{
  "run_date": "2026-04-30",
  "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": [
      "XME",
      "XSD",
      "XBI",
      "SLV",
      "VCIT",
      "XLV",
      "XLY",
      "IWF",
      "VNQ",
      "GLD",
      "QQQ",
      "IWM",
      "TLT",
      "XLE",
      "XLK",
      "XLI",
      "XLF",
      "SPY",
      "GDX",
      "HYG",
      "XLU",
      "LQD",
      "XLP"
    ],
    "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": [
        "XME",
        "XSD",
        "XBI",
        "SLV",
        "VCIT",
        "XLV",
        "XLY",
        "IWF",
        "VNQ",
        "GLD",
        "QQQ",
        "IWM",
        "TLT",
        "XLE",
        "XLK",
        "XLI",
        "XLF",
        "SPY",
        "GDX",
        "HYG",
        "XLU",
        "LQD",
        "XLP"
      ]
    },
    "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": "2026-04-30"
  },
  "risk_free_rate": 0.036000000000000004,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.3408777415752411,
          "annualized_vol": 0.47859742924100657
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -1.1531816720962524,
          "annualized_vol": 0.2543817630399262
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -1.2183566093444824,
          "annualized_vol": 0.3549069939125749
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.33754563331604,
          "annualized_vol": 0.39982656783307163
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -4.863637924194336,
          "annualized_vol": 1.1126871242223708
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": 0.5870358347892761,
          "annualized_vol": 0.5352062888082608
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -1.8616735935211182,
          "annualized_vol": 1.199987632481832
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.394803285598755,
          "annualized_vol": 0.8449807559226579
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.972623586654663,
          "annualized_vol": 0.9235000478938652
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.4507346153259277,
          "annualized_vol": 0.974205837133395
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -3.465895652770996,
          "annualized_vol": 1.0774630269314083
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -5.152411460876465,
          "annualized_vol": 1.3618449479668664
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.2376112937927246,
          "annualized_vol": 0.7448164982145096
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.9425373077392578,
          "annualized_vol": 0.931000412647074
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -2.8425095081329346,
          "annualized_vol": 0.913625385699384
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -1.394152045249939,
          "annualized_vol": 0.5920223649496321
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -3.2272372245788574,
          "annualized_vol": 0.8455608322284548
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 4.024065017700195,
          "annualized_vol": 1.1385992493025057
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -0.6693620085716248,
          "annualized_vol": 1.3003096681065738
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -8.874738693237305,
          "annualized_vol": 1.0622424255007423
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.2992615699768066,
          "annualized_vol": 1.2137629219628927
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -2.109657049179077,
          "annualized_vol": 1.071826665150849
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -3.363029718399048,
          "annualized_vol": 1.0204588355154178
        }
      },
      "COMBINED": {
        "XME": {
          "ticker": "XME",
          "expected_return": -0.6693620085716248,
          "annualized_vol": 1.3003096681065738
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.2992615699768066,
          "annualized_vol": 1.2137629219628927
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -2.109657049179077,
          "annualized_vol": 1.071826665150849
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -1.8616735935211182,
          "annualized_vol": 1.199987632481832
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -1.1531816720962524,
          "annualized_vol": 0.2543817630399262
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.2376112937927246,
          "annualized_vol": 0.7448164982145096
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -2.8425095081329346,
          "annualized_vol": 0.913625385699384
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -8.874738693237305,
          "annualized_vol": 1.0622424255007423
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -4.863637924194336,
          "annualized_vol": 1.1126871242223708
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": 0.5870358347892761,
          "annualized_vol": 0.5352062888082608
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.972623586654663,
          "annualized_vol": 0.9235000478938652
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -3.363029718399048,
          "annualized_vol": 1.0204588355154178
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.3408777415752411,
          "annualized_vol": 0.47859742924100657
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -5.152411460876465,
          "annualized_vol": 1.3618449479668664
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.4507346153259277,
          "annualized_vol": 0.974205837133395
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -1.9425373077392578,
          "annualized_vol": 0.931000412647074
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -3.465895652770996,
          "annualized_vol": 1.0774630269314083
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.394803285598755,
          "annualized_vol": 0.8449807559226579
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 4.024065017700195,
          "annualized_vol": 1.1385992493025057
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.33754563331604,
          "annualized_vol": 0.39982656783307163
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -3.2272372245788574,
          "annualized_vol": 0.8455608322284548
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -1.2183566093444824,
          "annualized_vol": 0.3549069939125749
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -1.394152045249939,
          "annualized_vol": 0.5920223649496321
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "GLD",
          "expected_return": 0.5870358347892761,
          "annualized_vol": 0.5352062888082608
        },
        {
          "ticker": "TLT",
          "expected_return": 0.3408777415752411,
          "annualized_vol": 0.47859742924100657
        },
        {
          "ticker": "VCIT",
          "expected_return": -1.1531816720962524,
          "annualized_vol": 0.2543817630399262
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "GDX",
          "expected_return": 4.024065017700195,
          "annualized_vol": 1.1385992493025057
        },
        {
          "ticker": "XME",
          "expected_return": -0.6693620085716248,
          "annualized_vol": 1.3003096681065738
        },
        {
          "ticker": "XLP",
          "expected_return": -1.394152045249939,
          "annualized_vol": 0.5920223649496321
        }
      ],
      "COMBINED": [
        {
          "ticker": "GDX",
          "expected_return": 4.024065017700195,
          "annualized_vol": 1.1385992493025057
        },
        {
          "ticker": "GLD",
          "expected_return": 0.5870358347892761,
          "annualized_vol": 0.5352062888082608
        },
        {
          "ticker": "TLT",
          "expected_return": 0.3408777415752411,
          "annualized_vol": 0.47859742924100657
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "LQD",
          0.5333036507143031
        ],
        [
          "HYG",
          0.2668521791245252
        ],
        [
          "GLD",
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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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        ],
        [
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      ],
      "COMBINED": [
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        ],
        [
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        ],
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        ],
        [
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        ],
        [
          "XLP",
          0.0703489499396882
        ]
      ]
    }
  }
}