{
  "run_date": "2026-05-07",
  "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": [
      "QQQ",
      "GDX",
      "XSD",
      "TLT",
      "XLE",
      "XLP",
      "XBI",
      "LQD",
      "XLK",
      "SPY",
      "XME",
      "HYG",
      "GLD",
      "IWF",
      "XLI",
      "SLV",
      "XLF",
      "VNQ",
      "XLY",
      "XLV",
      "XLU",
      "IWM",
      "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": [
        "QQQ",
        "GDX",
        "XSD",
        "TLT",
        "XLE",
        "XLP",
        "XBI",
        "LQD",
        "XLK",
        "SPY",
        "XME",
        "HYG",
        "GLD",
        "IWF",
        "XLI",
        "SLV",
        "XLF",
        "VNQ",
        "XLY",
        "XLV",
        "XLU",
        "IWM",
        "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": "2026-05-07"
  },
  "risk_free_rate": 0.0361,
  "daily_trading": {
    "universes": {
      "FI_COMMODITIES": {
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.43790751695632935,
          "annualized_vol": 0.5423439062824649
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.5941064953804016,
          "annualized_vol": 0.36545694322459055
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 1.0614099502563477,
          "annualized_vol": 0.49978946354496767
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": 0.16608847677707672,
          "annualized_vol": 0.5372583479183795
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -0.8723235130310059,
          "annualized_vol": 1.3165165589274
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.8150100708007812,
          "annualized_vol": 0.6537610174692821
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -3.472607374191284,
          "annualized_vol": 1.2618507687025424
        }
      },
      "EQUITY_SECTORS": {
        "SPY": {
          "ticker": "SPY",
          "expected_return": -0.931626558303833,
          "annualized_vol": 1.0604725688711276
        },
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.2619707584381104,
          "annualized_vol": 1.1111276775729808
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.1311867237091064,
          "annualized_vol": 1.2158712796399518
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -1.456614375114441,
          "annualized_vol": 1.4212327213567024
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -1.1874792575836182,
          "annualized_vol": 1.5653669877654288
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -1.0055642127990723,
          "annualized_vol": 0.8805975830277499
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -0.6162142753601074,
          "annualized_vol": 1.2186687033905297
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -0.9715469479560852,
          "annualized_vol": 1.105394094317579
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": 0.623192310333252,
          "annualized_vol": 0.7453409855991678
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": 0.34646832942962646,
          "annualized_vol": 0.9961340698195426
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -0.9347018003463745,
          "annualized_vol": 1.4908203521296808
        },
        "XME": {
          "ticker": "XME",
          "expected_return": 0.6833490133285522,
          "annualized_vol": 1.4572056132428328
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -0.992340624332428,
          "annualized_vol": 1.1268512996028017
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.8552424907684326,
          "annualized_vol": 1.4055968588577006
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": 0.8254069089889526,
          "annualized_vol": 1.1225287287499195
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -0.35675591230392456,
          "annualized_vol": 1.2297351565719337
        }
      },
      "COMBINED": {
        "QQQ": {
          "ticker": "QQQ",
          "expected_return": -1.2619707584381104,
          "annualized_vol": 1.1111276775729808
        },
        "GDX": {
          "ticker": "GDX",
          "expected_return": -0.9347018003463745,
          "annualized_vol": 1.4908203521296808
        },
        "XSD": {
          "ticker": "XSD",
          "expected_return": -2.8552424907684326,
          "annualized_vol": 1.4055968588577006
        },
        "TLT": {
          "ticker": "TLT",
          "expected_return": 0.43790751695632935,
          "annualized_vol": 0.5423439062824649
        },
        "XLE": {
          "ticker": "XLE",
          "expected_return": -1.1874792575836182,
          "annualized_vol": 1.5653669877654288
        },
        "XLP": {
          "ticker": "XLP",
          "expected_return": 0.623192310333252,
          "annualized_vol": 0.7453409855991678
        },
        "XBI": {
          "ticker": "XBI",
          "expected_return": 0.8254069089889526,
          "annualized_vol": 1.1225287287499195
        },
        "LQD": {
          "ticker": "LQD",
          "expected_return": 1.0614099502563477,
          "annualized_vol": 0.49978946354496767
        },
        "XLK": {
          "ticker": "XLK",
          "expected_return": -1.1311867237091064,
          "annualized_vol": 1.2158712796399518
        },
        "SPY": {
          "ticker": "SPY",
          "expected_return": -0.931626558303833,
          "annualized_vol": 1.0604725688711276
        },
        "XME": {
          "ticker": "XME",
          "expected_return": 0.6833490133285522,
          "annualized_vol": 1.4572056132428328
        },
        "HYG": {
          "ticker": "HYG",
          "expected_return": 0.16608847677707672,
          "annualized_vol": 0.5372583479183795
        },
        "GLD": {
          "ticker": "GLD",
          "expected_return": -0.8150100708007812,
          "annualized_vol": 0.6537610174692821
        },
        "IWF": {
          "ticker": "IWF",
          "expected_return": -0.992340624332428,
          "annualized_vol": 1.1268512996028017
        },
        "XLI": {
          "ticker": "XLI",
          "expected_return": -0.6162142753601074,
          "annualized_vol": 1.2186687033905297
        },
        "SLV": {
          "ticker": "SLV",
          "expected_return": -3.472607374191284,
          "annualized_vol": 1.2618507687025424
        },
        "XLF": {
          "ticker": "XLF",
          "expected_return": -1.456614375114441,
          "annualized_vol": 1.4212327213567024
        },
        "VNQ": {
          "ticker": "VNQ",
          "expected_return": -0.8723235130310059,
          "annualized_vol": 1.3165165589274
        },
        "XLY": {
          "ticker": "XLY",
          "expected_return": -0.9715469479560852,
          "annualized_vol": 1.105394094317579
        },
        "XLV": {
          "ticker": "XLV",
          "expected_return": -1.0055642127990723,
          "annualized_vol": 0.8805975830277499
        },
        "XLU": {
          "ticker": "XLU",
          "expected_return": 0.34646832942962646,
          "annualized_vol": 0.9961340698195426
        },
        "IWM": {
          "ticker": "IWM",
          "expected_return": -0.35675591230392456,
          "annualized_vol": 1.2297351565719337
        },
        "VCIT": {
          "ticker": "VCIT",
          "expected_return": 0.5941064953804016,
          "annualized_vol": 0.36545694322459055
        }
      }
    },
    "top_picks": {
      "FI_COMMODITIES": [
        {
          "ticker": "LQD",
          "expected_return": 1.0614099502563477,
          "annualized_vol": 0.49978946354496767
        },
        {
          "ticker": "VCIT",
          "expected_return": 0.5941064953804016,
          "annualized_vol": 0.36545694322459055
        },
        {
          "ticker": "TLT",
          "expected_return": 0.43790751695632935,
          "annualized_vol": 0.5423439062824649
        }
      ],
      "EQUITY_SECTORS": [
        {
          "ticker": "XBI",
          "expected_return": 0.8254069089889526,
          "annualized_vol": 1.1225287287499195
        },
        {
          "ticker": "XME",
          "expected_return": 0.6833490133285522,
          "annualized_vol": 1.4572056132428328
        },
        {
          "ticker": "XLP",
          "expected_return": 0.623192310333252,
          "annualized_vol": 0.7453409855991678
        }
      ],
      "COMBINED": [
        {
          "ticker": "LQD",
          "expected_return": 1.0614099502563477,
          "annualized_vol": 0.49978946354496767
        },
        {
          "ticker": "XBI",
          "expected_return": 0.8254069089889526,
          "annualized_vol": 1.1225287287499195
        },
        {
          "ticker": "XME",
          "expected_return": 0.6833490133285522,
          "annualized_vol": 1.4572056132428328
        }
      ]
    },
    "flow_portfolio_weights": {
      "FI_COMMODITIES": [
        [
          "LQD",
          0.785723603448794
        ],
        [
          "GLD",
          0.11874838113393091
        ],
        [
          "HYG",
          0.09552801541727515
        ],
        [
          "TLT",
          0.0
        ],
        [
          "VCIT",
          0.0
        ]
      ],
      "EQUITY_SECTORS": [
        [
          "XLP",
          0.3103958642218106
        ],
        [
          "IWF",
          0.28334629135885214
        ],
        [
          "XME",
          0.1434977211912684
        ],
        [
          "XBI",
          0.13472894226545065
        ],
        [
          "XLK",
          0.12803118096261812
        ]
      ],
      "COMBINED": [
        [
          "LQD",
          0.2857775235897415
        ],
        [
          "IWF",
          0.23803216946436498
        ],
        [
          "XLP",
          0.23657167538334956
        ],
        [
          "XME",
          0.12189075099088857
        ],
        [
          "IWM",
          0.11772788057165533
        ]
      ]
    }
  }
}