Correlation: 0.65 · Cointegrated: yes
Z-score: -2.39 entry / -1.12 rolling
Half-life 0.6h · Hurst 0.89 · Hedge ratio 1.34
Pair volatility: 37.58%
Backtest: 71.43% win · Sharpe 2.51 · 1.05% return · 1.08% max drawdown
Pair Analysis: Long COHR / Short EWY
- Roll Z-Score (1h): -1.20
- Correlation: 0.65
- Hedge Ratio: 1.31 (1h)
- Cointegration: True (1h/4h)
- Half-Life: ~15h (1h)
Technical Remark:
The pair is currently exhibiting a mean-reversion setup with a negative 1h Roll Z-Score of -1.20, suggesting COHR is statistically "cheap" relative to EWY. The 1h and 4h timeframes show cointegration, supporting the validity of the spread relationship. The 15-hour half-life indicates a relatively fast mean-reversion process, which is favorable for short-to-medium-term pair trading.
Sentiment/News:
No specific sentiment or news data is currently available for COHR or EWY to provide a qualitative overlay. The trade is currently driven by the quantitative mean-reversion signal.
Note: The 1h z-score is ~1.2 hours old; verify recent price action to ensure the spread hasn't already mean-reverted.
COHR
EWY