{
  "run_date": "2026-04-28",
  "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": [
      "VCIT",
      "VNQ",
      "HYG",
      "XLV",
      "XLY",
      "LQD",
      "XLI",
      "XLU",
      "IWF",
      "GDX",
      "QQQ",
      "XLK",
      "XLF",
      "XLE",
      "XSD",
      "XLP",
      "GLD",
      "SPY",
      "TLT",
      "IWM",
      "XBI",
      "XME",
      "SLV"
    ],
    "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": [
        "VCIT",
        "VNQ",
        "HYG",
        "XLV",
        "XLY",
        "LQD",
        "XLI",
        "XLU",
        "IWF",
        "GDX",
        "QQQ",
        "XLK",
        "XLF",
        "XLE",
        "XSD",
        "XLP",
        "GLD",
        "SPY",
        "TLT",
        "IWM",
        "XBI",
        "XME",
        "SLV"
      ]
    },
    "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": "2026-04-28"
  },
  "risk_free_rate": 0.036000000000000004,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.9768041372299194,
          "annualized_vol": 0.5580106975109939
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.19408643245697021,
          "annualized_vol": 0.3372643713604674
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.07408024370670319,
          "annualized_vol": 0.49317849196140234
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -0.9024500846862793,
          "annualized_vol": 0.5420201303854072
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -2.428433656692505,
          "annualized_vol": 1.2566975574386883
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -2.1614270210266113,
          "annualized_vol": 0.6638902059579982
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -7.519288063049316,
          "annualized_vol": 1.2965189767821184
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -1.3215124607086182,
          "annualized_vol": 1.066299825372363
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.3550529479980469,
          "annualized_vol": 1.140387438448666
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.1846554279327393,
          "annualized_vol": 1.2549931064971367
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -1.5054454803466797,
          "annualized_vol": 1.3250428349613679
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -1.6095634698867798,
          "annualized_vol": 1.5882881923397032
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -1.0192315578460693,
          "annualized_vol": 0.8919650443034048
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.3784562349319458,
          "annualized_vol": 1.1864261829357043
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -1.3731383085250854,
          "annualized_vol": 1.1367505037145942
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -0.428398996591568,
          "annualized_vol": 0.801135940568942
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -1.157165765762329,
          "annualized_vol": 1.0561341492620058
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -1.2340891361236572,
          "annualized_vol": 1.5985196289610244
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -1.4849923849105835,
          "annualized_vol": 1.547882143129915
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -1.8025119304656982,
          "annualized_vol": 1.1374001844461146
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.095566511154175,
          "annualized_vol": 1.4857848237946203
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -1.5979304313659668,
          "annualized_vol": 1.222077250450732
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -1.297792911529541,
          "annualized_vol": 1.2285881324076726
        }
      },
      "COMBINED": {
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.19408643245697021,
          "annualized_vol": 0.3372643713604674
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -2.428433656692505,
          "annualized_vol": 1.2566975574386883
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -0.9024500846862793,
          "annualized_vol": 0.5420201303854072
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -1.0192315578460693,
          "annualized_vol": 0.8919650443034048
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -1.3731383085250854,
          "annualized_vol": 1.1367505037145942
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.07408024370670319,
          "annualized_vol": 0.49317849196140234
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.3784562349319458,
          "annualized_vol": 1.1864261829357043
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -1.157165765762329,
          "annualized_vol": 1.0561341492620058
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -1.8025119304656982,
          "annualized_vol": 1.1374001844461146
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -1.2340891361236572,
          "annualized_vol": 1.5985196289610244
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.3550529479980469,
          "annualized_vol": 1.140387438448666
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.1846554279327393,
          "annualized_vol": 1.2549931064971367
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -1.5054454803466797,
          "annualized_vol": 1.3250428349613679
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -1.6095634698867798,
          "annualized_vol": 1.5882881923397032
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.095566511154175,
          "annualized_vol": 1.4857848237946203
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -0.428398996591568,
          "annualized_vol": 0.801135940568942
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -2.1614270210266113,
          "annualized_vol": 0.6638902059579982
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -1.3215124607086182,
          "annualized_vol": 1.066299825372363
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.9768041372299194,
          "annualized_vol": 0.5580106975109939
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -1.297792911529541,
          "annualized_vol": 1.2285881324076726
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -1.5979304313659668,
          "annualized_vol": 1.222077250450732
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -1.4849923849105835,
          "annualized_vol": 1.547882143129915
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -7.519288063049316,
          "annualized_vol": 1.2965189767821184
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 0.9768041372299194,
          "annualized_vol": 0.5580106975109939
        },
        {
          "ticker": "VCIT",
          "expected_return": 0.19408643245697021,
          "annualized_vol": 0.3372643713604674
        },
        {
          "ticker": "LQD",
          "expected_return": 0.07408024370670319,
          "annualized_vol": 0.49317849196140234
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "XLP",
          "expected_return": -0.428398996591568,
          "annualized_vol": 0.801135940568942
        },
        {
          "ticker": "XLV",
          "expected_return": -1.0192315578460693,
          "annualized_vol": 0.8919650443034048
        },
        {
          "ticker": "XLU",
          "expected_return": -1.157165765762329,
          "annualized_vol": 1.0561341492620058
        }
      ],
      "COMBINED": [
        {
          "ticker": "TLT",
          "expected_return": 0.9768041372299194,
          "annualized_vol": 0.5580106975109939
        },
        {
          "ticker": "VCIT",
          "expected_return": 0.19408643245697021,
          "annualized_vol": 0.3372643713604674
        },
        {
          "ticker": "LQD",
          "expected_return": 0.07408024370670319,
          "annualized_vol": 0.49317849196140234
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "VCIT",
          0.7023454355600866
        ],
        [
          "GLD",
          0.24645772968839022
        ],
        [
          "VNQ",
          0.04438412338042029
        ],
        [
          "TLT",
          0.006812711371102903
        ],
        [
          "LQD",
          0.0
        ]
      ],
      "EQUITY_SECTORS": [
        [
          "XLK",
          0.3735271022863285
        ],
        [
          "SPY",
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        ],
        [
          "XLY",
          0.12525975134755146
        ],
        [
          "QQQ",
          0.11701897572042332
        ],
        [
          "IWM",
          0.04772019896332031
        ]
      ],
      "COMBINED": [
        [
          "XLK",
          0.51673393641393
        ],
        [
          "QQQ",
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        ],
        [
          "XLY",
          0.11401457708452939
        ],
        [
          "IWM",
          0.11271174233168184
        ],
        [
          "VCIT",
          0.09999328791233786
        ]
      ]
    }
  }
}