{
  "run_date": "2026-04-29",
  "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": [
      "XLY",
      "VCIT",
      "VNQ",
      "XBI",
      "GDX",
      "IWM",
      "XSD",
      "XLK",
      "XLP",
      "XME",
      "GLD",
      "QQQ",
      "IWF",
      "HYG",
      "TLT",
      "SPY",
      "LQD",
      "XLU",
      "XLV",
      "XLF",
      "XLE",
      "SLV",
      "XLI"
    ],
    "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": [
        "XLY",
        "VCIT",
        "VNQ",
        "XBI",
        "GDX",
        "IWM",
        "XSD",
        "XLK",
        "XLP",
        "XME",
        "GLD",
        "QQQ",
        "IWF",
        "HYG",
        "TLT",
        "SPY",
        "LQD",
        "XLU",
        "XLV",
        "XLF",
        "XLE",
        "SLV",
        "XLI"
      ]
    },
    "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": "2026-04-29"
  },
  "risk_free_rate": 0.036000000000000004,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.397223711013794,
          "annualized_vol": 0.5732166920655735
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.25614339113235474,
          "annualized_vol": 0.38358395817355634
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.08848709613084793,
          "annualized_vol": 0.5487917480373482
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -0.2635219097137451,
          "annualized_vol": 0.671365319148094
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -2.3566997051239014,
          "annualized_vol": 1.5692997265245388
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.7929703593254089,
          "annualized_vol": 0.7036546762258361
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -6.645301818847656,
          "annualized_vol": 1.3571082987886514
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -1.8525245189666748,
          "annualized_vol": 1.2966489602381426
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.445923924446106,
          "annualized_vol": 1.3315612864735273
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.8961219787597656,
          "annualized_vol": 1.492324564680833
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -2.537888526916504,
          "annualized_vol": 1.5883540711249675
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -3.2104175090789795,
          "annualized_vol": 1.9499267680535692
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.0947823524475098,
          "annualized_vol": 1.0208561188901089
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.7691116333007812,
          "annualized_vol": 1.4487822358501217
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -0.8004900813102722,
          "annualized_vol": 1.3339307938056377
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -1.7596101760864258,
          "annualized_vol": 0.9187908383533187
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -1.8484106063842773,
          "annualized_vol": 1.303128499505505
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -0.6196454167366028,
          "annualized_vol": 1.6474215577096047
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -1.9903541803359985,
          "annualized_vol": 1.7137954391949668
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -2.002919912338257,
          "annualized_vol": 1.356465477966548
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": 1.1896357536315918,
          "annualized_vol": 1.7352289896201303
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": 0.5424058437347412,
          "annualized_vol": 1.3491341271884607
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -1.3542027473449707,
          "annualized_vol": 1.4606291811391725
        }
      },
      "COMBINED": {
        "XLY": {
          "ticker": "XLY",
          "expected_return": -0.8004900813102722,
          "annualized_vol": 1.3339307938056377
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.25614339113235474,
          "annualized_vol": 0.38358395817355634
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -2.3566997051239014,
          "annualized_vol": 1.5692997265245388
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": 0.5424058437347412,
          "annualized_vol": 1.3491341271884607
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -0.6196454167366028,
          "annualized_vol": 1.6474215577096047
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -1.3542027473449707,
          "annualized_vol": 1.4606291811391725
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": 1.1896357536315918,
          "annualized_vol": 1.7352289896201303
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.8961219787597656,
          "annualized_vol": 1.492324564680833
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -1.7596101760864258,
          "annualized_vol": 0.9187908383533187
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -1.9903541803359985,
          "annualized_vol": 1.7137954391949668
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.7929703593254089,
          "annualized_vol": 0.7036546762258361
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.445923924446106,
          "annualized_vol": 1.3315612864735273
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -2.002919912338257,
          "annualized_vol": 1.356465477966548
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -0.2635219097137451,
          "annualized_vol": 0.671365319148094
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.397223711013794,
          "annualized_vol": 0.5732166920655735
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -1.8525245189666748,
          "annualized_vol": 1.2966489602381426
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.08848709613084793,
          "annualized_vol": 0.5487917480373482
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -1.8484106063842773,
          "annualized_vol": 1.303128499505505
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.0947823524475098,
          "annualized_vol": 1.0208561188901089
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -2.537888526916504,
          "annualized_vol": 1.5883540711249675
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -3.2104175090789795,
          "annualized_vol": 1.9499267680535692
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -6.645301818847656,
          "annualized_vol": 1.3571082987886514
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.7691116333007812,
          "annualized_vol": 1.4487822358501217
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 1.397223711013794,
          "annualized_vol": 0.5732166920655735
        },
        {
          "ticker": "VCIT",
          "expected_return": 0.25614339113235474,
          "annualized_vol": 0.38358395817355634
        },
        {
          "ticker": "LQD",
          "expected_return": 0.08848709613084793,
          "annualized_vol": 0.5487917480373482
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "XSD",
          "expected_return": 1.1896357536315918,
          "annualized_vol": 1.7352289896201303
        },
        {
          "ticker": "XBI",
          "expected_return": 0.5424058437347412,
          "annualized_vol": 1.3491341271884607
        },
        {
          "ticker": "GDX",
          "expected_return": -0.6196454167366028,
          "annualized_vol": 1.6474215577096047
        }
      ],
      "COMBINED": [
        {
          "ticker": "TLT",
          "expected_return": 1.397223711013794,
          "annualized_vol": 0.5732166920655735
        },
        {
          "ticker": "XSD",
          "expected_return": 1.1896357536315918,
          "annualized_vol": 1.7352289896201303
        },
        {
          "ticker": "XBI",
          "expected_return": 0.5424058437347412,
          "annualized_vol": 1.3491341271884607
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "VCIT",
          0.4583062959756307
        ],
        [
          "GLD",
          0.24846895322894721
        ],
        [
          "HYG",
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        ],
        [
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        ],
        [
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        ]
      ],
      "EQUITY_SECTORS": [
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        ],
        [
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        ],
        [
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        ],
        [
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          0.19142302945353748
        ],
        [
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          0.07195242951341067
        ]
      ],
      "COMBINED": [
        [
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        ],
        [
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        ],
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        ],
        [
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        ],
        [
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        ]
      ]
    }
  }
}