| { |
| "run_date": "2026-05-07", |
| "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": [ |
| "QQQ", |
| "GDX", |
| "XSD", |
| "TLT", |
| "XLE", |
| "XLP", |
| "XBI", |
| "LQD", |
| "XLK", |
| "SPY", |
| "XME", |
| "HYG", |
| "GLD", |
| "IWF", |
| "XLI", |
| "SLV", |
| "XLF", |
| "VNQ", |
| "XLY", |
| "XLV", |
| "XLU", |
| "IWM", |
| "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": [ |
| "QQQ", |
| "GDX", |
| "XSD", |
| "TLT", |
| "XLE", |
| "XLP", |
| "XBI", |
| "LQD", |
| "XLK", |
| "SPY", |
| "XME", |
| "HYG", |
| "GLD", |
| "IWF", |
| "XLI", |
| "SLV", |
| "XLF", |
| "VNQ", |
| "XLY", |
| "XLV", |
| "XLU", |
| "IWM", |
| "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": "2026-05-07" |
| }, |
| "risk_free_rate": 0.0361, |
| "daily_trading": { |
| "universes": { |
| "FI_COMMODITIES": { |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.43790751695632935, |
| "annualized_vol": 0.5423439062824649 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.5941064953804016, |
| "annualized_vol": 0.36545694322459055 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 1.0614099502563477, |
| "annualized_vol": 0.49978946354496767 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": 0.16608847677707672, |
| "annualized_vol": 0.5372583479183795 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -0.8723235130310059, |
| "annualized_vol": 1.3165165589274 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.8150100708007812, |
| "annualized_vol": 0.6537610174692821 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -3.472607374191284, |
| "annualized_vol": 1.2618507687025424 |
| } |
| }, |
| "EQUITY_SECTORS": { |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -0.931626558303833, |
| "annualized_vol": 1.0604725688711276 |
| }, |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.2619707584381104, |
| "annualized_vol": 1.1111276775729808 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.1311867237091064, |
| "annualized_vol": 1.2158712796399518 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -1.456614375114441, |
| "annualized_vol": 1.4212327213567024 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -1.1874792575836182, |
| "annualized_vol": 1.5653669877654288 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -1.0055642127990723, |
| "annualized_vol": 0.8805975830277499 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -0.6162142753601074, |
| "annualized_vol": 1.2186687033905297 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -0.9715469479560852, |
| "annualized_vol": 1.105394094317579 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": 0.623192310333252, |
| "annualized_vol": 0.7453409855991678 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": 0.34646832942962646, |
| "annualized_vol": 0.9961340698195426 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -0.9347018003463745, |
| "annualized_vol": 1.4908203521296808 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": 0.6833490133285522, |
| "annualized_vol": 1.4572056132428328 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -0.992340624332428, |
| "annualized_vol": 1.1268512996028017 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.8552424907684326, |
| "annualized_vol": 1.4055968588577006 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": 0.8254069089889526, |
| "annualized_vol": 1.1225287287499195 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -0.35675591230392456, |
| "annualized_vol": 1.2297351565719337 |
| } |
| }, |
| "COMBINED": { |
| "QQQ": { |
| "ticker": "QQQ", |
| "expected_return": -1.2619707584381104, |
| "annualized_vol": 1.1111276775729808 |
| }, |
| "GDX": { |
| "ticker": "GDX", |
| "expected_return": -0.9347018003463745, |
| "annualized_vol": 1.4908203521296808 |
| }, |
| "XSD": { |
| "ticker": "XSD", |
| "expected_return": -2.8552424907684326, |
| "annualized_vol": 1.4055968588577006 |
| }, |
| "TLT": { |
| "ticker": "TLT", |
| "expected_return": 0.43790751695632935, |
| "annualized_vol": 0.5423439062824649 |
| }, |
| "XLE": { |
| "ticker": "XLE", |
| "expected_return": -1.1874792575836182, |
| "annualized_vol": 1.5653669877654288 |
| }, |
| "XLP": { |
| "ticker": "XLP", |
| "expected_return": 0.623192310333252, |
| "annualized_vol": 0.7453409855991678 |
| }, |
| "XBI": { |
| "ticker": "XBI", |
| "expected_return": 0.8254069089889526, |
| "annualized_vol": 1.1225287287499195 |
| }, |
| "LQD": { |
| "ticker": "LQD", |
| "expected_return": 1.0614099502563477, |
| "annualized_vol": 0.49978946354496767 |
| }, |
| "XLK": { |
| "ticker": "XLK", |
| "expected_return": -1.1311867237091064, |
| "annualized_vol": 1.2158712796399518 |
| }, |
| "SPY": { |
| "ticker": "SPY", |
| "expected_return": -0.931626558303833, |
| "annualized_vol": 1.0604725688711276 |
| }, |
| "XME": { |
| "ticker": "XME", |
| "expected_return": 0.6833490133285522, |
| "annualized_vol": 1.4572056132428328 |
| }, |
| "HYG": { |
| "ticker": "HYG", |
| "expected_return": 0.16608847677707672, |
| "annualized_vol": 0.5372583479183795 |
| }, |
| "GLD": { |
| "ticker": "GLD", |
| "expected_return": -0.8150100708007812, |
| "annualized_vol": 0.6537610174692821 |
| }, |
| "IWF": { |
| "ticker": "IWF", |
| "expected_return": -0.992340624332428, |
| "annualized_vol": 1.1268512996028017 |
| }, |
| "XLI": { |
| "ticker": "XLI", |
| "expected_return": -0.6162142753601074, |
| "annualized_vol": 1.2186687033905297 |
| }, |
| "SLV": { |
| "ticker": "SLV", |
| "expected_return": -3.472607374191284, |
| "annualized_vol": 1.2618507687025424 |
| }, |
| "XLF": { |
| "ticker": "XLF", |
| "expected_return": -1.456614375114441, |
| "annualized_vol": 1.4212327213567024 |
| }, |
| "VNQ": { |
| "ticker": "VNQ", |
| "expected_return": -0.8723235130310059, |
| "annualized_vol": 1.3165165589274 |
| }, |
| "XLY": { |
| "ticker": "XLY", |
| "expected_return": -0.9715469479560852, |
| "annualized_vol": 1.105394094317579 |
| }, |
| "XLV": { |
| "ticker": "XLV", |
| "expected_return": -1.0055642127990723, |
| "annualized_vol": 0.8805975830277499 |
| }, |
| "XLU": { |
| "ticker": "XLU", |
| "expected_return": 0.34646832942962646, |
| "annualized_vol": 0.9961340698195426 |
| }, |
| "IWM": { |
| "ticker": "IWM", |
| "expected_return": -0.35675591230392456, |
| "annualized_vol": 1.2297351565719337 |
| }, |
| "VCIT": { |
| "ticker": "VCIT", |
| "expected_return": 0.5941064953804016, |
| "annualized_vol": 0.36545694322459055 |
| } |
| } |
| }, |
| "top_picks": { |
| "FI_COMMODITIES": [ |
| { |
| "ticker": "LQD", |
| "expected_return": 1.0614099502563477, |
| "annualized_vol": 0.49978946354496767 |
| }, |
| { |
| "ticker": "VCIT", |
| "expected_return": 0.5941064953804016, |
| "annualized_vol": 0.36545694322459055 |
| }, |
| { |
| "ticker": "TLT", |
| "expected_return": 0.43790751695632935, |
| "annualized_vol": 0.5423439062824649 |
| } |
| ], |
| "EQUITY_SECTORS": [ |
| { |
| "ticker": "XBI", |
| "expected_return": 0.8254069089889526, |
| "annualized_vol": 1.1225287287499195 |
| }, |
| { |
| "ticker": "XME", |
| "expected_return": 0.6833490133285522, |
| "annualized_vol": 1.4572056132428328 |
| }, |
| { |
| "ticker": "XLP", |
| "expected_return": 0.623192310333252, |
| "annualized_vol": 0.7453409855991678 |
| } |
| ], |
| "COMBINED": [ |
| { |
| "ticker": "LQD", |
| "expected_return": 1.0614099502563477, |
| "annualized_vol": 0.49978946354496767 |
| }, |
| { |
| "ticker": "XBI", |
| "expected_return": 0.8254069089889526, |
| "annualized_vol": 1.1225287287499195 |
| }, |
| { |
| "ticker": "XME", |
| "expected_return": 0.6833490133285522, |
| "annualized_vol": 1.4572056132428328 |
| } |
| ] |
| }, |
| "flow_portfolio_weights": { |
| "FI_COMMODITIES": [ |
| [ |
| "LQD", |
| 0.785723603448794 |
| ], |
| [ |
| "GLD", |
| 0.11874838113393091 |
| ], |
| [ |
| "HYG", |
| 0.09552801541727515 |
| ], |
| [ |
| "TLT", |
| 0.0 |
| ], |
| [ |
| "VCIT", |
| 0.0 |
| ] |
| ], |
| "EQUITY_SECTORS": [ |
| [ |
| "XLP", |
| 0.3103958642218106 |
| ], |
| [ |
| "IWF", |
| 0.28334629135885214 |
| ], |
| [ |
| "XME", |
| 0.1434977211912684 |
| ], |
| [ |
| "XBI", |
| 0.13472894226545065 |
| ], |
| [ |
| "XLK", |
| 0.12803118096261812 |
| ] |
| ], |
| "COMBINED": [ |
| [ |
| "LQD", |
| 0.2857775235897415 |
| ], |
| [ |
| "IWF", |
| 0.23803216946436498 |
| ], |
| [ |
| "XLP", |
| 0.23657167538334956 |
| ], |
| [ |
| "XME", |
| 0.12189075099088857 |
| ], |
| [ |
| "IWM", |
| 0.11772788057165533 |
| ] |
| ] |
| } |
| } |
| } |
