{
  "run_date": "2026-05-01",
  "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": [
      "HYG",
      "LQD",
      "QQQ",
      "VNQ",
      "SLV",
      "GDX",
      "XLI",
      "XLP",
      "XLF",
      "XLK",
      "VCIT",
      "XLV",
      "XME",
      "IWF",
      "XLE",
      "SPY",
      "IWM",
      "XBI",
      "XLY",
      "TLT",
      "XLU",
      "GLD",
      "XSD"
    ],
    "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": [
        "HYG",
        "LQD",
        "QQQ",
        "VNQ",
        "SLV",
        "GDX",
        "XLI",
        "XLP",
        "XLF",
        "XLK",
        "VCIT",
        "XLV",
        "XME",
        "IWF",
        "XLE",
        "SPY",
        "IWM",
        "XBI",
        "XLY",
        "TLT",
        "XLU",
        "GLD",
        "XSD"
      ]
    },
    "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": "2026-05-01"
  },
  "risk_free_rate": 0.036000000000000004,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 2.7773265838623047,
          "annualized_vol": 0.5183410832319926
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.21519140899181366,
          "annualized_vol": 0.28512347132973287
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.12324604392051697,
          "annualized_vol": 0.41361093486668016
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.7778173685073853,
          "annualized_vol": 0.5082202922185974
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -4.785434722900391,
          "annualized_vol": 1.2876383509444667
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": 0.3874305188655853,
          "annualized_vol": 0.5280301139121607
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -2.7572197914123535,
          "annualized_vol": 0.99016766360401
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.6124680042266846,
          "annualized_vol": 1.0119811702188712
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -2.8291571140289307,
          "annualized_vol": 1.0903059601032434
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.2169244289398193,
          "annualized_vol": 1.1665057156342151
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -5.457337379455566,
          "annualized_vol": 1.233581081994627
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -6.906252861022949,
          "annualized_vol": 1.5675911359824768
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -3.282315969467163,
          "annualized_vol": 0.7867993212586809
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -4.931122303009033,
          "annualized_vol": 1.1381373881598535
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.407531261444092,
          "annualized_vol": 1.1021059504950772
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -3.158167839050293,
          "annualized_vol": 0.6878312306865664
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -3.7864742279052734,
          "annualized_vol": 0.9443822626682036
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 0.47091102600097656,
          "annualized_vol": 1.3264932327058856
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -4.635968208312988,
          "annualized_vol": 1.3904055894535077
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.302178144454956,
          "annualized_vol": 1.0781574153484403
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.6574034690856934,
          "annualized_vol": 1.447349224427747
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -2.0601348876953125,
          "annualized_vol": 1.1598715918563671
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -4.071671485900879,
          "annualized_vol": 1.1704129071444611
        }
      },
      "COMBINED": {
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.7778173685073853,
          "annualized_vol": 0.5082202922185974
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.12324604392051697,
          "annualized_vol": 0.41361093486668016
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -2.8291571140289307,
          "annualized_vol": 1.0903059601032434
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -4.785434722900391,
          "annualized_vol": 1.2876383509444667
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -2.7572197914123535,
          "annualized_vol": 0.99016766360401
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 0.47091102600097656,
          "annualized_vol": 1.3264932327058856
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -4.931122303009033,
          "annualized_vol": 1.1381373881598535
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -3.158167839050293,
          "annualized_vol": 0.6878312306865664
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -5.457337379455566,
          "annualized_vol": 1.233581081994627
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.2169244289398193,
          "annualized_vol": 1.1665057156342151
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.21519140899181366,
          "annualized_vol": 0.28512347132973287
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -3.282315969467163,
          "annualized_vol": 0.7867993212586809
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -4.635968208312988,
          "annualized_vol": 1.3904055894535077
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.302178144454956,
          "annualized_vol": 1.0781574153484403
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -6.906252861022949,
          "annualized_vol": 1.5675911359824768
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.6124680042266846,
          "annualized_vol": 1.0119811702188712
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -4.071671485900879,
          "annualized_vol": 1.1704129071444611
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -2.0601348876953125,
          "annualized_vol": 1.1598715918563671
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.407531261444092,
          "annualized_vol": 1.1021059504950772
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 2.7773265838623047,
          "annualized_vol": 0.5183410832319926
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -3.7864742279052734,
          "annualized_vol": 0.9443822626682036
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": 0.3874305188655853,
          "annualized_vol": 0.5280301139121607
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.6574034690856934,
          "annualized_vol": 1.447349224427747
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 2.7773265838623047,
          "annualized_vol": 0.5183410832319926
        },
        {
          "ticker": "GLD",
          "expected_return": 0.3874305188655853,
          "annualized_vol": 0.5280301139121607
        },
        {
          "ticker": "LQD",
          "expected_return": -0.12324604392051697,
          "annualized_vol": 0.41361093486668016
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "GDX",
          "expected_return": 0.47091102600097656,
          "annualized_vol": 1.3264932327058856
        },
        {
          "ticker": "XBI",
          "expected_return": -2.0601348876953125,
          "annualized_vol": 1.1598715918563671
        },
        {
          "ticker": "XSD",
          "expected_return": -2.6574034690856934,
          "annualized_vol": 1.447349224427747
        }
      ],
      "COMBINED": [
        {
          "ticker": "TLT",
          "expected_return": 2.7773265838623047,
          "annualized_vol": 0.5183410832319926
        },
        {
          "ticker": "GDX",
          "expected_return": 0.47091102600097656,
          "annualized_vol": 1.3264932327058856
        },
        {
          "ticker": "GLD",
          "expected_return": 0.3874305188655853,
          "annualized_vol": 0.5280301139121607
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "TLT",
          0.40284528002601605
        ],
        [
          "LQD",
          0.3105234989923854
        ],
        [
          "GLD",
          0.152678947515502
        ],
        [
          "HYG",
          0.1003080294411756
        ],
        [
          "VNQ",
          0.03364424402492095
        ]
      ],
      "EQUITY_SECTORS": [
        [
          "SPY",
          0.5054613727781327
        ],
        [
          "QQQ",
          0.22857795356970376
        ],
        [
          "XSD",
          0.10412350163799913
        ],
        [
          "XBI",
          0.09263196963068415
        ],
        [
          "XLU",
          0.06920520238348024
        ]
      ],
      "COMBINED": [
        [
          "LQD",
          0.37337301835323494
        ],
        [
          "QQQ",
          0.2610590507382386
        ],
        [
          "SPY",
          0.14743358976124185
        ],
        [
          "TLT",
          0.1295465118352922
        ],
        [
          "XBI",
          0.08858782931199238
        ]
      ]
    }
  }
}