long spread · 5× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -2.52 |
| Z-score | -2.09 at entry · -1.17 pair |
| Correlation | 0.81 · cointegrated |
| Half-life | 0.7h |
| Hurst | 0.81 |
| Hedge ratio | 1.07 · long-term beta 1.15 |
| Beta stability | stable · current 1.07 · range 0.45–1.74 · 0 sign changes |
| Lead–lag peak corr | 0.81 |
| Pair volatility | 39.32% |
Backtest
| Metric | Value |
|---|
| Win rate | 66.67% — 12W / 6L over 18 trades |
| Sharpe | 4.32 |
| Total return | +2.49% |
| Max drawdown | 1.26% |
- Pair: Long AAOI / Short COHR
- Venue: Hyperliquid
para:; both listed, USDC collateral, 10x max leverage each
- Roll Z-Score: -2.90 (1h); -2.83 (4h); -0.98 (1d)
- Correlation: 0.81 (1h/4h); 0.87 (1d)
- Cointegration: True on 1h; false on 4h and 1d
- Half-life: 18h (1h); 28h (4h)
- Hurst: 0.82 (1h), 0.86 (4h), 0.50 (1d) — weak mean-reversion profile despite the extreme short-term z-score
- Sizing weights: 4h preferred — 45.3% AAOI / 54.7% COHR; 1d alternative — 42.7% / 57.3%
- Sentiment/news: No sentiment result was available; no verified recent-news catalyst was retrieved.
- Remark: Technically attractive but fragile: the 1h/4h spread is unusually dislocated, yet cointegration fails beyond 1h and Hurst is strongly trend-like. The 1d z-score is much less extreme, so the entry may be late or regime-dependent rather than a clean multi-timeframe mean-reversion setup.
- Data freshness: 1h snapshot ~1.3h old; 4h ~4.3h old; 1d ~1.7d old. Z-scores are snapshots, not live prices.
- Direction note: User-specified direction retained. The stats output flags the direction as against its generic z-sign annotation; do not treat that annotation as a reversal instruction.
AAOI
COHR