Bug: win_rate() only checked pnl_net/pnl_gross/pnl fields,
but Kalman backtests save trades with net_pnl/gross_pnl (underscore-first).
Result: all 4 Kalman assets showed 0% win on 27-35 trades.
After fix:
BTC: 0% → 45% (16/35)
ETH: 0% → 47% (16/34)
HYPE: 0% → 51% (14/27)
VVV: 0% → 57% (19/33)
Also corrected paper trader coin assignments for Mean Reversion
and Momentum Breakout (was BTC, should be ETH).
Set up the directory structure and wrote placeholder logic for:
- Order Book Imbalance: trades on L2 bid/ask skew
- Iceberg/TWAP detection: follows whale accumulation patterns
- Funding rate arbitrage: delta-neutral carry on perp funding
- Pairs trading: BTC/ETH spread mean reversion
- Avellaneda-Stoikov market making: optimal bid/ask quoting
Also added shared risk manager, portfolio tracker, and a plain-language strategy walkthrough in docs/.