| { |
| "run_date": "2026-05-05", |
| "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": [ |
| "IWF", |
| "XBI", |
| "LQD", |
| "IWM", |
| "XLV", |
| "XSD", |
| "XLP", |
| "SLV", |
| "GDX", |
| "SPY", |
| "XLF", |
| "QQQ", |
| "XLE", |
| "XME", |
| "TLT", |
| "XLY", |
| "XLI", |
| "GLD", |
| "XLK", |
| "HYG", |
| "XLU", |
| "VNQ", |
| "VCIT" |
| ], |
| "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": [ |
| "IWF", |
| "XBI", |
| "LQD", |
| "IWM", |
| "XLV", |
| "XSD", |
| "XLP", |
| "SLV", |
| "GDX", |
| "SPY", |
| "XLF", |
| "QQQ", |
| "XLE", |
| "XME", |
| "TLT", |
| "XLY", |
| "XLI", |
| "GLD", |
| "XLK", |
| "HYG", |
| "XLU", |
| "VNQ", |
| "VCIT" |
| ] |
| }, |
| "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": "2026-05-05" |
| }, |
| "risk_free_rate": 0.0359, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.2618801593780518, |
| "annualized_vol": 0.6175394538667816 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.21013766527175903, |
| "annualized_vol": 0.34635724042999855 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.23863846063613892, |
| "annualized_vol": 0.5049571042734577 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.191976547241211, |
| "annualized_vol": 0.6077164775415292 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -3.767962694168091, |
| "annualized_vol": 1.5167573148128777 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -1.2704147100448608, |
| "annualized_vol": 0.6779262311340595 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -6.735013961791992, |
| "annualized_vol": 1.3501676080244387 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.2053754329681396, |
| "annualized_vol": 1.182422243047817 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -3.3223462104797363, |
| "annualized_vol": 1.233559910894874 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.6487538814544678, |
| "annualized_vol": 1.3713391808744488 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -2.7579193115234375, |
| "annualized_vol": 1.5177760113613186 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -5.301838397979736, |
| "annualized_vol": 1.6947036016413444 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.8723275661468506, |
| "annualized_vol": 0.9628617350320485 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -3.585761547088623, |
| "annualized_vol": 1.3180317709884795 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -2.4250617027282715, |
| "annualized_vol": 1.2645865715426665 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -2.302248001098633, |
| "annualized_vol": 0.8572690417632596 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -2.273799419403076, |
| "annualized_vol": 1.1582589217718444 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 0.36926156282424927, |
| "annualized_vol": 1.6118276166816197 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -1.2212389707565308, |
| "annualized_vol": 1.609816835302304 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.7465555667877197, |
| "annualized_vol": 1.2552132149699857 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.378584146499634, |
| "annualized_vol": 1.5898400694338741 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -1.1311246156692505, |
| "annualized_vol": 1.2578954395520763 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -2.2784476280212402, |
| "annualized_vol": 1.313956393423214 |
| } |
| }, |
| "COMBINED": { |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.7465555667877197, |
| "annualized_vol": 1.2552132149699857 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -1.1311246156692505, |
| "annualized_vol": 1.2578954395520763 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.23863846063613892, |
| "annualized_vol": 0.5049571042734577 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -2.2784476280212402, |
| "annualized_vol": 1.313956393423214 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -2.8723275661468506, |
| "annualized_vol": 0.9628617350320485 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.378584146499634, |
| "annualized_vol": 1.5898400694338741 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -2.302248001098633, |
| "annualized_vol": 0.8572690417632596 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -6.735013961791992, |
| "annualized_vol": 1.3501676080244387 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 0.36926156282424927, |
| "annualized_vol": 1.6118276166816197 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -3.2053754329681396, |
| "annualized_vol": 1.182422243047817 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -2.7579193115234375, |
| "annualized_vol": 1.5177760113613186 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -3.3223462104797363, |
| "annualized_vol": 1.233559910894874 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -5.301838397979736, |
| "annualized_vol": 1.6947036016413444 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -1.2212389707565308, |
| "annualized_vol": 1.609816835302304 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 1.2618801593780518, |
| "annualized_vol": 0.6175394538667816 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -2.4250617027282715, |
| "annualized_vol": 1.2645865715426665 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -3.585761547088623, |
| "annualized_vol": 1.3180317709884795 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -1.2704147100448608, |
| "annualized_vol": 0.6779262311340595 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.6487538814544678, |
| "annualized_vol": 1.3713391808744488 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -1.191976547241211, |
| "annualized_vol": 0.6077164775415292 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -2.273799419403076, |
| "annualized_vol": 1.1582589217718444 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -3.767962694168091, |
| "annualized_vol": 1.5167573148128777 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.21013766527175903, |
| "annualized_vol": 0.34635724042999855 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.2618801593780518, |
| "annualized_vol": 0.6175394538667816 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": -0.21013766527175903, |
| "annualized_vol": 0.34635724042999855 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": -0.23863846063613892, |
| "annualized_vol": 0.5049571042734577 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "GDX", |
| "expected_return": 0.36926156282424927, |
| "annualized_vol": 1.6118276166816197 |
| }, |
| { |
| "ticker": "XBI", |
| "expected_return": -1.1311246156692505, |
| "annualized_vol": 1.2578954395520763 |
| }, |
| { |
| "ticker": "XME", |
| "expected_return": -1.2212389707565308, |
| "annualized_vol": 1.609816835302304 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 1.2618801593780518, |
| "annualized_vol": 0.6175394538667816 |
| }, |
| { |
| "ticker": "GDX", |
| "expected_return": 0.36926156282424927, |
| "annualized_vol": 1.6118276166816197 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": -0.21013766527175903, |
| "annualized_vol": 0.34635724042999855 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "LQD", |
| 0.5552778050167414 |
| ], |
| [ |
| "GLD", |
| 0.3460378167965748 |
| ], |
| [ |
| "HYG", |
| 0.0986843781866839 |
| ], |
| [ |
| "TLT", |
| 0.0 |
| ], |
| [ |
| "VCIT", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "XLF", |
| 0.2648206568334245 |
| ], |
| [ |
| "XLK", |
| 0.2584145753376942 |
| ], |
| [ |
| "XLY", |
| 0.23066461558492532 |
| ], |
| [ |
| "XME", |
| 0.12490375260790354 |
| ], |
| [ |
| "XBI", |
| 0.12119639963605244 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "XLK", |
| 0.2608778331697555 |
| ], |
| [ |
| "XLY", |
| 0.2118120637407066 |
| ], |
| [ |
| "XLF", |
| 0.2043355786885363 |
| ], |
| [ |
| "LQD", |
| 0.1971938826430704 |
| ], |
| [ |
| "XME", |
| 0.12578064175793127 |
| ] |
| ] |
| } |
| } |
| } |
