Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.71 · Cointegrated: yes
Z-score: -1.35 entry / -2.30 rolling
Half-life 0.8h · Hurst 0.83 · Hedge ratio 1.18
Pair volatility: 47.83%
Backtest: 55.56% win · Sharpe 3.62 · 1.58% return · 1.57% max drawdown
Pair Analysis: Long SKHY / Short SMSN
- Roll Z-Score: -2.30 (1h) / -2.40 (4h)
- Correlation: 0.71 (1h) / 0.78 (4h)
- Cointegration: True
- Half-Life: 19h (1h) / 5h (4h)
- Hedge Ratio: 1.18 (1h) / 1.16 (4h)
Analysis:
- Mean Reversion Signal: The pair is currently showing a strong mean-reversion signal. With a roll z-score of ~ -2.40, the spread (SKHY/SMSN) is statistically "cheap" relative to its historical mean.
- Directional Alignment: Your chosen direction (Long SKHY / Short SMSN) is aligned with the quant-optimal direction, which suggests the spread is currently undervalued and positioned for a potential bounce.
- Sentiment: No specific sentiment data is currently available for these assets.
- Note: The z-score snapshots are slightly aged (1.3h - 4.3h). Given the depth of the z-score, verify if there has been significant intraday price action before entry, as a large move could have already begun to close this gap.
Disclaimer: This analysis is based on statistical snapshots and does not constitute financial advice.
SKHY
SMSN