Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -1.21 entry / -1.87 rolling
Half-life 1.5h · Hurst 0.88 · Hedge ratio 4.93
Pair volatility: 49.09%
Backtest: 44.44% win · Sharpe -0.45 · -0.32% return · 2.60% max drawdown
Pair Analysis: Long AAOI / Short XYZ100
- Roll Z-Score: -1.87 (1h)
- Correlation: 0.73
- Cointegration: True (1h)
- Hurst Exponent: 0.88
- Hedge Ratio (4h): 4.806 (Sizing: ~17% AAOI / ~83% XYZ100)
Analysis & Sentiment:
- Technical Setup: The 1h Roll Z-Score of -1.87 suggests the spread is significantly "cheap" (oversold) relative to its historical mean, supporting a mean-reversion entry (Long AAOI / Short XYZ100). The cointegration is confirmed on the 1h timeframe, though the Hurst exponent (0.88) is elevated, suggesting the pair is currently exhibiting trending behavior rather than pure mean reversion.
- Sentiment Context: There is no specific sentiment data for AAOI. Conversely, XYZ100 is showing strong bullish sentiment following a recent earnings beat and raised guidance.
- Trade Remark: This setup is a classic "divergence" play. You are betting that the spread will revert to the mean despite the bullish fundamental momentum currently driving XYZ100. Given the high Hurst exponent, be prepared for the spread to potentially widen further before mean-reverting; ensure your stop-loss levels account for this trending volatility.
Note: Z-scores are snapshots (1h data is ~1.3h old). Verify recent price action before execution.
AAOI
XYZ100