ramseshk
f7f47b5484
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)
3405 lines
46 KiB
JSON
3405 lines
46 KiB
JSON
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"strategy": "Kalman Pairs",
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"strategy_key": "kalman_pairs",
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"coin": "BTC",
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"allocation": 100.0,
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"start_time": "0",
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"end_time": "720",
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"start_equity": 100.0,
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"end_equity": 9964.0508,
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"pnl": -35.9492,
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"pnl_pct": -0.36,
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"pnl_gross": -4.7691,
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"pnl_gross_pct": -0.36,
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"fees_total": 31.1801,
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"fee_tier": 0,
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"staking_tier": "none",
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"fee_model": "taker",
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"sharpe": -0.5932,
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"sortino": -0.3115,
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"max_dd": 0.0063,
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"max_dd_pct": 0.63,
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"win_rate": 0.0,
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"total_trades": 35,
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