| { |
| "run_date": "2026-05-06", |
| "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", |
| "XSD", |
| "XME", |
| "XBI", |
| "GDX", |
| "XLV", |
| "XLI", |
| "HYG", |
| "XLU", |
| "XLF", |
| "LQD", |
| "SLV", |
| "XLE", |
| "XLK", |
| "XLP", |
| "TLT", |
| "QQQ", |
| "GLD", |
| "IWF", |
| "VNQ", |
| "VCIT", |
| "IWM", |
| "SPY" |
| ], |
| "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", |
| "XSD", |
| "XME", |
| "XBI", |
| "GDX", |
| "XLV", |
| "XLI", |
| "HYG", |
| "XLU", |
| "XLF", |
| "LQD", |
| "SLV", |
| "XLE", |
| "XLK", |
| "XLP", |
| "TLT", |
| "QQQ", |
| "GLD", |
| "IWF", |
| "VNQ", |
| "VCIT", |
| "IWM", |
| "SPY" |
| ] |
| }, |
| "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": "2026-05-06" |
| }, |
| "risk_free_rate": 0.0361, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 3.1659090518951416, |
| "annualized_vol": 0.6366548871433128 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.38147372007369995, |
| "annualized_vol": 0.3293622583777315 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.3391820788383484, |
| "annualized_vol": 0.4735898432093907 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -2.5543429851531982, |
| "annualized_vol": 0.5738168750024205 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -5.991354942321777, |
| "annualized_vol": 1.5133663906234194 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -1.3232345581054688, |
| "annualized_vol": 0.6321092509600742 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -4.30598258972168, |
| "annualized_vol": 1.1757875278984675 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -4.138157367706299, |
| "annualized_vol": 1.2080669499349848 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -3.2625796794891357, |
| "annualized_vol": 1.2534810878421652 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.7054097652435303, |
| "annualized_vol": 1.3686659451391807 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -6.0687055587768555, |
| "annualized_vol": 1.53677926146402 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -7.365063667297363, |
| "annualized_vol": 1.709210062846829 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -3.9693679809570312, |
| "annualized_vol": 1.005027824104527 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -5.236576557159424, |
| "annualized_vol": 1.359774083243001 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.4898386001586914, |
| "annualized_vol": 1.2756369394192304 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -2.8414218425750732, |
| "annualized_vol": 0.8855870435228456 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -4.442399024963379, |
| "annualized_vol": 1.2426436137061323 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 0.7576019167900085, |
| "annualized_vol": 1.617911410140195 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -7.50718355178833, |
| "annualized_vol": 1.5905359954168101 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.619769811630249, |
| "annualized_vol": 1.2419608161705291 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -3.8564741611480713, |
| "annualized_vol": 1.670727626857039 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -4.234684944152832, |
| "annualized_vol": 1.405549312588982 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -5.075512886047363, |
| "annualized_vol": 1.377717240792158 |
| } |
| }, |
| "COMBINED": { |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -3.4898386001586914, |
| "annualized_vol": 1.2756369394192304 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -3.8564741611480713, |
| "annualized_vol": 1.670727626857039 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": -7.50718355178833, |
| "annualized_vol": 1.5905359954168101 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": -4.234684944152832, |
| "annualized_vol": 1.405549312588982 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": 0.7576019167900085, |
| "annualized_vol": 1.617911410140195 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -3.9693679809570312, |
| "annualized_vol": 1.005027824104527 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -5.236576557159424, |
| "annualized_vol": 1.359774083243001 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": -2.5543429851531982, |
| "annualized_vol": 0.5738168750024205 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": -4.442399024963379, |
| "annualized_vol": 1.2426436137061323 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -6.0687055587768555, |
| "annualized_vol": 1.53677926146402 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": -0.3391820788383484, |
| "annualized_vol": 0.4735898432093907 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -4.30598258972168, |
| "annualized_vol": 1.1757875278984675 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -7.365063667297363, |
| "annualized_vol": 1.709210062846829 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -3.7054097652435303, |
| "annualized_vol": 1.3686659451391807 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": -2.8414218425750732, |
| "annualized_vol": 0.8855870435228456 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 3.1659090518951416, |
| "annualized_vol": 0.6366548871433128 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -3.2625796794891357, |
| "annualized_vol": 1.2534810878421652 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -1.3232345581054688, |
| "annualized_vol": 0.6321092509600742 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -3.619769811630249, |
| "annualized_vol": 1.2419608161705291 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -5.991354942321777, |
| "annualized_vol": 1.5133663906234194 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": -0.38147372007369995, |
| "annualized_vol": 0.3293622583777315 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -5.075512886047363, |
| "annualized_vol": 1.377717240792158 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -4.138157367706299, |
| "annualized_vol": 1.2080669499349848 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 3.1659090518951416, |
| "annualized_vol": 0.6366548871433128 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": -0.3391820788383484, |
| "annualized_vol": 0.4735898432093907 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": -0.38147372007369995, |
| "annualized_vol": 0.3293622583777315 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "GDX", |
| "expected_return": 0.7576019167900085, |
| "annualized_vol": 1.617911410140195 |
| }, |
| { |
| "ticker": "XLP", |
| "expected_return": -2.8414218425750732, |
| "annualized_vol": 0.8855870435228456 |
| }, |
| { |
| "ticker": "QQQ", |
| "expected_return": -3.2625796794891357, |
| "annualized_vol": 1.2534810878421652 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "TLT", |
| "expected_return": 3.1659090518951416, |
| "annualized_vol": 0.6366548871433128 |
| }, |
| { |
| "ticker": "GDX", |
| "expected_return": 0.7576019167900085, |
| "annualized_vol": 1.617911410140195 |
| }, |
| { |
| "ticker": "LQD", |
| "expected_return": -0.3391820788383484, |
| "annualized_vol": 0.4735898432093907 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "LQD", |
| 0.41830419005535097 |
| ], |
| [ |
| "TLT", |
| 0.3910507021529548 |
| ], |
| [ |
| "VNQ", |
| 0.19064510779169416 |
| ], |
| [ |
| "VCIT", |
| 0.0 |
| ], |
| [ |
| "HYG", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "IWF", |
| 0.3288471740934344 |
| ], |
| [ |
| "XLF", |
| 0.2636811657370714 |
| ], |
| [ |
| "XLP", |
| 0.1494660291513175 |
| ], |
| [ |
| "XSD", |
| 0.13084630614471773 |
| ], |
| [ |
| "QQQ", |
| 0.12715932487345902 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "LQD", |
| 0.28792183199347565 |
| ], |
| [ |
| "IWF", |
| 0.2298908645743387 |
| ], |
| [ |
| "QQQ", |
| 0.172999568056708 |
| ], |
| [ |
| "TLT", |
| 0.15751218555168653 |
| ], |
| [ |
| "XLF", |
| 0.15167554982379117 |
| ] |
| ] |
| } |
| } |
| } |
