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normalizing_flow_2026-05-06.json
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| 1 |
+
{
|
| 2 |
+
"run_date": "2026-05-06",
|
| 3 |
+
"config": {
|
| 4 |
+
"HF_DATA_REPO": "P2SAMAPA/fi-etf-macro-signal-master-data",
|
| 5 |
+
"HF_DATA_FILE": "master_data.parquet",
|
| 6 |
+
"HF_OUTPUT_REPO": "P2SAMAPA/p2-etf-normalizing-flow-results",
|
| 7 |
+
"FI_COMMODITIES_TICKERS": [
|
| 8 |
+
"TLT",
|
| 9 |
+
"VCIT",
|
| 10 |
+
"LQD",
|
| 11 |
+
"HYG",
|
| 12 |
+
"VNQ",
|
| 13 |
+
"GLD",
|
| 14 |
+
"SLV"
|
| 15 |
+
],
|
| 16 |
+
"EQUITY_SECTORS_TICKERS": [
|
| 17 |
+
"SPY",
|
| 18 |
+
"QQQ",
|
| 19 |
+
"XLK",
|
| 20 |
+
"XLF",
|
| 21 |
+
"XLE",
|
| 22 |
+
"XLV",
|
| 23 |
+
"XLI",
|
| 24 |
+
"XLY",
|
| 25 |
+
"XLP",
|
| 26 |
+
"XLU",
|
| 27 |
+
"GDX",
|
| 28 |
+
"XME",
|
| 29 |
+
"IWF",
|
| 30 |
+
"XSD",
|
| 31 |
+
"XBI",
|
| 32 |
+
"IWM"
|
| 33 |
+
],
|
| 34 |
+
"ALL_TICKERS": [
|
| 35 |
+
"XLY",
|
| 36 |
+
"XSD",
|
| 37 |
+
"XME",
|
| 38 |
+
"XBI",
|
| 39 |
+
"GDX",
|
| 40 |
+
"XLV",
|
| 41 |
+
"XLI",
|
| 42 |
+
"HYG",
|
| 43 |
+
"XLU",
|
| 44 |
+
"XLF",
|
| 45 |
+
"LQD",
|
| 46 |
+
"SLV",
|
| 47 |
+
"XLE",
|
| 48 |
+
"XLK",
|
| 49 |
+
"XLP",
|
| 50 |
+
"TLT",
|
| 51 |
+
"QQQ",
|
| 52 |
+
"GLD",
|
| 53 |
+
"IWF",
|
| 54 |
+
"VNQ",
|
| 55 |
+
"VCIT",
|
| 56 |
+
"IWM",
|
| 57 |
+
"SPY"
|
| 58 |
+
],
|
| 59 |
+
"UNIVERSES": {
|
| 60 |
+
"FI_COMMODITIES": [
|
| 61 |
+
"TLT",
|
| 62 |
+
"VCIT",
|
| 63 |
+
"LQD",
|
| 64 |
+
"HYG",
|
| 65 |
+
"VNQ",
|
| 66 |
+
"GLD",
|
| 67 |
+
"SLV"
|
| 68 |
+
],
|
| 69 |
+
"EQUITY_SECTORS": [
|
| 70 |
+
"SPY",
|
| 71 |
+
"QQQ",
|
| 72 |
+
"XLK",
|
| 73 |
+
"XLF",
|
| 74 |
+
"XLE",
|
| 75 |
+
"XLV",
|
| 76 |
+
"XLI",
|
| 77 |
+
"XLY",
|
| 78 |
+
"XLP",
|
| 79 |
+
"XLU",
|
| 80 |
+
"GDX",
|
| 81 |
+
"XME",
|
| 82 |
+
"IWF",
|
| 83 |
+
"XSD",
|
| 84 |
+
"XBI",
|
| 85 |
+
"IWM"
|
| 86 |
+
],
|
| 87 |
+
"COMBINED": [
|
| 88 |
+
"XLY",
|
| 89 |
+
"XSD",
|
| 90 |
+
"XME",
|
| 91 |
+
"XBI",
|
| 92 |
+
"GDX",
|
| 93 |
+
"XLV",
|
| 94 |
+
"XLI",
|
| 95 |
+
"HYG",
|
| 96 |
+
"XLU",
|
| 97 |
+
"XLF",
|
| 98 |
+
"LQD",
|
| 99 |
+
"SLV",
|
| 100 |
+
"XLE",
|
| 101 |
+
"XLK",
|
| 102 |
+
"XLP",
|
| 103 |
+
"TLT",
|
| 104 |
+
"QQQ",
|
| 105 |
+
"GLD",
|
| 106 |
+
"IWF",
|
| 107 |
+
"VNQ",
|
| 108 |
+
"VCIT",
|
| 109 |
+
"IWM",
|
| 110 |
+
"SPY"
|
| 111 |
+
]
|
| 112 |
+
},
|
| 113 |
+
"MACRO_COLS": [
|
| 114 |
+
"VIX",
|
| 115 |
+
"DXY",
|
| 116 |
+
"T10Y2Y",
|
| 117 |
+
"TBILL_3M"
|
| 118 |
+
],
|
| 119 |
+
"NUM_COUPLING_LAYERS": 8,
|
| 120 |
+
"HIDDEN_FEATURES": 256,
|
| 121 |
+
"EPOCHS": 500,
|
| 122 |
+
"BATCH_SIZE": 128,
|
| 123 |
+
"LEARNING_RATE": 0.001,
|
| 124 |
+
"WEIGHT_DECAY": 1e-05,
|
| 125 |
+
"RANDOM_SEED": 42,
|
| 126 |
+
"MIN_OBSERVATIONS": 252,
|
| 127 |
+
"TRAIN_START": "2008-01-01",
|
| 128 |
+
"NUM_SAMPLES": 50000,
|
| 129 |
+
"TODAY": "2026-05-06"
|
| 130 |
+
},
|
| 131 |
+
"risk_free_rate": 0.0361,
|
| 132 |
+
"daily_trading": {
|
| 133 |
+
"universes": {
|
| 134 |
+
"FI_COMMODITIES": {
|
| 135 |
+
"TLT": {
|
| 136 |
+
"ticker": "TLT",
|
| 137 |
+
"expected_return": 3.1659090518951416,
|
| 138 |
+
"annualized_vol": 0.6366548871433128
|
| 139 |
+
},
|
| 140 |
+
"VCIT": {
|
| 141 |
+
"ticker": "VCIT",
|
| 142 |
+
"expected_return": -0.38147372007369995,
|
| 143 |
+
"annualized_vol": 0.3293622583777315
|
| 144 |
+
},
|
| 145 |
+
"LQD": {
|
| 146 |
+
"ticker": "LQD",
|
| 147 |
+
"expected_return": -0.3391820788383484,
|
| 148 |
+
"annualized_vol": 0.4735898432093907
|
| 149 |
+
},
|
| 150 |
+
"HYG": {
|
| 151 |
+
"ticker": "HYG",
|
| 152 |
+
"expected_return": -2.5543429851531982,
|
| 153 |
+
"annualized_vol": 0.5738168750024205
|
| 154 |
+
},
|
| 155 |
+
"VNQ": {
|
| 156 |
+
"ticker": "VNQ",
|
| 157 |
+
"expected_return": -5.991354942321777,
|
| 158 |
+
"annualized_vol": 1.5133663906234194
|
| 159 |
+
},
|
| 160 |
+
"GLD": {
|
| 161 |
+
"ticker": "GLD",
|
| 162 |
+
"expected_return": -1.3232345581054688,
|
| 163 |
+
"annualized_vol": 0.6321092509600742
|
| 164 |
+
},
|
| 165 |
+
"SLV": {
|
| 166 |
+
"ticker": "SLV",
|
| 167 |
+
"expected_return": -4.30598258972168,
|
| 168 |
+
"annualized_vol": 1.1757875278984675
|
| 169 |
+
}
|
| 170 |
+
},
|
| 171 |
+
"EQUITY_SECTORS": {
|
| 172 |
+
"SPY": {
|
| 173 |
+
"ticker": "SPY",
|
| 174 |
+
"expected_return": -4.138157367706299,
|
| 175 |
+
"annualized_vol": 1.2080669499349848
|
| 176 |
+
},
|
| 177 |
+
"QQQ": {
|
| 178 |
+
"ticker": "QQQ",
|
| 179 |
+
"expected_return": -3.2625796794891357,
|
| 180 |
+
"annualized_vol": 1.2534810878421652
|
| 181 |
+
},
|
| 182 |
+
"XLK": {
|
| 183 |
+
"ticker": "XLK",
|
| 184 |
+
"expected_return": -3.7054097652435303,
|
| 185 |
+
"annualized_vol": 1.3686659451391807
|
| 186 |
+
},
|
| 187 |
+
"XLF": {
|
| 188 |
+
"ticker": "XLF",
|
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