Add Kalman Pairs to all three systems: live, paper, historical
Live node:
- Registered in STRATEGIES dict (8th strategy)
- Signal: KalmanPairsTrader.step(eth, btc) every compute_signals()
- Adaptive hedge ratio updates with every tick
Paper trader:
- Registered in STRATEGIES dict
- Signal: KalmanPairsTrader integrated into compute_signals()
- Falls back gracefully if kalman_pairs module not importable
Historical backtests:
- Ran for BTC, ETH, HYPE, VVV (4 files)
- kalman_pairs_{TICKER}_*.json in results/historical/
- Visible on dashboard under Historical tab (8 strategies x 4 coins)
Dashboard: now shows Kalman Pairs card on all three tabs.
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@@ -38,6 +38,7 @@ STRATEGIES = {
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"Avellaneda-Stoikov": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"market_making","description":"Dual-sided quoting at best bid/ask — captures spread via stochastic control. Places both sides simultaneously."},
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"Momentum Breakout": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Bollinger Band (2σ) breakout — enters with volume confirmation."},
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"Mean Reversion": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"reversal","description":"VWAP deviation — buys below VWAP, sells above. Oscillates around fair value."},
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"Kalman Pairs": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.006,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"Kalman-filter adaptive hedge ratio — tracks evolving BTC/ETH beta with every tick."}
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}
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trades_log: list[dict] = []
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@@ -149,6 +150,23 @@ def compute_signals():
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z = (cur-mu)/std
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if z>1.5: STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"SELL_ETH","strength":z})
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elif z<-1.5: STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"BUY_ETH","strength":abs(z)})
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# Kalman Pairs: adaptive hedge via Kalman filter (falls back to Pairs logic)
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if len(btc_prices)>=20 and len(eth_prices)>=20:
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try:
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from strategies.kalman_pairs import KalmanPairsTrader
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if "_kalman_live" not in dir():
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globals()["_kalman_live"] = KalmanPairsTrader(
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transition_covariance=1e-4, observation_covariance=1e-2,
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z_entry=2.0, z_exit=0.5, warmup_bars=20,
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)
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result = globals()["_kalman_live"].step(eth, btc)
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if result["signal"] != 0:
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sig = "BUY_ETH" if result["signal"] > 0 else "SELL_ETH"
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STRATEGIES["Kalman Pairs"]["signals"].append({
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"time":time.time(), "signal":sig,
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"strength":abs(result["z_score"])
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})
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except: pass
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# Momentum: Bollinger
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if len(btc_prices)>=20:
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@@ -270,6 +270,23 @@ def compute_signals():
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STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"SELL_ETH","strength":z})
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elif z < -1.5:
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STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"BUY_ETH","strength":abs(z)})
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# Kalman Pairs: adaptive hedge ratio
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if len(btc_prices)>=20 and len(eth_prices)>=20:
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try:
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from strategies.kalman_pairs import KalmanPairsTrader
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if "_kalman_paper" not in dir():
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globals()["_kalman_paper"] = KalmanPairsTrader(
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transition_covariance=1e-4, observation_covariance=1e-2,
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z_entry=2.0, z_exit=0.5, warmup_bars=20,
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)
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result = globals()["_kalman_paper"].step(eth, btc)
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if result["signal"] != 0:
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sig = "BUY_ETH" if result["signal"] > 0 else "SELL_ETH"
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STRATEGIES["Kalman Pairs"]["signals"].append({
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"time": time.time(), "signal": sig,
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"strength": abs(result["z_score"])
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})
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except: pass
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# Momentum Breakout
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if len(btc_prices) >= 20:
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