Daily-fitted constants applied unchanged to intraday bars left the Kalman gain flat and GARCH persistence 6x to 24x too fast.
WRITE THE OPENING HERE. Say what happened, in one paragraph, before explaining anything. The reader should know the finding before they know the method.
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Every figure here is a backtest on daily BINANCE:BTCUSDT bars with commission at 0.045% a side. There is no live track record. Forward results will be worse. The full manual sets out every setting and what changing it costs.