Fix Kalman Pairs historical backtest: real BTC/ETH pair data

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Root cause: Kalman filter needs a cointegrated pair, but the
historical runner was feeding it synthetic noise (close vs SMA).
The Kalman filter found no mean-reverting spread, producing 0 signals.

Fix: Intercept kalman_pairs in main(), fetch real ETH candles,
run the full backtest_kalman_pairs() with BTC/ETH or X/ETH data.

Results (30-day, 720h candles, BTC/ETH pair):
  BTC: 35 trades, -0.36% PnL
  ETH: 34 trades, -0.01% PnL  (ETH/BTC pair)
  HYPE: 27 trades, -0.00% PnL (HYPE/BTC pair)
  VVV: 33 trades, -0.01% PnL  (VVV/BTC pair)

Total: 32 historical backtests (8 strategies x 4 coins)

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This commit is contained in:

ramseshk

2026-08-05 07:32:41 +00:00

parent 803a38b237

commit f7f47b5484

9 changed files with 13541 additions and 11664 deletions

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backtests/results/historical/kalman_pairs_BTC_20260805-070334.json

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backtests/results/historical/kalman_pairs_BTC_20260805-073151.json

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backtests/results/historical/kalman_pairs_ETH_20260805-070334.json

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backtests/results/historical/kalman_pairs_ETH_20260805-073152.json

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backtests/results/historical/kalman_pairs_HYPE_20260805-070335.json

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backtests/results/historical/kalman_pairs_HYPE_20260805-073152.json

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backtests/results/historical/kalman_pairs_VVV_20260805-070336.json

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backtests/results/historical/kalman_pairs_VVV_20260805-073153.json

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