Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.80 · Cointegrated: yes
Z-score: 1.95 entry / 2.96 rolling
Half-life 0.5h · Hurst 0.91 · Hedge ratio 0.82
Pair volatility: 31.63%
Backtest: 81.25% win · Sharpe 5.71 · 2.67% return · 0.51% max drawdown
Pair Analysis: KR200 / EWY
- Roll Z-Score (1h): 2.96 (EWY is rich relative to KR200)
- Roll Z-Score (4h): 1.24
- Correlation: 0.80 (1h) / 0.91 (4h)
- Half-Life: 12h (1h) / 7h (4h)
- Hedge Ratio (4h): 0.801 (Sizing: 44.5% KR200 / 55.5% EWY)
Analysis:
- Mean Reversion: The 1h roll z-score of 2.96 indicates a significant divergence where EWY is currently trading rich relative to KR200. The trade setup (Long KR200 / Short EWY) aligns with the quant-optimal direction for mean reversion.
- Conviction: The 1h z-score is elevated, suggesting a strong mean-reversion signal, though the 4h z-score (1.24) is more moderate. The high correlation (0.91 on 4h) supports the pair's stability.
- Sentiment/News: No specific sentiment data is available for these assets at this time.
- Note: The 1h z-score snapshot is ~1.3 hours old; verify current price action to ensure the divergence has not already corrected.
KR200
EWY