{
  "run_date": "2026-04-25",
  "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": [
      "SLV",
      "GDX",
      "XSD",
      "QQQ",
      "XLK",
      "HYG",
      "VNQ",
      "XLU",
      "VCIT",
      "XBI",
      "IWM",
      "XLP",
      "XME",
      "XLF",
      "XLV",
      "IWF",
      "XLI",
      "XLE",
      "XLY",
      "LQD",
      "TLT",
      "SPY",
      "GLD"
    ],
    "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": [
        "SLV",
        "GDX",
        "XSD",
        "QQQ",
        "XLK",
        "HYG",
        "VNQ",
        "XLU",
        "VCIT",
        "XBI",
        "IWM",
        "XLP",
        "XME",
        "XLF",
        "XLV",
        "IWF",
        "XLI",
        "XLE",
        "XLY",
        "LQD",
        "TLT",
        "SPY",
        "GLD"
      ]
    },
    "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": "2026-04-25"
  },
  "risk_free_rate": 0.036000000000000004,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.9873939752578735,
          "annualized_vol": 0.611133244665602
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.20725968480110168,
          "annualized_vol": 0.321358902593943
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.27588707208633423,
          "annualized_vol": 0.4525292116530574
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -0.1862020343542099,
          "annualized_vol": 0.5340851667157643
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -1.137952446937561,
          "annualized_vol": 1.2849834477257442
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.7708145380020142,
          "annualized_vol": 0.6594723651562284
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -6.3056159019470215,
          "annualized_vol": 1.3539606648349
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -1.5532480478286743,
          "annualized_vol": 1.0641536199192094
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.8819795846939087,
          "annualized_vol": 1.1447265677035896
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.8097035884857178,
          "annualized_vol": 1.2388892325918675
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -1.2107447385787964,
          "annualized_vol": 1.3300419348119374
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -2.579803705215454,
          "annualized_vol": 1.4916459067457402
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -0.3930666446685791,
          "annualized_vol": 0.868856848060364
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.8771964311599731,
          "annualized_vol": 1.1676825449221506
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -1.5658122301101685,
          "annualized_vol": 1.1418999302008388
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": 0.3846442997455597,
          "annualized_vol": 0.8154823766461275
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -1.2699573040008545,
          "annualized_vol": 1.0593157279399419
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 1.2167396545410156,
          "annualized_vol": 1.5483990018222042
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -0.8835199475288391,
          "annualized_vol": 1.4595443692568666
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -2.0568206310272217,
          "annualized_vol": 1.1199600474961122
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -1.934804916381836,
          "annualized_vol": 1.4920661353346882
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -0.5849488973617554,
          "annualized_vol": 1.2375983868784477
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -1.4042221307754517,
          "annualized_vol": 1.1781552611160735
        }
      },
      "COMBINED": {
        "SLV": {
          "ticker": "SLV",
          "expected_return": -6.3056159019470215,
          "annualized_vol": 1.3539606648349
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 1.2167396545410156,
          "annualized_vol": 1.5483990018222042
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -1.934804916381836,
          "annualized_vol": 1.4920661353346882
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.8819795846939087,
          "annualized_vol": 1.1447265677035896
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.8097035884857178,
          "annualized_vol": 1.2388892325918675
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -0.1862020343542099,
          "annualized_vol": 0.5340851667157643
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -1.137952446937561,
          "annualized_vol": 1.2849834477257442
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -1.2699573040008545,
          "annualized_vol": 1.0593157279399419
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.20725968480110168,
          "annualized_vol": 0.321358902593943
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -0.5849488973617554,
          "annualized_vol": 1.2375983868784477
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -1.4042221307754517,
          "annualized_vol": 1.1781552611160735
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": 0.3846442997455597,
          "annualized_vol": 0.8154823766461275
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -0.8835199475288391,
          "annualized_vol": 1.4595443692568666
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -1.2107447385787964,
          "annualized_vol": 1.3300419348119374
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -0.3930666446685791,
          "annualized_vol": 0.868856848060364
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -2.0568206310272217,
          "annualized_vol": 1.1199600474961122
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.8771964311599731,
          "annualized_vol": 1.1676825449221506
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -2.579803705215454,
          "annualized_vol": 1.4916459067457402
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -1.5658122301101685,
          "annualized_vol": 1.1418999302008388
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.27588707208633423,
          "annualized_vol": 0.4525292116530574
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.9873939752578735,
          "annualized_vol": 0.611133244665602
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -1.5532480478286743,
          "annualized_vol": 1.0641536199192094
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.7708145380020142,
          "annualized_vol": 0.6594723651562284
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 0.9873939752578735,
          "annualized_vol": 0.611133244665602
        },
        {
          "ticker": "LQD",
          "expected_return": 0.27588707208633423,
          "annualized_vol": 0.4525292116530574
        },
        {
          "ticker": "VCIT",
          "expected_return": 0.20725968480110168,
          "annualized_vol": 0.321358902593943
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "GDX",
          "expected_return": 1.2167396545410156,
          "annualized_vol": 1.5483990018222042
        },
        {
          "ticker": "XLP",
          "expected_return": 0.3846442997455597,
          "annualized_vol": 0.8154823766461275
        },
        {
          "ticker": "XLV",
          "expected_return": -0.3930666446685791,
          "annualized_vol": 0.868856848060364
        }
      ],
      "COMBINED": [
        {
          "ticker": "GDX",
          "expected_return": 1.2167396545410156,
          "annualized_vol": 1.5483990018222042
        },
        {
          "ticker": "TLT",
          "expected_return": 0.9873939752578735,
          "annualized_vol": 0.611133244665602
        },
        {
          "ticker": "XLP",
          "expected_return": 0.3846442997455597,
          "annualized_vol": 0.8154823766461275
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "GLD",
          0.5543756088835387
        ],
        [
          "HYG",
          0.20259973939733125
        ],
        [
          "LQD",
          0.11245106564533888
        ],
        [
          "TLT",
          0.10545686926603323
        ],
        [
          "VNQ",
          0.02511671680775799
        ]
      ],
      "EQUITY_SECTORS": [
        [
          "XLK",
          0.33538976261148246
        ],
        [
          "XLP",
          0.278865909337394
        ],
        [
          "XLF",
          0.16715971227020582
        ],
        [
          "XLY",
          0.12976406052278688
        ],
        [
          "XLV",
          0.08882055525813085
        ]
      ],
      "COMBINED": [
        [
          "XLK",
          0.3688005417929092
        ],
        [
          "XLP",
          0.25333686202872513
        ],
        [
          "HYG",
          0.15659373027770276
        ],
        [
          "XLF",
          0.11221103638703114
        ],
        [
          "GLD",
          0.10905782951363163
        ]
      ]
    }
  }
}