{
  "run_date": "2026-05-05",
  "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": [
      "IWF",
      "XBI",
      "LQD",
      "IWM",
      "XLV",
      "XSD",
      "XLP",
      "SLV",
      "GDX",
      "SPY",
      "XLF",
      "QQQ",
      "XLE",
      "XME",
      "TLT",
      "XLY",
      "XLI",
      "GLD",
      "XLK",
      "HYG",
      "XLU",
      "VNQ",
      "VCIT"
    ],
    "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": [
        "IWF",
        "XBI",
        "LQD",
        "IWM",
        "XLV",
        "XSD",
        "XLP",
        "SLV",
        "GDX",
        "SPY",
        "XLF",
        "QQQ",
        "XLE",
        "XME",
        "TLT",
        "XLY",
        "XLI",
        "GLD",
        "XLK",
        "HYG",
        "XLU",
        "VNQ",
        "VCIT"
      ]
    },
    "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": "2026-05-05"
  },
  "risk_free_rate": 0.0359,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.2618801593780518,
          "annualized_vol": 0.6175394538667816
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.21013766527175903,
          "annualized_vol": 0.34635724042999855
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.23863846063613892,
          "annualized_vol": 0.5049571042734577
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.191976547241211,
          "annualized_vol": 0.6077164775415292
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -3.767962694168091,
          "annualized_vol": 1.5167573148128777
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -1.2704147100448608,
          "annualized_vol": 0.6779262311340595
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -6.735013961791992,
          "annualized_vol": 1.3501676080244387
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.2053754329681396,
          "annualized_vol": 1.182422243047817
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -3.3223462104797363,
          "annualized_vol": 1.233559910894874
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.6487538814544678,
          "annualized_vol": 1.3713391808744488
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -2.7579193115234375,
          "annualized_vol": 1.5177760113613186
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -5.301838397979736,
          "annualized_vol": 1.6947036016413444
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.8723275661468506,
          "annualized_vol": 0.9628617350320485
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -3.585761547088623,
          "annualized_vol": 1.3180317709884795
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -2.4250617027282715,
          "annualized_vol": 1.2645865715426665
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -2.302248001098633,
          "annualized_vol": 0.8572690417632596
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -2.273799419403076,
          "annualized_vol": 1.1582589217718444
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 0.36926156282424927,
          "annualized_vol": 1.6118276166816197
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -1.2212389707565308,
          "annualized_vol": 1.609816835302304
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.7465555667877197,
          "annualized_vol": 1.2552132149699857
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.378584146499634,
          "annualized_vol": 1.5898400694338741
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -1.1311246156692505,
          "annualized_vol": 1.2578954395520763
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -2.2784476280212402,
          "annualized_vol": 1.313956393423214
        }
      },
      "COMBINED": {
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.7465555667877197,
          "annualized_vol": 1.2552132149699857
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -1.1311246156692505,
          "annualized_vol": 1.2578954395520763
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.23863846063613892,
          "annualized_vol": 0.5049571042734577
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -2.2784476280212402,
          "annualized_vol": 1.313956393423214
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -2.8723275661468506,
          "annualized_vol": 0.9628617350320485
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.378584146499634,
          "annualized_vol": 1.5898400694338741
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -2.302248001098633,
          "annualized_vol": 0.8572690417632596
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -6.735013961791992,
          "annualized_vol": 1.3501676080244387
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 0.36926156282424927,
          "annualized_vol": 1.6118276166816197
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -3.2053754329681396,
          "annualized_vol": 1.182422243047817
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -2.7579193115234375,
          "annualized_vol": 1.5177760113613186
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -3.3223462104797363,
          "annualized_vol": 1.233559910894874
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -5.301838397979736,
          "annualized_vol": 1.6947036016413444
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -1.2212389707565308,
          "annualized_vol": 1.609816835302304
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 1.2618801593780518,
          "annualized_vol": 0.6175394538667816
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -2.4250617027282715,
          "annualized_vol": 1.2645865715426665
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -3.585761547088623,
          "annualized_vol": 1.3180317709884795
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -1.2704147100448608,
          "annualized_vol": 0.6779262311340595
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.6487538814544678,
          "annualized_vol": 1.3713391808744488
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -1.191976547241211,
          "annualized_vol": 0.6077164775415292
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -2.273799419403076,
          "annualized_vol": 1.1582589217718444
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -3.767962694168091,
          "annualized_vol": 1.5167573148128777
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.21013766527175903,
          "annualized_vol": 0.34635724042999855
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 1.2618801593780518,
          "annualized_vol": 0.6175394538667816
        },
        {
          "ticker": "VCIT",
          "expected_return": -0.21013766527175903,
          "annualized_vol": 0.34635724042999855
        },
        {
          "ticker": "LQD",
          "expected_return": -0.23863846063613892,
          "annualized_vol": 0.5049571042734577
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "GDX",
          "expected_return": 0.36926156282424927,
          "annualized_vol": 1.6118276166816197
        },
        {
          "ticker": "XBI",
          "expected_return": -1.1311246156692505,
          "annualized_vol": 1.2578954395520763
        },
        {
          "ticker": "XME",
          "expected_return": -1.2212389707565308,
          "annualized_vol": 1.609816835302304
        }
      ],
      "COMBINED": [
        {
          "ticker": "TLT",
          "expected_return": 1.2618801593780518,
          "annualized_vol": 0.6175394538667816
        },
        {
          "ticker": "GDX",
          "expected_return": 0.36926156282424927,
          "annualized_vol": 1.6118276166816197
        },
        {
          "ticker": "VCIT",
          "expected_return": -0.21013766527175903,
          "annualized_vol": 0.34635724042999855
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "LQD",
          0.5552778050167414
        ],
        [
          "GLD",
          0.3460378167965748
        ],
        [
          "HYG",
          0.0986843781866839
        ],
        [
          "TLT",
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        ],
        [
          "VCIT",
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        ]
      ],
      "EQUITY_SECTORS": [
        [
          "XLF",
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        ],
        [
          "XLK",
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        ],
        [
          "XLY",
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        ],
        [
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          0.12490375260790354
        ],
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        ]
      ],
      "COMBINED": [
        [
          "XLK",
          0.2608778331697555
        ],
        [
          "XLY",
          0.2118120637407066
        ],
        [
          "XLF",
          0.2043355786885363
        ],
        [
          "LQD",
          0.1971938826430704
        ],
        [
          "XME",
          0.12578064175793127
        ]
      ]
    }
  }
}