{
  "run_date": "2026-04-27",
  "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": [
      "XBI",
      "HYG",
      "IWF",
      "SPY",
      "XSD",
      "IWM",
      "VCIT",
      "GDX",
      "XME",
      "LQD",
      "GLD",
      "VNQ",
      "SLV",
      "QQQ",
      "XLP",
      "TLT",
      "XLV",
      "XLK",
      "XLI",
      "XLF",
      "XLY",
      "XLE",
      "XLU"
    ],
    "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": [
        "XBI",
        "HYG",
        "IWF",
        "SPY",
        "XSD",
        "IWM",
        "VCIT",
        "GDX",
        "XME",
        "LQD",
        "GLD",
        "VNQ",
        "SLV",
        "QQQ",
        "XLP",
        "TLT",
        "XLV",
        "XLK",
        "XLI",
        "XLF",
        "XLY",
        "XLE",
        "XLU"
      ]
    },
    "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": "2026-04-27"
  },
  "risk_free_rate": 0.036000000000000004,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.615767002105713,
          "annualized_vol": 0.5771699514157844
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.2398490011692047,
          "annualized_vol": 0.3366949101731219
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.2061871588230133,
          "annualized_vol": 0.4831820959433425
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.9293726682662964,
          "annualized_vol": 0.49104828310736376
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -3.1564810276031494,
          "annualized_vol": 1.2446340519057972
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.22760356962680817,
          "annualized_vol": 0.6403028805244623
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -3.2914397716522217,
          "annualized_vol": 1.1508255002726027
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.5495107173919678,
          "annualized_vol": 0.9869143515629449
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -3.06978440284729,
          "annualized_vol": 1.0155301088735238
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -2.8159584999084473,
          "annualized_vol": 1.093986774602725
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -4.50065279006958,
          "annualized_vol": 1.295511752840806
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -5.2519989013671875,
          "annualized_vol": 1.485592628056641
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -3.727146863937378,
          "annualized_vol": 0.8087723799046402
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -3.7669525146484375,
          "annualized_vol": 1.1130353237624393
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.668166399002075,
          "annualized_vol": 1.0106350904072137
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -2.3751118183135986,
          "annualized_vol": 0.7782547127081674
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -2.7017951011657715,
          "annualized_vol": 0.9815382523801849
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -2.160142183303833,
          "annualized_vol": 1.5549991808758676
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -4.843565464019775,
          "annualized_vol": 1.4778498009878274
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.745030164718628,
          "annualized_vol": 1.018579811706631
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -3.6331491470336914,
          "annualized_vol": 1.3710359255684923
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -3.889145851135254,
          "annualized_vol": 1.1910013876940166
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -4.612591743469238,
          "annualized_vol": 1.1991833672398258
        }
      },
      "COMBINED": {
        "XBI": {
          "ticker": "XBI",
          "expected_return": -3.889145851135254,
          "annualized_vol": 1.1910013876940166
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.9293726682662964,
          "annualized_vol": 0.49104828310736376
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.745030164718628,
          "annualized_vol": 1.018579811706631
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.5495107173919678,
          "annualized_vol": 0.9869143515629449
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -3.6331491470336914,
          "annualized_vol": 1.3710359255684923
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -4.612591743469238,
          "annualized_vol": 1.1991833672398258
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.2398490011692047,
          "annualized_vol": 0.3366949101731219
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -2.160142183303833,
          "annualized_vol": 1.5549991808758676
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -4.843565464019775,
          "annualized_vol": 1.4778498009878274
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.2061871588230133,
          "annualized_vol": 0.4831820959433425
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.22760356962680817,
          "annualized_vol": 0.6403028805244623
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -3.1564810276031494,
          "annualized_vol": 1.2446340519057972
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -3.2914397716522217,
          "annualized_vol": 1.1508255002726027
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -3.06978440284729,
          "annualized_vol": 1.0155301088735238
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -2.3751118183135986,
          "annualized_vol": 0.7782547127081674
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.615767002105713,
          "annualized_vol": 0.5771699514157844
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -3.727146863937378,
          "annualized_vol": 0.8087723799046402
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -2.8159584999084473,
          "annualized_vol": 1.093986774602725
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -3.7669525146484375,
          "annualized_vol": 1.1130353237624393
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -4.50065279006958,
          "annualized_vol": 1.295511752840806
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.668166399002075,
          "annualized_vol": 1.0106350904072137
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -5.2519989013671875,
          "annualized_vol": 1.485592628056641
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -2.7017951011657715,
          "annualized_vol": 0.9815382523801849
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 1.615767002105713,
          "annualized_vol": 0.5771699514157844
        },
        {
          "ticker": "LQD",
          "expected_return": -0.2061871588230133,
          "annualized_vol": 0.4831820959433425
        },
        {
          "ticker": "GLD",
          "expected_return": -0.22760356962680817,
          "annualized_vol": 0.6403028805244623
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "GDX",
          "expected_return": -2.160142183303833,
          "annualized_vol": 1.5549991808758676
        },
        {
          "ticker": "XLP",
          "expected_return": -2.3751118183135986,
          "annualized_vol": 0.7782547127081674
        },
        {
          "ticker": "XLU",
          "expected_return": -2.7017951011657715,
          "annualized_vol": 0.9815382523801849
        }
      ],
      "COMBINED": [
        {
          "ticker": "TLT",
          "expected_return": 1.615767002105713,
          "annualized_vol": 0.5771699514157844
        },
        {
          "ticker": "LQD",
          "expected_return": -0.2061871588230133,
          "annualized_vol": 0.4831820959433425
        },
        {
          "ticker": "GLD",
          "expected_return": -0.22760356962680817,
          "annualized_vol": 0.6403028805244623
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "LQD",
          0.5586704373648209
        ],
        [
          "VNQ",
          0.19031845091944655
        ],
        [
          "GLD",
          0.1712217815006509
        ],
        [
          "TLT",
          0.07978933021508167
        ],
        [
          "VCIT",
          0.0
        ]
      ],
      "EQUITY_SECTORS": [
        [
          "XLK",
          0.3408783913211751
        ],
        [
          "QQQ",
          0.30388662732707766
        ],
        [
          "XLI",
          0.136380372902717
        ],
        [
          "SPY",
          0.12188191161651207
        ],
        [
          "XLF",
          0.0969726968325183
        ]
      ],
      "COMBINED": [
        [
          "QQQ",
          0.3195147144628305
        ],
        [
          "LQD",
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        ],
        [
          "XLK",
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        ],
        [
          "VNQ",
          0.15579328007066734
        ],
        [
          "XLI",
          0.1037663674599151
        ]
      ]
    }
  }
}