{
  "run_date": "2026-05-06",
  "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",
      "XSD",
      "XME",
      "XBI",
      "GDX",
      "XLV",
      "XLI",
      "HYG",
      "XLU",
      "XLF",
      "LQD",
      "SLV",
      "XLE",
      "XLK",
      "XLP",
      "TLT",
      "QQQ",
      "GLD",
      "IWF",
      "VNQ",
      "VCIT",
      "IWM",
      "SPY"
    ],
    "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",
        "XSD",
        "XME",
        "XBI",
        "GDX",
        "XLV",
        "XLI",
        "HYG",
        "XLU",
        "XLF",
        "LQD",
        "SLV",
        "XLE",
        "XLK",
        "XLP",
        "TLT",
        "QQQ",
        "GLD",
        "IWF",
        "VNQ",
        "VCIT",
        "IWM",
        "SPY"
      ]
    },
    "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": "2026-05-06"
  },
  "risk_free_rate": 0.0361,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 3.1659090518951416,
          "annualized_vol": 0.6366548871433128
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.38147372007369995,
          "annualized_vol": 0.3293622583777315
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.3391820788383484,
          "annualized_vol": 0.4735898432093907
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -2.5543429851531982,
          "annualized_vol": 0.5738168750024205
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -5.991354942321777,
          "annualized_vol": 1.5133663906234194
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -1.3232345581054688,
          "annualized_vol": 0.6321092509600742
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -4.30598258972168,
          "annualized_vol": 1.1757875278984675
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -4.138157367706299,
          "annualized_vol": 1.2080669499349848
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -3.2625796794891357,
          "annualized_vol": 1.2534810878421652
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.7054097652435303,
          "annualized_vol": 1.3686659451391807
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -6.0687055587768555,
          "annualized_vol": 1.53677926146402
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -7.365063667297363,
          "annualized_vol": 1.709210062846829
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -3.9693679809570312,
          "annualized_vol": 1.005027824104527
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -5.236576557159424,
          "annualized_vol": 1.359774083243001
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.4898386001586914,
          "annualized_vol": 1.2756369394192304
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -2.8414218425750732,
          "annualized_vol": 0.8855870435228456
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -4.442399024963379,
          "annualized_vol": 1.2426436137061323
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 0.7576019167900085,
          "annualized_vol": 1.617911410140195
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -7.50718355178833,
          "annualized_vol": 1.5905359954168101
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.619769811630249,
          "annualized_vol": 1.2419608161705291
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -3.8564741611480713,
          "annualized_vol": 1.670727626857039
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -4.234684944152832,
          "annualized_vol": 1.405549312588982
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -5.075512886047363,
          "annualized_vol": 1.377717240792158
        }
      },
      "COMBINED": {
        "XLY": {
          "ticker": "XLY",
          "expected_return": -3.4898386001586914,
          "annualized_vol": 1.2756369394192304
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -3.8564741611480713,
          "annualized_vol": 1.670727626857039
        },
        "XME": {
          "ticker": "XME",
          "expected_return": -7.50718355178833,
          "annualized_vol": 1.5905359954168101
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": -4.234684944152832,
          "annualized_vol": 1.405549312588982
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": 0.7576019167900085,
          "annualized_vol": 1.617911410140195
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -3.9693679809570312,
          "annualized_vol": 1.005027824104527
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -5.236576557159424,
          "annualized_vol": 1.359774083243001
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": -2.5543429851531982,
          "annualized_vol": 0.5738168750024205
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": -4.442399024963379,
          "annualized_vol": 1.2426436137061323
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -6.0687055587768555,
          "annualized_vol": 1.53677926146402
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": -0.3391820788383484,
          "annualized_vol": 0.4735898432093907
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -4.30598258972168,
          "annualized_vol": 1.1757875278984675
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -7.365063667297363,
          "annualized_vol": 1.709210062846829
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -3.7054097652435303,
          "annualized_vol": 1.3686659451391807
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": -2.8414218425750732,
          "annualized_vol": 0.8855870435228456
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 3.1659090518951416,
          "annualized_vol": 0.6366548871433128
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -3.2625796794891357,
          "annualized_vol": 1.2534810878421652
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -1.3232345581054688,
          "annualized_vol": 0.6321092509600742
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -3.619769811630249,
          "annualized_vol": 1.2419608161705291
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -5.991354942321777,
          "annualized_vol": 1.5133663906234194
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": -0.38147372007369995,
          "annualized_vol": 0.3293622583777315
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -5.075512886047363,
          "annualized_vol": 1.377717240792158
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -4.138157367706299,
          "annualized_vol": 1.2080669499349848
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "TLT",
          "expected_return": 3.1659090518951416,
          "annualized_vol": 0.6366548871433128
        },
        {
          "ticker": "LQD",
          "expected_return": -0.3391820788383484,
          "annualized_vol": 0.4735898432093907
        },
        {
          "ticker": "VCIT",
          "expected_return": -0.38147372007369995,
          "annualized_vol": 0.3293622583777315
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "GDX",
          "expected_return": 0.7576019167900085,
          "annualized_vol": 1.617911410140195
        },
        {
          "ticker": "XLP",
          "expected_return": -2.8414218425750732,
          "annualized_vol": 0.8855870435228456
        },
        {
          "ticker": "QQQ",
          "expected_return": -3.2625796794891357,
          "annualized_vol": 1.2534810878421652
        }
      ],
      "COMBINED": [
        {
          "ticker": "TLT",
          "expected_return": 3.1659090518951416,
          "annualized_vol": 0.6366548871433128
        },
        {
          "ticker": "GDX",
          "expected_return": 0.7576019167900085,
          "annualized_vol": 1.617911410140195
        },
        {
          "ticker": "LQD",
          "expected_return": -0.3391820788383484,
          "annualized_vol": 0.4735898432093907
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "LQD",
          0.41830419005535097
        ],
        [
          "TLT",
          0.3910507021529548
        ],
        [
          "VNQ",
          0.19064510779169416
        ],
        [
          "VCIT",
          0.0
        ],
        [
          "HYG",
          0.0
        ]
      ],
      "EQUITY_SECTORS": [
        [
          "IWF",
          0.3288471740934344
        ],
        [
          "XLF",
          0.2636811657370714
        ],
        [
          "XLP",
          0.1494660291513175
        ],
        [
          "XSD",
          0.13084630614471773
        ],
        [
          "QQQ",
          0.12715932487345902
        ]
      ],
      "COMBINED": [
        [
          "LQD",
          0.28792183199347565
        ],
        [
          "IWF",
          0.2298908645743387
        ],
        [
          "QQQ",
          0.172999568056708
        ],
        [
          "TLT",
          0.15751218555168653
        ],
        [
          "XLF",
          0.15167554982379117
        ]
      ]
    }
  }
}