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f7f47b548407708f42177aba77f4f1d93b24ba1b
ftdt-quant-lab/backtests/results/historical/kalman_pairs_HYPE_20260805-073152.json
T
ramseshk f7f47b5484 Fix Kalman Pairs historical backtest: real BTC/ETH pair data 
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)
2026-08-05 07:32:41 +00:00

3293 lines
44 KiB
JSON
Raw Blame History

{
"strategy": "Kalman Pairs",
"strategy_key": "kalman_pairs",
"coin": "HYPE",
"allocation": 100.0,
"start_time": "0",
"end_time": "720",
"start_equity": 100.0,
"end_equity": 9999.6329,
"pnl": -0.3671,
"pnl_pct": -0.0,
"pnl_gross": 0.3291,
"pnl_gross_pct": -0.0,
"fees_total": 0.6962,
"fee_tier": 0,
"staking_tier": "none",
"fee_model": "taker",
"sharpe": -0.1065,
"sortino": -0.0474,
"max_dd": 0.0003,
"max_dd_pct": 0.03,
"win_rate": 0.0,
"total_trades": 27,
"equity_curve": [
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