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Browse files- rough_vol_2026-04-25.json +678 -0
rough_vol_2026-04-25.json
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| 1 |
+
{
|
| 2 |
+
"run_date": "2026-04-25",
|
| 3 |
+
"config": {
|
| 4 |
+
"lookback_window": 504,
|
| 5 |
+
"hurst_method": "wavelet",
|
| 6 |
+
"roughness_threshold": 0.45
|
| 7 |
+
},
|
| 8 |
+
"daily_trading": {
|
| 9 |
+
"universes": {
|
| 10 |
+
"FI_COMMODITIES": {
|
| 11 |
+
"TLT": {
|
| 12 |
+
"ticker": "TLT",
|
| 13 |
+
"hurst_exponent": 0.575339241719324,
|
| 14 |
+
"is_rough": "False",
|
| 15 |
+
"vol_forecast": 0.02531373508455787,
|
| 16 |
+
"expected_return_raw": 0.13117514983791365,
|
| 17 |
+
"expected_return_rough_adj": 0.03493133246990513,
|
| 18 |
+
"weights": {
|
| 19 |
+
"daily": 0.3,
|
| 20 |
+
"weekly": 0.4,
|
| 21 |
+
"monthly": 0.3
|
| 22 |
+
}
|
| 23 |
+
},
|
| 24 |
+
"VCIT": {
|
| 25 |
+
"ticker": "VCIT",
|
| 26 |
+
"hurst_exponent": 0.672392996976107,
|
| 27 |
+
"is_rough": "False",
|
| 28 |
+
"vol_forecast": 0.016846785622421957,
|
| 29 |
+
"expected_return_raw": 0.23007260968036383,
|
| 30 |
+
"expected_return_rough_adj": 0.06365949368905222,
|
| 31 |
+
"weights": {
|
| 32 |
+
"daily": 0.3,
|
| 33 |
+
"weekly": 0.4,
|
| 34 |
+
"monthly": 0.3
|
| 35 |
+
}
|
| 36 |
+
},
|
| 37 |
+
"LQD": {
|
| 38 |
+
"ticker": "LQD",
|
| 39 |
+
"hurst_exponent": 0.6395833293816438,
|
| 40 |
+
"is_rough": "False",
|
| 41 |
+
"vol_forecast": 0.017542683486859185,
|
| 42 |
+
"expected_return_raw": 0.23902018556837407,
|
| 43 |
+
"expected_return_rough_adj": 0.06592366566521983,
|
| 44 |
+
"weights": {
|
| 45 |
+
"daily": 0.3,
|
| 46 |
+
"weekly": 0.4,
|
| 47 |
+
"monthly": 0.3
|
| 48 |
+
}
|
| 49 |
+
},
|
| 50 |
+
"HYG": {
|
| 51 |
+
"ticker": "HYG",
|
| 52 |
+
"hurst_exponent": 0.8623583727644341,
|
| 53 |
+
"is_rough": "False",
|
| 54 |
+
"vol_forecast": 0.01757516326446533,
|
| 55 |
+
"expected_return_raw": 0.29294812983441215,
|
| 56 |
+
"expected_return_rough_adj": 0.08078535953435,
|
| 57 |
+
"weights": {
|
| 58 |
+
"daily": 0.3,
|
| 59 |
+
"weekly": 0.4,
|
| 60 |
+
"monthly": 0.3
|
| 61 |
+
}
|
| 62 |
+
},
|
| 63 |
+
"VNQ": {
|
| 64 |
+
"ticker": "VNQ",
|
| 65 |
+
"hurst_exponent": 0.6728749173554115,
|
| 66 |
+
"is_rough": "False",
|
| 67 |
+
"vol_forecast": 0.058175393411722856,
|
| 68 |
+
"expected_return_raw": 0.9945588626064764,
|
| 69 |
+
"expected_return_rough_adj": 0.23113562825572911,
|
| 70 |
+
"weights": {
|
| 71 |
+
"daily": 0.3,
|
| 72 |
+
"weekly": 0.4,
|
| 73 |
+
"monthly": 0.3
|
| 74 |
+
}
|
| 75 |
+
},
|
| 76 |
+
"GLD": {
|
| 77 |
+
"ticker": "GLD",
|
| 78 |
+
"hurst_exponent": 0.7788438164610226,
|
| 79 |
+
"is_rough": "False",
|
| 80 |
+
"vol_forecast": 0.10255496303614145,
|
| 81 |
+
"expected_return_raw": 0.9390194827373226,
|
| 82 |
+
"expected_return_rough_adj": 0.1862179631722292,
|
| 83 |
+
"weights": {
|
| 84 |
+
"daily": 0.3,
|
| 85 |
+
"weekly": 0.4,
|
| 86 |
+
"monthly": 0.3
|
| 87 |
+
}
|
| 88 |
+
},
|
| 89 |
+
"SLV": {
|
| 90 |
+
"ticker": "SLV",
|
| 91 |
+
"hurst_exponent": 0.7450442435753887,
|
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