.12032547467710517 |
| ], |
| [ |
| "XBI", |
| 0.09191405495912786 |
| ], |
| [ |
| "XLU", |
| 0.062026259275591474 |
| ], |
| [ |
| "XLK", |
| 0.05477215062364271 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "SPY", |
| 0.4821746326475354 |
| ], |
| [ |
| "LQD", |
| 0.2178967310025177 |
| ], |
| [ |
| "XLK", |
| 0.10969112113862631 |
| ], |
| [ |
| "XSD", |
| 0.10767705143586773 |
| ], |
| [ |
| "VNQ", |
| 0.08256046377545295 |
| ] |
| ] |
| } |
| } |
| } |
