{
  "run_date": "2026-05-04",
  "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": [
      "TLT",
      "XBI",
      "IWF",
      "HYG",
      "SLV",
      "VNQ",
      "XME",
      "XLE",
      "SPY",
      "QQQ",
      "GDX",
      "LQD",
      "XLP",
      "XSD",
      "XLF",
      "XLK",
      "XLI",
      "GLD",
      "XLU",
      "XLV",
      "XLY",
      "VCIT",
      "IWM"
    ],
    "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": [
        "TLT",
        "XBI",
        "IWF",
        "HYG",
        "SLV",
        "VNQ",
        "XME",
        "XLE",
        "SPY",
        "QQQ",
        "GDX",
        "LQD",
        "XLP",
        "XSD",
        "XLF",
        "XLK",
        "XLI",
        "GLD",
        "XLU",
        "XLV",
        "XLY",
        "VCIT",
        "IWM"
      ]
    },
    "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": "2026-05-04"
  },
  "risk_free_rate": 0.0359,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.301792860031128,
          "annualized_vol": 0.5484149852537584
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.06788254529237747,
          "annualized_vol": 0.32320409995284566
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.009896894916892052,
          "annualized_vol": 0.4506195252319189
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.1986818313598633,
          "annualized_vol": 0.5596084058965292
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -3.1286122798919678,
          "annualized_vol": 1.427804041481094
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -1.2247934341430664,
          "annualized_vol": 0.631259272701004
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -5.435840606689453,
          "annualized_vol": 1.2829497211321714
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -2.6756763458251953,
          "annualized_vol": 1.1812514457491967
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.9673138856887817,
          "annualized_vol": 1.269485729609487
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.9786059856414795,
          "annualized_vol": 1.397306776601422
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -4.519392013549805,
          "annualized_vol": 1.4604963590999411
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -7.583083629608154,
          "annualized_vol": 1.60890517699563
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.2816367149353027,
          "annualized_vol": 0.9470570951065256
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -3.8057875633239746,
          "annualized_vol": 1.2600762993752161
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.015287160873413,
          "annualized_vol": 1.2856511061509097
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -1.7642934322357178,
          "annualized_vol": 0.8145134735781107
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -2.0212631225585938,
          "annualized_vol": 1.0856832090762125
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -1.2958544492721558,
          "annualized_vol": 1.4941300218748363
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -4.895144462585449,
          "annualized_vol": 1.530411727959037
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -2.4522597789764404,
          "annualized_vol": 1.255019245117502
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -0.47667697072029114,
          "annualized_vol": 1.5943459654522136
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -1.3558692932128906,
          "annualized_vol": 1.3327715873884463
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -3.6089141368865967,
          "annualized_vol": 1.3521232735798168
        }
      },
      "COMBINED": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.301792860031128,
          "annualized_vol": 0.5484149852537584
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -1.3558692932128906,
          "annualized_vol": 1.3327715873884463
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -2.4522597789764404,
          "annualized_vol": 1.255019245117502
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.1986818313598633,
          "annualized_vol": 0.5596084058965292
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -5.435840606689453,
          "annualized_vol": 1.2829497211321714
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -3.1286122798919678,
          "annualized_vol": 1.427804041481094
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -4.895144462585449,
          "annualized_vol": 1.530411727959037
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -7.583083629608154,
          "annualized_vol": 1.60890517699563
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -2.6756763458251953,
          "annualized_vol": 1.1812514457491967
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.9673138856887817,
          "annualized_vol": 1.269485729609487
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -1.2958544492721558,
          "annualized_vol": 1.4941300218748363
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 0.009896894916892052,
          "annualized_vol": 0.4506195252319189
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -1.7642934322357178,
          "annualized_vol": 0.8145134735781107
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -0.47667697072029114,
          "annualized_vol": 1.5943459654522136
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -4.519392013549805,
          "annualized_vol": 1.4604963590999411
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.9786059856414795,
          "annualized_vol": 1.397306776601422
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -3.8057875633239746,
          "annualized_vol": 1.2600762993752161
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -1.2247934341430664,
          "annualized_vol": 0.631259272701004
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -2.0212631225585938,
          "annualized_vol": 1.0856832090762125
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.2816367149353027,
          "annualized_vol": 0.9470570951065256
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.015287160873413,
          "annualized_vol": 1.2856511061509097
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.06788254529237747,
          "annualized_vol": 0.32320409995284566
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -3.6089141368865967,
          "annualized_vol": 1.3521232735798168
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 1.301792860031128,
          "annualized_vol": 0.5484149852537584
        },
        {
          "ticker": "LQD",
          "expected_return": 0.009896894916892052,
          "annualized_vol": 0.4506195252319189
        },
        {
          "ticker": "VCIT",
          "expected_return": -0.06788254529237747,
          "annualized_vol": 0.32320409995284566
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "XSD",
          "expected_return": -0.47667697072029114,
          "annualized_vol": 1.5943459654522136
        },
        {
          "ticker": "GDX",
          "expected_return": -1.2958544492721558,
          "annualized_vol": 1.4941300218748363
        },
        {
          "ticker": "XBI",
          "expected_return": -1.3558692932128906,
          "annualized_vol": 1.3327715873884463
        }
      ],
      "COMBINED": [
        {
          "ticker": "TLT",
          "expected_return": 1.301792860031128,
          "annualized_vol": 0.5484149852537584
        },
        {
          "ticker": "LQD",
          "expected_return": 0.009896894916892052,
          "annualized_vol": 0.4506195252319189
        },
        {
          "ticker": "VCIT",
          "expected_return": -0.06788254529237747,
          "annualized_vol": 0.32320409995284566
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "LQD",
          0.7160598544805055
        ],
        [
          "GLD",
          0.12583619626040973
        ],
        [
          "VNQ",
          0.07961288952276008
        ],
        [
          "TLT",
          0.07849105973632482
        ],
        [
          "VCIT",
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        ]
      ],
      "EQUITY_SECTORS": [
        [
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          0.6709620604645329
        ],
        [
          "XSD",
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        ],
        [
          "XBI",
          0.09191405495912786
        ],
        [
          "XLU",
          0.062026259275591474
        ],
        [
          "XLK",
          0.05477215062364271
        ]
      ],
      "COMBINED": [
        [
          "SPY",
          0.4821746326475354
        ],
        [
          "LQD",
          0.2178967310025177
        ],
        [
          "XLK",
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        ],
        [
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        ],
        [
          "VNQ",
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      ]
    }
  }
}